The Influence Between Default Risk and Stock Return－Evidence from Taiwan Stock Market
碩士 === 靜宜大學 === 企業管理研究所 === 97 === The purpose of this study is to investigate the relationship between risk factors and Taiwan stock returns both in financial crisis companies and normal companies. The research samples are the listed Taiwan companies on TSE, OTC and ROTC which have the financial cr...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/q433uy |
| Summary: | 碩士 === 靜宜大學 === 企業管理研究所 === 97 === The purpose of this study is to investigate the relationship between risk factors and Taiwan stock returns both in financial crisis companies and normal companies. The research samples are the listed Taiwan companies on TSE, OTC and ROTC which have the financial crisis between 1999 and 2008. This study adopts the three factors model by Fama and French (1993) and then plus default probability factor as the modified four factors model to compare which kind of model’s explanatory power is better.
This study finds that the market factor and firm size factor have positive significant explanatory power with stock returns both in financial crisis companies and normal companies. Besides, BE/ME factor has positive significant explanatory power with stock returns in crisis companies but not completely has significant explanatory power with stock returns in normal companies. However, the default probability factor has negative significant explanatory power with stock returns both in financial crisis companies and normal companies. This study also finds that the model with default probability factor has excellent ability to explain stock returns; in other words, that means modified four factors model is better than three-factor model.
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