日本股票市場之破產風險是否為系統性風險？

Is the Risk of Bankruptcy a Systematic Risk in Japan?

公司淨值市價比是否可以充分衡量財務危機風險，至今仍是一個具有爭議性的問題。首先，本文採用兩個衡量破產風險之模型：一、知名Altman（1968）之Z模型（AZ），二、日本學者Shirata（1998）之Z模型（CZ）。再來，本文遵循Dichev（1998），採用破產風險衡量日本公司的財務危機，驗證破產風險在日本股票市場中是否為系統風險。本文實證結果發現，股票具有低AZ者，破產機率高，傾向擁有高報酬；而且破產風險確實屬於系統性風險。然而AZ對股票報酬之解釋能力以及衡量股票破產風險之能力，仍不及淨值市價比及規模。只是，高破產風險所對應的高報酬仍不能完全被淨值市價比及市值效果所解釋。另一方面，CZ則無法有效區別風險和報酬間之關係，實證結果並無重要參考價值。

Whether the distress risk can be fully proxied by the book-to-market effect is controversial. Firstly, using the Altman’s (1968) Z (AZ) and Shirata’s (1998) Z (CZ) to measure the bankruptcy risk of stocks listed in the Tokyo Stock Exchange. Secondly, following Dichev (1998), this paper whether the bankruptcy risk is a systematic risk. Our results demonstrate that, with the measure of AZ, the bankruptcy risk, compensated by higher returns, is indeed a systematic risk. Although the explanatory power of AZ is not as good as the book to market (BM) and market equity, the high returns on firms with high bankruptcy risks cannot be fully captured by BM and market equity. CZ is however not a good measure of the bankruptcy risk and plays no role in explaining stock returns.