:::

詳目顯示

回上一頁
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 引用關係簡金成 引用關係
作者(外文):Chen, Chieh-shuoChien, 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 effectSurvivorship biasDefault risk
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:7
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。
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.
期刊論文
1.Al-Rjoub, Samer A. M.、Varela, Oscar、Hassan, M. Kabir(2005)。The size effect reversal in the USA。Applied Financial Economics,15(17),1189-1197。  new window
2.Aiyagari, Rao S.(1994)。Uninsured idiosyncratic risk and aggregate saving。Quarterly Journal of Economics,109,659-684。  new window
3.Badrinath, Swaminathan G.、Kini, Omesh(1994)。The relationship between securities yields, firm size, earnings/price ratios, and Tobin's Q。Journal of Business Finance and Accounting,21,109-131。  new window
4.Avramov, Doron、Chordia, Tarun(2006)。Asset pricing models and financial market anomalies。Review of Financial Studies,19,1001-1040。  new window
5.Apergis, Nicholas、Payne, James E.(2014)。Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets。Review of Financial Economics,23,46-53。  new window
6.Cazier, Richard A.(2011)。Measuring R&D curtailment among short-horizon CEOs。Journal of Corporate Finance,17(3),584-594。  new window
7.Bauer, Rob、Cosemans, Mathijs、Schotman, Peter C.(2008)。Conditional asset pricing and stock market anomalies in Europe。European Financial Management,16,165-190。  new window
8.Chen, Tsung-Cheng、Chien, Chin-Chen(2011)。Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance。Pacific-Basin Finance Journal,19(2),208-229。  new window
9.Chen, Nai-Fu(1983)。Some empirical tests of the theory of arbitrage pricing。Journal of Finance,38,1393-1414。  new window
10.Chan, Louis K. C.、Karceski, Jason、Lakonishok, Josef(2000)。New paradigm or same old hype in equity investing?。Financial Analysts Journal,56,23-36。  new window
11.Chan, Ka C.、Chen, Nai-Fu、Hsieh, David A.(1985)。An exploratory investigation of the firm size effect。Journal of Financial Economics,14(3),451-471。  new window
12.De Groot, Wilma、Pang, Juan、Swinkels, Laurens(2012)。The cross-section of stock returns in frontier emerging markets。Journal of Empirical Finance,19,796-818。  new window
13.Chen, Zhi-Wu、Jindra, Jan(2010)。A valuation study of stock market seasonality and the size effect。Journal of Portfolio Management,36,78-92。  new window
14.Dissanaike, Gishan(2002)。Does the size effect explain the U. K. winner-loser effect?。Journal of Business Finance and Accounting,29,139-154。  new window
15.Dichev, Ilia D.(1998)。Is the risk of bankruptcy a systematic risk?。Journal of Finance,53(3),1131-1147。  new window
16.Denis, David J.、Denis, Diane K.(1995)。Causes of financial distress following leveraged recapitalizations。Journal of Financial Economics,37,129-157。  new window
17.De Moor, Lieven、Sercu, Piet(2013)。The smallest firm effect: An international study。Journal of International Money and Finance,32,129-155。  new window
18.Elfakhani, Said、Zaher, Tarek(1998)。Differential information hypothesis, firm neglect, and the small firm size effect。Journal of Financial and Strategic Decisions,11,29-40。  new window
19.Eleswarapu, Venkat R.、Reinganum, Marc R.(1993)。The seasonal behavior of the liquidity premium in asset pricing。Journal of Financial Economics,34,373-386。  new window
20.Durand, Robert B.、Juricev, Alex、Smith, Gary W.(2007)。SMB-Arousal, disproportionate reactions and the size-premium。Pacific-Basin Finance Journal,15,315-328。  new window
21.Downs, Thomas W.、Ingram, Robert W.(2000)。Beta, size, risk, and return。Journal of Financial Research,23,245-260。  new window
22.Fama, Eugene F.(1985)。What is different about banks?。Journal of Monetary Economics,15,29-39。  new window
23.Falkenstein, Eric G.(1996)。Preferences for stock characteristics as revealed by mutual fund portfolio holdings。Journal of Finance,51,111-135。  new window
