市場流動性與公司違約風險

Abstract

本篇研究利用台灣上市上櫃公司的資料進行實證研究，探討是否市場流動性可以對於預測財務危機提供有價值的資訊。在此篇研究中，我們發現到即使加入了文中提及的控制變數後，股票成交量成長率有預測財務危機的能力，當公司股票過去一年平均交易量成長率愈高，該公司在未來一年內發生財務危機的機率則愈低。 此結果的其中一種可能原因為，當公司信用風險增加，資訊不對稱將增加，所以這將使得投資人不願意交易該公司的有價證券；另外一種造成此結果的原因為，公司有價證券的市場流動性減少可能會增加該公司的籌資成本，進而造成信用風險增加。

Using the data of Taiwan’s listed firms, this thesis empirically investigates whether market liquidity variables provide valuable information for predicting corporate financial distress. It finds that, after controlling the variables documented in the literature, the growth rate of a stock’s trading volumes still has prediction power on financial distress. The higher the growth rate of trading volumes, the lower the probabilities that a firm will become financially distressed within one year.

One possible explanation for this result is that information asymmetry increases as a firm’s credit risk becomes higher, so investors are more reluctant to trade the firm’s stock. Also, the reduction in market liquidity may raise the firm’s funding costs, then increase its credit risk.