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    Title: 財務困境對台灣股市資產定價異常現象之影響
    Other Titles: Implications of Financial Distress on Asset Pricing Anomalies in Taiwan's Security Market
    Authors: 林信助
    Contributors: 國際經營與貿易學系
    Keywords: 財務困境;資產定價異常;信用評等
    Financial Distress;Asset Pricing Anomaly;Credit Rating
    Date: 2013
    Issue Date: 2016-04-20 16:33:03 (UTC+8)
    Abstract: 本計畫案擬研究財務困境對台灣股市資產定價異常現象之影響。特別是,我想要檢驗利用資產定價異常現象所制訂交易策略之獲利性如何受到財務困境(以信用評等來衡量)之影響。研究動機除了這是一個有趣且尚未被廣泛研究的財務實證議題之外(Avramov et al., 2012 除外),台灣股票市場有其獨特性且存在與國外不盡相同的資產定價異常現象以及公司信用風險。不同於Avramov et al. (2012),本研究計畫則擬採用台灣經濟新報所建立的企業信用風險指標 (Taiwan Corporate Credit Risk Index, TCRI) 來衡量信用風險,因為透過TCRI更能觀察到台灣企業信用風險狀況的全貌。本研究計畫案擬針對1996年1月起在台灣證券交易所有掛牌上市的公司,透過台灣經濟新報 (TEJ) 資料庫取得這些公司的信用評等、月報酬率及其他相關之公司特徵等資料,並透過投資組合分類及迴歸分析等兩種方式來仔細研究財務困境與台灣股市資產定價異常現象之間的關連性。研究成果將有助吾人更佳嘹解財務困境對台灣股市資產定價異常現象之影響。
    This project proposes to study the implications of financial distress for asset pricing anomalies existing in Taiwan's security market. Specifically, I would like to examine how the profitability of anomaly-based trading strategies are affected by financial distress (measured by corresponding credit ratings). Not only because this topic has not yet been comprehensively studied (other than Avramov et al., 2012), but also because there exist different kinds of asset pricing anomalies, and different credit risk rating system in Taiwan's security market. Unlike Avramov et al. (2012), this project proposes to use the Taiwan Corporate Credit Risk Index (TCRI) issued by the Taiwan Economic Journal (TEJ), which offer a much better overview of corporate credit risks in Taiwan. Samples of credit ratings, monthly returns and firm characteristics of common stocks listed on the Taiwan Stock Exchange since January 1996 will be collected from the TEJ. The relation between financial distress and various asset pricing anomalies will be carefully scrutinized using both portfolio sorts and regression analysis. Results of this research will contribute to a better understanding of financial distress and its connection with various asset pricing anomalies in Taiwan's security market.
    Relation: 計畫編號 NSC 102-2410-H004-032
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

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