生產效率不確定性對公司債收益率差之影響：隨機前緣法及資料包絡法觀點

Abstract

本文基本上遵循Chen et al. (2011) 的文章以驗證公司生產效率的不確定性對公司信用風險的影響，但與其不同的是，本研究使用了兩種不同的方法來度量生產效率的不確定性。第一種方法為Becchetti and Sierra (2003) 的文章中所使用的隨機前緣法，而第二種則為Psillaki et al. (2010) 的研究中所使用的資料包絡法。根據本文的實證結果顯示，無論使用隨機前緣法亦或資料包絡法，生產效率的不確定性與公司債收益率差呈顯著正相關，而生產效率則與公司債收益率差呈顯著負相關。即便在考慮其他變數，如槓桿比率、權益波動性等等的情況下，兩種方法下所度量生產效率的不確定性皆仍與公司債收益率差呈顯著正相關。本文的結果證實生產效率的不確定性是影響公司信用風險的一項重要決定因素。

This paper basically follows Chen et al. (2011) to examine the effects of the uncertainty of production efficiency on corporate credit risks. Different from theirs, this study uses two different approaches to measure the production efficiency uncertainty. The first one is the stochastic frontier approach employed by Becchetti and Sierra (2003), and the second one is the data envelopment analysis used by Psillaki et al. (2010). The empirical results of this study show that the production efficiency uncertainty significantly and positively relates to the corporate bond yields, no matter what approaches we use. But the production efficiency negatively relates to it. Even controlling for other well-known variables, such as the leverage ratio, the equity volatility, and so on, the uncertainty of production efficiency still significantly and positively relates to the corporate bond yields under these two approaches. The results support that the uncertainty of the production efficiency is an important determinant of the corporate credit risks.