財務危機公司之風險移轉行為探討：大公司與小公司之實證分析

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：57

、訪客IP：3.138.117.233

姓名

陳韋呈(Wei-cheng Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

財務危機公司之風險移轉行為探討：大公司與小公司之實證分析
(Risk-Shifting Behavior in Large and Small Distressed Firms: An Empirical Analysis)

相關論文

★ 最適指數複製法之自動化建置：以ETF50為例	★ 台灣公債市場與台幣利率交換交易市場動態關聯性之研究
★ 企業貸款債權證券化--信用增強探討	★ 停損點反向操作指標在台灣期貨市場實證
★ 投資型保單評價-富邦金吉利保本投資連結型遞延年金保險乙型(VANB5)	★ 停損點反向操作指標在台灣債券市場實證
★ 匯率風險值衡量之實證研究-以新台幣、日圓、英鎊、歐元匯率為例	★ 探討央行升息國內十年期指標公債未同步上升之原因
★ 信用風險模型評估—Merton模型之應用	★ 資產管理公司購買不動產擔保不良債權評價之研究
★ 股票除息對期貨與現貨報酬之影響	★ 主權基金的角色定位與未來影響力之研究
★ 我國公債期貨之研究分析	★ 用事件研究法探討希臘主權債信危機-以美國及德國公債為例
★ 企業避險及財務操作之實例探討	★ 台灣期貨市場之量價交易策略

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

本研究採用一致性的衡量方法透過大量的公司樣本來分析風險移轉問題在具有財務危機之大公司與小公司內的實際存在性。除了考慮市場與不同產業之風險對公司投資決策所造成的影響效果外，在檢驗有具財務危機之大公司與小公司的風險移轉行為上，我們亦考量了個別公司之總風險對公司投資決策所造成的影響效果。我們的實證分析結果提供了具有財務危機之小公司存在風險移轉行為的證據。進一步地，我們採用Duan(1994; 2000)所提出的最大概似估計法來估計風險移轉成本。根據我們的估計結果，具有財務危機之小公司的負債價值會因為公司過度投資在高度風險的投資案上而減損0.41%~0.55%。此外，我們也發現：擔保性的負債、短天期的負債、或較低的成長機會等因子對有財務危機的小公司之風險移轉行為僅有微弱的緩和效果。

摘要(英)

This study uses a uniform measure across a large sample of firms to analyze the actual existence of risk-shifting problem in large and small distressed firms. In addition to consider the effects of market-level and industry-level uncertainty on firm’’s invesrment, we also take the effects of total firm uncertainty on firm’’s investment into consideration to examine the risk-shifting behavior in large and small distressed firms. Our results provide the evidence of risk-shifting behavior in small distressed firms. Further, we use the maximum likelihood estimation method proposed by Duan(1994; 2000) to estimate the costs of risk-shifting. According to our estimation, the value of debt in small distressed firms is reduced by approximately 0.41%~0.55%, as the result of overinvestment in high uncertainty firm-specific investments. Moreover, we also find that the factors including secured debt, shorter maturity debt, and less growth options only have weaker effects on mitigating the risk-shifting behavior in small distressed firms.

關鍵字(中)

★ 最大概似估計
★ 風險移轉
★ 財務危機

關鍵字(英)

★ financial distress
★ risk-shifting
★ maximum likelihood estimation

論文目次

Abstract ................................................ii
List of Tables............................................v
List of Figures..........................................vi
1 Inttroduction...........................................1
2 Literature Review.......................................4
3 Estimation Method.......................................8
3.1 Measuring uncertainty.................................8
3.2 Estimating asset value and asset volatility..........11
3.3 Measuring investment intensity.......................13
3.4 Measuring extent of financial distress...............14
4 Empirical Tests........................................15
4.1 Hypotheses...........................................15
4.2 Data.................................................16
4.3 Primary Results......................................18
4.4 The Effect of Investment on Firm-Specific Volatility............25
4.5 The Effect of High Uncertainty Investment on Asset Return.............27
4.6 Estimating the Costs of Risk-shifting................30
4.7 Factors Affecting Risk-Shifting Behavior.............32
5 Conclusions............................................37
Reference................................................40