24.Eun, Cheol S.、Jang, Hong J.(2000)。Investor recognition of bankruptcy costs: Evidence from the 1987 market crash。Multinational Finance Journal,4,221-245。  new window
25.Gaunt, Clive、Gray, Philip、McIvor, Julie(2000)。The impact of share price on seasonality and size anomalies in Australian equity returns。Accounting and Finance,40,33-50。  new window
26.Gaunt, Clive(2004)。Size and book to market effects and the Fama French three factor asset pricing model: Evidence from the Australian stockmarket。Accounting and Finance,44,27-44。  new window
27.Fama, Eugene F.、French, Kenneth R.(2008)。Dissecting anomalies。Journal of Finance,63(4),1653-1678。  new window
28.Gharghori, Philip、Chan, Howard、Faff, Robert(2009)。Default risk and equity returns: Australian evidence。Pacific-Basin Finance Journal,17,580-593。  new window
29.Gharghori, Philip、Chan, Howard、Faff, Robert(2007)。Are the Fama-French factors proxying default risk?。Australian Journal of Management,32,223-249。  new window
30.Ho, Ron Y.、Strange, Roger、Piesse, Jenifer(2006)。On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market。Journal of International Financial Markets, Institutions and Money,16,199-214。  new window
31.Hirshleifer, David(2001)。Investor psychology and asset pricing。Journal of Finance,56,1533-1597。  new window
32.Heaton, John、Lucas, Deborah J.(1996)。Evaluating the effects of incomplete markets on risk sharing and asset pricing。Journal of Political Economy,104,443-487。  new window
33.Houge, Todd、Wellman, Jay(2007)。The use and abuse of mutual fund expenses。Journal of Business Ethics,70,23-32。  new window
34.Hou, Kewei、Moskowitz, Tobias J.(2005)。Market frictions, price delay, and the cross-section of expected returns。Review of Financial Studies,18,981-1020。  new window
35.Hotchkiss, Edith S.(1995)。Postbankruptcy performance and management turnover。Journal of Finance,50(1),3-21。  new window
36.Horowitz, Joel L.、Loughran, Tim、Savin, Nathan E.(2000)。Three analyses of the firm size premium。Journal of Empirical Finance,7(2),143-153。  new window
37.Horowitz, Joel L.、Loughran, Tim、Savin, Nathan E.(2000)。The disappearing size effect。Research in Economics,54,83-100。  new window
38.Kassimatis, Konstantinos(2008)。Size, book to market, and momentum effects in the Australian stock market。Australian Journal of Management,33,145-168。  new window
39.Kang, Jun-Koo、Stulz, René M.(1997)。What is there a home bias? An analysis of foreign portfolio equity ownership in Japan。Journal of Financial Economics,46,3-28。  new window
40.James, Christopher、Edmister, Robert O.(1983)。The relation between common stock returns trading activity and market value。Journal of Finance,38,1075-1086。  new window
41.Lesmond, David A.、Ogden, Joseph P.、Trzcinka, Charles A.(1999)。A new estimate of transaction costs。Review of Financial Studies,12(5),1113-1141。  new window
42.Kousenidis, Dimitrios V.(2005)。Earnings-Returns relation in Greece: Some evidence on the size effect and on the life-cycle hypothesis。Managerial Finance,31,24-54。  new window
43.Kothari, Shivangi P.、Shanken, Jay、Sloan, Richard G.(1995)。Another look at the cross-section of expected stock returns。Journal of Finance,50,185-224。  new window
44.Knez, Peter J.、Ready, Mark J.(1997)。On the robustness of size and book-to-market in cross-sectional regressions。Journal of Finance,52,1355-1382。  new window
45.Marquering, Wessel、Nisser, Johan、Valla, Toni(2006)。Disappearing anomalies: A dynamic analysis of the persistence of anomalies。Applied Financial Economics,16,291-302。  new window
46.Macey, Jonathan、O'Hara, Maureen、Pompilio, David(2008)。Down and out in the stock market: The law and economics of the delisting process。Journal of Law and Economics,51,683-713。  new window
47.Lucas, Deborah J.(1994)。Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle。Journal of Monetary Economics,34,325-341。  new window
