台灣股市違約風險效應之檢測

The Examination of Default Effect in Taiwan Stock Market

本文主要概念衍生自Vassalou and Xing（2004），為了修正其不符合現實情況的路徑獨立型架構和導致隱含障礙負債比被高估的資產市值代理變數，本文以下出局式障礙買權（Down-and-out call option）的架構輔以Duan（2005）所提出的最大概似估計資產方法藉以改進Vassalou and Xing（2004）所使用的Merton（1974）一般選擇權架構以求得個別公司的違約風險。並藉以探討台灣股票市場中，違約風險、公司規模、淨值市價比與股票報酬之間的關係為何。結果發現，Merton模型可能誤判違約風險效應存在。在以下出局式障礙選擇權重新評估違約風險進行分析後發現，台灣市場中存在規模效應及淨值市價比效應，但不存在違約風險效應。而規模效應與淨值市價比效應的成因，並非導因於違約風險不同所致。

This study investigates the relationship between default risk, size, book-to-market ratio and equity returns. Our concept derives from Vassalou and Xing (2004). In their paper, they assumed an unrealistic path-independent structure and an unsuitable proxy for market assets value that typically lead implied barriers larger than the book value of debt. In this study, we modify their framework by using barrier option framework instead of Merton's (1974) model, which may lead default risk effect to be statistically significant. We then use Duan's (2005) maximum likelihood method to measure firm's default risk and analyze the interrelation between default risk and size effect, book-to-market effect. We find that size effect and book-to-market effect indeed exist in Taiwan, but default risk effect does not. When default risk factor is added to assets pricing model, we find that default risk is a part of systematic rick. It implies that default risk factor might not play an important role in explaining stock returns in Taiwan.