| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 94 === In recent years many listed companies became unlisted or suspension of transaction became of the financial crisis, and often caused the investors suffer the enormous losses. Thus more and more investors and the scholar begin to face up to the problems of corporate default risks. Traditionally, default risks are estimation by bond credit ratings and financial reports, which generally suffer from the data delay. This study employs stock returns and quarterly financial reports to estimate default risks. In addition some scholars argue that company sizes and Book-to-Market ration are relate to default risks, this study further investigates the relationship among default risks, sizes and Book-to-Market ration.
This study forms portfolios according to company sizes and Book-to-market rations and then employs market model to conduct regression analysis, and examination intercept item whether does be the size effect and the Book-to-Market effect, Merton model is used to estimate the implied default risks by using stock returns and financial reports of listed companies and the relationship among company sizes, Book-to-Market ration and default risks and examined.
657 listed companies in Taiwan Stock Exchange (excluding financial stock related companies) are studied by using the daily stock returns from Jan. 1998 to Dec. 2005.The empirical results show that size effect could not exist and book-to-market effect only exists in segments of the market with small size. Small size company portfolio and high book-to-market portfolio have higher implied default risks.
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