48.Narayan, Paresh K.、Zheng, Xin-Wei(2010)。Market liquidity risk factor and financial market anomalies: Evidence from the Chinese stock market。Pacific-Basin Finance Journal,18,509-520。  new window
49.Moulton, Wilbur N.、Thomas, Howard(1993)。Bankruptcy as a deliberate strategy: Theoretical considerations and empirical evidence。Strategic Management Journal,14,125-135。  new window
50.Morelli, David(2007)。Beta, size, book-to-market equity, and returns: A study based on U. K. data。Journal of Multinational Financial Management,17,257-272。  new window
51.Polkovnichenko, Valery(2005)。Household portfolio diversification: A case for rank-dependent preferences。Review of Financial Studies,18,1467-1502。  new window
52.Pettengill, Glenn、Sundaram, Sridhar、Mathur, Ike(2002)。Payment for risk: Constant beta vs. dual-beta models。Financial Review,37,123-136。  new window
53.Olsen, Robert A.、Troughton, George H.(2000)。Are risk premium anomalies caused by ambiguity?。Financial Analysts Journal,56(2),24-31。  new window
54.Schultz, Paul(1983)。Transaction costs and the small firm effect: A comment。Journal of Financial Economics,12(1),81-88。  new window
55.Rutledge, Robert W.、Zhang, Zhao-Hui、Karim, Khondkar(2008)。Is there a size effect in the pricing of stocks in the Chinese stock markets? The case of bull versus bear markets。Asia-Pacific Financial Markets,15,117-133。  new window
56.Roll, Richard(1981)。A possible explanation of the small firm effect。Journal of Finance,36,879-888。  new window
57.Reinganum, Marc R.(1982)。A direct test of Roll's conjecture on the firm size effect。Journal of Finance,37,27-35。  new window
58.Potter, Gordon(1992)。Accounting earnings announcements, institutional investor concentration, and common stock returns。Journal of Accounting Research,30,146-155。  new window
59.Statman, Meir(1987)。How many stocks make a diversified portfolio?。Journal of Financial and Quantitative Analysis,22,353-363。  new window
60.Shumway, Tyler(1997)。The delisting bias in CRSP data。Journal of Finance,52,327-340。  new window
61.Shawky, Hany A.、Smith, David M.(2005)。Optimal number of stock holdings in mutual fund portfolios based on market performance。Financial Review,40(4),481-495。  new window
62.Wang, Xiao-Zu(2000)。Size effect, book-to-market effect, and survival。Journal of Multinational Financial Management,10,257-273。  new window
63.Wald, John K.(1999)。How firm characteristics affect capital structure: An international comparison。Journal of Financial Research,22(2),161-187。  new window
64.Vassalou, Maria、Xing, Yu-Hang(2004)。Default risk in equity returns。Journal of Finance,59,831-868。  new window
65.Van Dijk, Mathijs A.(2011)。Is size dead? A review of the size effect in equity returns。Journal of Banking and Finance,35(12),3263-3274。  new window
66.Zhang, Chu(2009)。On the explanatory power of firm-specific variables in cross-sections of expected returns。Journal of Empirical Finance,16,306-317。  new window
67.Waszczuk, Antonina(2013)。Do local or global risk factors explain the size, value, and momentum trading pay-offs on the Warsaw stock exchange。Applied Financial Economics,23,1497-1508。  new window
68.Warner, Jerold B.(1977)。Bankruptcy costs: Some evidence。Journal of Finance,32,337-347。  new window
69.林美珍(20121200)。Are Mutual Fund Tournaments Beneficial to Shareholders?。財務金融學刊,20(4),59-88。new window  new window
70.Campbell, John Y.、Lettau, Martin、Malkiel, Burton G.、Xu, Yexiao(2001)。Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk。Journal of Finance,56(1),1-43。  new window
71.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
72.Chatterjee, Sayan、Lubatkin, Michael H.、Schulze, William S.(1999)。Toward a strategic theory of risk premium: Moving beyond CAPM。Academy of Management Review,24(3),556-567。  new window
