非金融企業之系統風險與短期債務比率

Abstract

本論文以國內2000至2022年非金融產業之上市、櫃公司為樣本，並以Acharya et al. (2017) 定義的邊際預期損失 (Marginal Expected Shortfall, MES) 衡量公司系統風險，探討公司之短債比率與其系統風險之間的關係，並進一步檢驗公司之短債比率與系統風險對於其2008年金融海嘯時期股價表現的影響。本論文的實證結果可歸納如下。第一、就全時期樣本來看，公司的短債比率與系統風險之間呈負相關，即短債比率越高的公司系統風險越低。第二，若不控制其他變數，則在2008年金融海嘯發生之前短債比率或系統風險越高的公司在金融海嘯期間股價報酬越低，但此結果在控制其他變數後轉弱。本論文的實證結果與文獻中信用品質較佳之企業傾向選擇短期負債籌資的結論一致。本論文的結果也顯示：當金融風暴發生時，系統風險或短債比率較高之公司的財務表現會受較大的負面衝擊。

This paper examines the relationship between short-term debt ratio and systemic risk of non-financial companies listed on the stock market in Taiwan from 2000 to 2022. The systemic risk is measured using the Marginal Expected Shortfall (MES) defined by Acharya et al. (2017). Furthermore, the study investigates the impact of short-term debt ratio and systemic risk on the stock price performance of these companies during the 2008 financial crisis. The empirical findings of this paper can be summarized as follows: First, for the entire sample period, there is a negative correlation between the short-term debt ratio of a company and its systemic risk. In other words, companies with higher short-term debt ratios tend to have lower systemic risk. Second, without controlling for other variables, companies with higher pre-crisis short-term debt ratios or systemic risk exhibit lower stock returns during the financial crisis of 2008. However, this result weakens after controlling for other variables. The empirical results of this paper are consistent with the conclusion that firms with better credit quality tend to choose short-term debt financing. The findings also suggest that companies with higher systemic risk or short-term debt ratios experience greater negative impacts on their financial performance during financial crises.