臺灣博碩士論文加值系統

本篇論文利用BSM ( Black and Scholes, 1973與Merton, 1974) 模型以及以障礙選擇權理論建立的下降出局型買權之理念衡量破產機率。進一步討論違約風險、淨值市價比、規模和報酬率之間的關係；並檢驗違約風險是否為系統性風險。研究發現，利用以上兩模型衡量的違約機率之實證中得到近乎一致的結論，且發現台灣股票市場存在規模效果和淨值市價比效果，但不存在違約效果。此外，小規模公司沒有證據顯示有較高的違約風險，但有較高的報酬。觀察發現高淨值市價比公司也有相同的結果。而只要公司同時具有小規模和高淨值市價比的特性將可賺得較高的報酬。在檢定違約風險是否能解釋權益報酬的實證中，則是發現Fama and French三因子模型比資本資產定價模型 (CAPM) 對於報酬的解釋為佳，可以解釋CAPM遺漏之異常報酬現象，且違約風險確實為系統性風險。

Using BSM ( Black-Scholes(1973) and Merton(1974) ) Model and down-and-out call valuation model to evaluate bankruptcy possibility for finding the relationship of default risk, book-to-market ratio, size and return. Getting a step further to test whether default risk is systematic risk. Finding some results after researching. First, there is high correlation between two default risks evaluating from two models. Second, there are size effect and book-to-market effect in stock market in Taiwan, but there is no default effect. Third, there is no evidence to prove that there is higher default risk either in small firms or in high book-to-market firms, but they can earn higher return. Fourth, as long as it is small and have high book-to-market ratio, the firm can get higher return. Fifth, it can express excess return better in Fama and French model than in Capital Asset Pricing Model. Moreover, default risk is actually systematic risk.

第壹章 前言...............................................1
第貳章 衡量違約風險.......................................6
第一節 BSM模型............................................6
第二節 DOC 模型...........................................8
第參章 資料來源..........................................11
第肆章 實證結果..........................................15
第一節 敘述統計分析......................................15
第二節 規模、淨值市價比和違約風險........................17
(一) 規模效果............................................17
(二) 淨值市價比效果......................................21
(三) 違約效果............................................25
(四) 公司特性與報酬之關係................................33
第三節 違約風險與報酬之關係..............................36
(一) 實證模型............................................36
(二) 資產評價結果........................................37
第伍章 結論..............................................40
參考文獻.................................................41

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