73.Barber, Brad M.、Odean, Terrance(2000)。Trading is hazardous to your wealth: The common stock investment performance of individual investors。The Journal of Finance,55(2),773-806。  new window
74.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
75.Keim, Donald B.(1983)。Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence。Journal of Financial Economics,12(1),13-32。  new window
76.Kim, Moon K.、Burnie, David A.(2002)。The firm size effect and the economic cycle。Journal of Financial Research,25(1),111-124。  new window
77.Eun, Cheol S.、Huang, Wei(2007)。Asset pricing in China's domestic stock markets: Is there a logic?。Pacific-Basin Finance Journal,15(5),452-480。  new window
78.Daniel, Kent、Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1997)。Measuring Mutual Fund Performance with Characteristic-based Benchmarks。Journal of Finance,52(3),1035-1058。  new window
79.Ferreira, Miguel A.、Matos, Pedro(2008)。The colors of investors' money: the role of institutional investors around the world。Journal of Financial Economics,88(3),499-533。  new window
80.Gompers, Paul Alan、Metrick, Andrew(2001)。Institutional investors and equity prices。The Quarterly Journal of Economics,116(1),229-259。  new window
81.Shumway, Tyler、Warther, Vincent A.(1999)。The delisting bias in CRSP's Nasdaq data and its implications for the size effect。Journal of Finance,54(6),2361-2379。  new window
82.Goetzmann, William N.、Kumar, Alok(2008)。Equity Portfolio Diversification。Review of Finance,12(3),433-463。  new window
83.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。  new window
84.Evans, John L.、Archer, Stephen H.(1968)。Diversification and the reduction of dispersion: An empirical analysis。Journal of Finance,23,761-767。  new window
85.Dahlquist, Magnus、Robertsson, Göran(2001)。Direct foreign ownership, institutional investors, and firm characteristics。Journal of Financial Economics,59(3),413-440。  new window
86.Heckman, James Joseph(1979)。Sample Selection Bias as a Specification Error。Econometrica: Journal of the Econometric Society,47(1),153-162。  new window
87.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
88.Dimson, Elroy(1979)。Risk Measurement When Shares Are Subject to Infrequent Trading。Journal of Financial Economics,7(2),197-226。  new window
89.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
90.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
91.Opler, Tim C.、Titman, Sheridan(1994)。Financial distress and corporate performance。The Journal of Finance,49(3),1015-1040。  new window
92.Barry, Christopher B.、Brown, Stephen J.(1985)。Differential information and security market equilibrium。Journal of Financial and Quantitative Analysis,20(4),407-422。  new window
93.Stoll, Hans R.、Whaley, Robert E.(1983)。Transaction Costs and the Small Firm Effect。Journal of Financial Economics,12(1),57-79。  new window
94.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
95.Chevalier, Judith、Ellison, Glenn(1999)。Are Some Mutual Fund Managers Better than Others? Cross-sectional Patterns in Behavior and Performance。Journal of Finance,54(3),875-899。  new window
96.Hillegeist, Stephen A.、Keating, Elizabeth K.、Cram, Donald P.、Lundstedt, Kyle G.(2004)。Assessing the Probability of Bankruptcy。Review of Accounting Studies,9,5-34。  new window
97.Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。  new window
研究報告
1.Li, Jin-Liang、Zhang, Lu、Zhou, Jian(2006)。Earnings management and delisting risk of initial public offerings。  new window
2.Statman, Meir(2003)。How much diversification is enough?。  new window
圖書
1.Altman, Edward I.(1993)。Corporate Financial Distress and Bankruptcy。New York:John Wiley and Sons。  new window
2.Lando, David(2004)。Credit Risk Modeling: Theory and Applications。Princeton University Press。  new window
3.McDonald, Robert L.(2012)。Derivatives Markets。Boston:Pearson Addison Wesley。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE