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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/79369

    Title: Credit Rating Anomaly in the Taiwan Stock Market
    Authors: Ko, Kuan-Cheng
    Contributors: 國際經營與貿易學系
    Keywords: Asset-pricing anomalies;Rationality-based asset-pricing models;Credit ratings;Credit risk puzzle;Distress risk
    Date: 2013-06
    Issue Date: 2015-11-06 16:02:07 (UTC+8)
    Abstract: Rational asset-pricing theory asserts that higher risk should be accompanied by higher expected return. The credit risk puzzle, however, states a negative cross-sectional relationship between credit risk and future stock returns (Journal of Finance, 53, 1998, 1131; Journal of Finance, 57, 2002, 2317; Journal of Finance, 63, 2008, 2899; Journal of Financial Markets, 12, 2009, 469). This paper examines the credit risk puzzle using an independent dataset from Taiwan's stock market. We document a significantly positive premium between highest- and lowest-rated stocks in both portfolios and individual stocks, and demonstrate that it cannot be explained by well-known asset-pricing models, including the CAPM, Journal of Financial Economics, 33, 1993, 3 three-factor model, and Journal of Financial Economics 82, 2006, 631 liquidity-augmented CAPM. Unlike the evidence collected from the US market, rating downgrades only have limited impact on the cross-sectional variation of stock returns in Taiwan. Further analysis indicates that credit rating serves as a better proxy for distress risk, and is thus priced in Taiwan's stock market.
    Relation: Asia-Pacific Journal of Financial Studies,42(3),403-441
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1111/ajfs.12019
    DOI: 10.1111/ajfs.12019
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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