The Relationship Between Stock Returns And Different Default Risk Measured by Default Intensity
碩士 === 國立中興大學 === 財務金融學系所 === 102 === This research project is attempted to probe the relevance of default index and rate of return. The research objects are the listed companies in Taiwan. Apart from the commonly used Merton Model, the calculation method of default intensity from Duffie et al. (200...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/60077040820158837258 |
| Summary: | 碩士 === 國立中興大學 === 財務金融學系所 === 102 === This research project is attempted to probe the relevance of default index and rate of return. The research objects are the listed companies in Taiwan. Apart from the commonly used Merton Model, the calculation method of default intensity from Duffie et al. (2007) is also adopted. With the Ohlson variable, Shumway variable and Duffie variable, three indicators of default risk are obtained. The result showed that higher default risk leads to lower stock return rate. On the other hand the Fama-French factor model indicated that higher default risk causes size effect and BM effect.
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