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Credit Rating Anomaly in Taiwan Stock Market
Kuan-Cheng Ko,Shinn-Juh Lin,Hsiang-Hui Chu,Hsiao-Wei Ho 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09
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.
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Credit Rating Anomaly in the Taiwan Stock Market
Kuan-Cheng Ko,Hsiang-Hui Chu,Shinn-Juh Lin,Hsiao-Wei Ho 한국증권학회 2013 Asia-Pacific Journal of Financial Studies Vol.42 No.3
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 (Journal of Finance, 53, 1998, 1131; Journal of Finance, 57, 2002, 2317; Journal of Finance, 63, 2008, 2899; Journal of Financial Markets, 12, 2009, 469). This paper examines the credit risk puzzle using an independent dataset from Taiwan’s stock market. We document a significantly positive premium between highest- and lowest-rated stocks in both portfolios and individual stocks, and demonstrate that it cannot be explained by well-known asset-pricing models, including the CAPM, Journal of Financial Economics, 33, 1993, 3 three-factor model, and Journal of Financial Economics 82, 2006, 631 liquidity-augmented CAPM. Unlike the evidence collected from the US market, rating downgrades only have limited impact on the cross-sectional variation of 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.
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Does the Value Spread Predict International Stock Returns?
Yu-Ru Huang,Kuan-Cheng Ko,Hsiang-Tai Lee,Shinn-Juh Lin 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09
This paper conducts an extensive empirical study on the predictive ability of the value spread based on a sample of 42 MSCI countries. Methodologically, we extend Liu and Zhang's (2008) analysis in an international framework, and nd consistent results that the value spread has little predictive ability on stock returns, while the two components (the book-to-market spread, and the market-to-book spread) predict stock returns with signi cant yet opposite signs. Compared with the book-to-market spread and the value spread, the market- to-book spread demonstrates particularly stronger predictive power not only for country-speci c returns, but also for returns of regional and industrial port- folios.
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