Survivorship Bias, Default Risk, and Equity Returns: Further Evidence__臺灣人文及社會科學引文索引資料庫

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題名：	Survivorship Bias, Default Risk, and Equity Returns: Further Evidence
書刊名：	財務金融學刊
作者：	陳皆碩／簡金成
作者(外文)：	Chen, Chieh-shuo／Chien, Chin-chen
出版日期：	2015
卷期：	23:4
頁次：	頁105-138
主題關鍵詞：	規模效應；存活偏誤；違約風險；Size effect；Survivorship bias；Default risk
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:8

本文使用Heckman (1979) 之修正模型處理規模效應文獻中樣本選擇偏誤問題。研究結果顯示規模效應是由於未修正樣本存活偏誤下之統計發現，而一旦修正該偏誤後，小公司並未產生較高之報酬。此外，一旦考慮了違約風險溢酬，大公司有較高之報酬。穩健測試考慮了系統風險衡量、景氣循環、極端值、交易成本、季節性與採用Jensen alpha，結果傾向一致。

以文找文

We apply Heckman’s (1979) correction method to deal with the sample selection problem in the literature on size effect. We show that the anomaly is a statistical artifice of failing to control for the ex post survivorship bias, and small firms do not generate higher returns once the bias is corrected for. Moreover, large firms have higher returns than small firms once the ex ante default risk premium is taken into account. The evidence is robust when the beta measurement, economic cycle, extreme returns, transaction costs, and seasonality are controlled for and Jensen alpha is employed.

以文找文

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研究報告
1.	Li, Jin-Liang、Zhang, Lu、Zhou, Jian(2006)。Earnings management and delisting risk of initial public offerings。
2.	Statman, Meir(2003)。How much diversification is enough?。

圖書
1.	Altman, Edward I.(1993)。Corporate Financial Distress and Bankruptcy。New York：John Wiley and Sons。
2.	Lando, David(2004)。Credit Risk Modeling: Theory and Applications。Princeton University Press。
3.	McDonald, Robert L.(2012)。Derivatives Markets。Boston：Pearson Addison Wesley。

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