Survivorship Bias, Default Risk, and Equity Returns: Further Evidence

存活偏誤、違約風險與權益報酬：進一步證據

陳皆碩(Chieh-Shuo Chen) ； 簡金成(Chin-Chen Chien)

《財務金融學刊》 23卷4期 (2015/12) Pp. 104-138

https://doi.org/10.6545/JFS.2015.23(4).4

摘要

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。

關鍵字

規模效應 ； 存活偏誤 ； 違約風險

並列摘要

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.

並列關鍵字

Size effect ； survivorship bias ； default risk

參考文獻

Aiyagari, Rao S.(1994).Uninsured idiosyncratic risk and aggregate saving.Quarterly Journal of Economics.100,659-684.

Al-Rjoub, Samer A. M.,Varela, Oscar,Hassan, Kabir(2005).The size effect reversal in the USA.Applied Financial Economics.15,1189-1197.

Altman, Edward I.(1968).Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.Journal of Finance.23,589-609.

Altman, Edward I.(1993).Corporate Financial Distress and Bankruptcy.New York:John Wiley and Sons.

Amihud, Yakov(2002).Illiquidity and stock returns: Cross-Section and time-series effects.Journal of Financial Markets.5,31-56.