參考文獻

Altman, Edward I. (1968),“Financial ratios, discriminant analysis and the prediction of corporate bankruptcy”, Journal of Finance, 23, 589–609.
Andrade, Gregor and Steven Kaplan (1998), “How costly is financial (not economic) distress? evidence from highly leveraged transactions that became distressed”, Journal of Finance, 53, 1443–1493.
Baker, Malcolm and Jeffrey Wurgler (2002), “Market timing and capital structure”, Journal of Finance, 57, 1–32.
Barclay, Michael J. and Clifford W. Smith (1995a), “The maturity structure of corporate debt”, Journal of Finance, 50, 609–631.
Barclay, Michael J. and Clifford W. Smith (1995b), “The priority structure of corporate liabilities”, Journal of Finance, 50, 899–917.
Barnea, Amir, Robert A. Haugen, and Lemma W. Senbet (1980), “A rationale for debt maturity structure and call provisions in an agency theretic framework”, Journal of Finance, 35, 1223–1234.
Barnea, Amir, Robert A. Haugen, and Lemma W. Senbet (1981), “An equilibrium analysis of debt financing under costly tax arbitrage and agency problems”, Journal of Finance, 36, 569–581.
Black, Fischer and Myron Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81, 637–654.
Bollerslev, Tim (1986), “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics, 31, 307–327.
Bulan, Laarni T. (2003), “Real options, irreversible investment and firm uncertainty: New evidence from U.S. firms”, Working paper, Columbia University.
David J. Denis, Diane K. Denis and Atulya Sarin (1997), “Agency problems, equity ownership, and corporate diversification”, Journal of Finance, 52, 135–160.
De Jong, Abe and Ronald Van Dijk (2001), “Determinants of leverage and agency problems”, Working paper, Tilburg University.
Duan, J.C. (1994), “Maximum likelihood estimation using the price data of the derivative contract”, Mathematical Finance, 4(2), 155–167.
Duan, J.C. (2000), “Correction for maximum likelihood estimation using the price data of the derivative contract”, Mathematical Finance, 10(4), 461–462.
Eisdorfer, Assaf (2008), “Empirical evidence of risk shifting in financially distressed firms”, Journal of Finance, 63(2), 609–637.
Engle, Robert (1982), “Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation”, Econometrica, 50, 987–1008.
Episcopos, Athanasios (1995), “Evidence on the relationship between uncertainty and irreversible investment”, Quarterly Review of Economics and Finance, 35, 41–52.
Fazzari, Steven M., Glenn R. Hubbard, and Bruce C. Petersen (1988), “Finance constraints and corporate investment”, Brookings Papers on Economic Activity, 1, 141–195.
Ghosal, Vivek and Prakash Loungani (1996), “Product market competition and the impact of price uncertainty on investment: Some evidence from us manufacturing industries”, Journal of Industrial Economics, 44, 217–228.
Graham, John R. and Campbell R. Harvey (2001), “The theory and practice of corporate finance: Evidence from the field”, Journal of Financial Economics, 60, 187–243.
Green, Richard C. (1984), “Investment incentives, debt, and warrants”, Journal of Financial Economics, 13, 115–136.
Jensen, Michael C. and William H. Meckling (1976), “Thoey of the firm: Managerial behavior, agency costs and ownership structure”, Journal of Financial Economics, 3, 305–360.
Kaplan, Steven N. and Luigi Zingales (1997), “Do financing constraints explain why investment is correlated with cash flow?”, Quarterly Journal of Economics, 112, 169–215.
Korajczyk, Robert A. and Amnon Levy (2003), “Capital structure choice: Macroeconomic conditions and financial constraints”, Journal of Financial Economics, 68, 75–109.
Korkeamaki, Timo P. and William T. Moore (2004),“Converitlbe bond design and capital investment: The role of call provisions”, Journal of Finance, 59, 391–405.
Leahy, John V. and Toni M. Whited (1996), “The effect of uncertainty on investment: Some stylized facts”, Journal of Financial Economics, 28, 64–83.
Loughran, Tim and Jay R. Ritter (1995), “The new issue puzzle”, Journal of Finance, 50, 23–51.
Mayers, David (1998), “Why firms issue convertible bonds: The matching of financial and real investment options”, Journal of Financial Economics, 47, 83–102.
Merton, Robert C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 29, 449–470.
Michaelas, Nicos, Francis Chittenden, and Panikkos Poutziouris (1999), “Financial Policy and Capital Structure Choice in U.K. SMEs: Empirical Evidence from Company Panel Data”, Small Business Economics, 12, 113–130.
Myers, Stewart C. (1977), “Determinants of corporate borrowing”, Journal of Financial Economics, 5, 147–175.
Pindyck, Robert S. and Andres Solimano (1993), “Economic instability and aggregate investment”, NBER Macroeconomics Annual, 8, 259–303.
Rajan, Raghuram G. and Luigi Zingales (1995), “What do we know about capital structure? Some evidence from international data”, Journal of Finance, 50, 1421–1460.
Ronn, E.I. and A.K. Verma (1986), “Pricing risk-based deposit insurance: An option-based model”, Journal of Finance, 41, 871–895.
Smith, CliffordW. (1986), “Investment banking and the capital acquisition process”, Journal of Financial Economics, 15, 3–29.
Smith, Clifford W. and Jerold B. Warner (1979), “On financial contracting: An analysis of bond covenants”, Journal of Financial Economics, 7, 117–162.
Smith, Clifford W. and Ross L. Watts (1992), “The investment opportunity set and corporate financing, dividend, and compensation policies”, Journal of Financial Economics, 32, 263–292.

指導教授

張傳章(Chuang-chang Chang)

審核日期

2008-7-1

推文