支付不能風險對於股票報酬率之影響

Abstract

本研究探討支付不能風險和股票報酬率間之關係。我們發現支付不能風險狀態變數可以解釋Fama-French三因子所不能解釋的報酬率部分，也發現支付不能風險狀態變數如同Fama-French三因子一樣被定價。上述結果顯示，資產定價模型中似應包含一個市場支付不能風險之狀態變數。

We investigate the relationship between solvency risk and the equity returns. We find that solvency state variable can explain the residual returns which can not be explained by Fama-French’s three factors. We also find that solvency state variable is priced as well as the Fama-French’s three factors. It indicates that a market-wide solvency state variable might need to be added to asset pricing model.