傳染效果與競爭效果孰強? 信用事件對同業宣告效果之實證分析

Abstract

目前信用風險研究領域逐漸將重心移至整個投資組合的風險衡量，為提供未來修正投資組合風險模型的實証基礎，本篇文章蒐集了自1998 年到2005 年間82 筆的信用事件以進行信用事件對同業股票市場反應的宣告效果研究。從信用事件和產業市場結構的實證結果中我們分別發現到，一、傳染效果的規模會因信用事件的性質不同而隨之改變，二、競爭效果的規模與產業集中度呈現顯著的正相關結果。為進一步了解信用傳染的途徑，我們以產業和個別公司在財務以及公司治理上的表現對同業競爭對手在信用事件宣告後的異常股價變化作複迴歸分析，並發現以平均而言，公司規模大、舉債程度高以及具成長性質的公司較容易被傳染效果侵襲，相對的，獲利能力以及公司治理程度較好的同業競爭對手較能享受到危機公司退出市場的好處。最後，本篇文章也指出，未來可行的模型的修正，應將總體經濟因素、市場結構、企業財務健康程度和公司治理也納入考量。

New generation credit risk model have increasingly recognized the importance of credit contagion. To provide a solid empirical foundation, this paper investigates the announcement effect of a firm’s credit event on stock market abnormal return of its industry counterparts for a sample of 82 credit events filed between 1998 and 2005. Our findings show that the contagion and competitive effects are heterogeneous condition on the nature of credit events. In addition, competitors experience positive stock abnormal return in concentrated industries than in less concentrated industries, suggesting a competitive effect. We further examine the driver of contagion effect within industry and incorporate industry and firm-specific factors. On average, asset size, leverage degree, growth opportunity are positively related to the contagion effect whereas firms with higher profitability and better corporate governance can relatively benefit from the difficulties of the distressed firm.