This thesis empirically examines the relationship of bankruptcy probability, book-to-market equity and expected stock returns. -
Bankruptcy probability, size and book-to-market equity represent the relative distress risk of firms. However, among the firms with relatively higher bankruptcy probability there are more low book-to-market equity firms than high book-to-market equity firms. In addition, low book-tomarket equity firms show low stock returns and a large book-to-market equity effect.
Fama and French's three-factor regression cannot explain the large book-to-market equity effect. Also, there is no evidence that bankruptcy probability or other risk factors may explain the large book-to-market equity effect. Additionally, an event study shows that low stock returns of low book-to-market equity firms with relatively higher bankruptcy probability do not seem to be associated with overreaction by investors.
Finally, this thesis documents that low book-to-market equity with relatively higher bankruptcy probability is due to poor performance. However, it is not clear that low stock returns of low book-to-market firms with relatively higher bankruptcy probability are related to risk factors or market inefficiency.
이 논문은 부도확률, B/M Equity, 기업의 규모와 주가수익률의 관계를 알아보는 것이 목적이다.
부도확률과 기업규모, B/M Equity가 기업의 재무적 위험을 나타내는 것으로 알려져 있는데, 부도확률이 매우 높은 경우에는 B/M Equity가 낮은 것으로 나타났다. 또한 부도확률이 높으면 주가수익률이 낮고, B/M Equity 효과는 큰 것으로 밝혀졌다.
이러한 B/M Equity 효과는 Fama and French의 Three-Factor Model로는 설명이 안되며, Lakonishok, et al.이나 Griffin이 주장한 것과 같이 투자자들의 비합리적 행태로도 설명이 어려운 것으로 나타났다.
