원문정보
초록
영어
Rational asset-pricing theory asserts that higher risk should be accompanied by higher expected return. The credit-risk puzzle, however, states a negative cross- sectional relationship between credit risk and future stock returns (Dichev, 1998; Grin and Lemmon, 2002; Campbell et al., 2008; Avramov et al., 2009). This pa- per examines the credit-risk puzzle using an independent dataset from Taiwan's stock market. We document the existence of the credit-risk premium in both portfolios and individual stocks, and demonstrate that it can not be explained by well-known asset-pricing models which include the CAPM, Fama and French's (1993) three-factor model, and Liu's (2006) liquidity-augmented CAPM. Unlike the evidence in the U.S. market, rating downgrades only have limited impact on stock returns in Taiwan. Further analysis indicates that credit rating serves as a better proxy for distress risk, and is thus priced in Taiwan's stock market.
목차
1 Introduction
2 Data and the Credit-Risk Premium
3 Methodology
3.1 Tests on Credit Rating Portfolios
3.2 Credit Risk in the Cross-section of Stock Returns
4 Empirical Results
4.1 Tests with portfolios
4.2 Tests with Individual Stocks
4.3 The Impact of Downgrades
4.4 Does Credit Rating Proxy for Distress Risk?
5 Conclusions
Appendix
References
Table