最適資本結構、企業風險與股東權益報酬--- 內部風險移轉觀點

Abstract

本文利用相對槓桿、償債比率與擔保品比率，各自代表長期違約風險、短期流動性風險與違約回收比率，討論公司內部信用風險的變化。公司為維持信用風險水準，當槓桿提高使違約機率提高時，會調整償債比率與擔保品比率，以緩和信用風險惡化的狀況。反之，當償債比率與擔保品比率惡化時，公司調整槓桿，以維持整體信用風險水準。此外，這些變數同時會影響股東權益報酬。當槓桿上升時，股東報酬呈現先昇後降的型態；當償債比率與擔保品比率上升時，股東報酬則呈現先降後昇的型態。

Among the first studies, we examine the impacts on the equity returns from three credit risk dimensions measured as relative leverage (the distance to optimal leverage), solvency ratio, and collateral to asset, representing long-term default risk, short-term liquidity risk, and bargaining power of debt holders, respectively. We analyze the effects of these risks to both bondholders and stockholders. Our empirical investigation shows that a firm in the state of high credit risk, perhaps demanded by debt holder, tends to make a balance between these risk dimensions. In addition, we also find that equity returns exhibit a hump shape when relative leverage increases, a smile pattern when solvency ratio decreases, and a smile pattern too when collateral to asset increases, respectively.