財務金融研究

Essays in Finance

蔡文馨(Wen-Hsin Tsai)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/博士(2020年)

https://doi.org/10.6342/NTU202000759

摘要

本文探討兩個與財務危機風險相關的重要議題。第一個議題是以美國申請破產保護公司發行之債券為研究對象，透過Kalman Filter 演算法，從公開的債券市場價格，找出隱含的回復率與經濟違約日，分析違約債券的交易行為。研究發現，債券回復率在經濟違約日或申請破產保護日之表現差異不大，但皆不是最終回復率之良好估計值，儘管如此，影響債券回復率之因素相似。更重要的是，在公司尚未申請破產保護前，若市場認知到債券即將違約，強烈賣壓會降低投資人對債券之預期，導致價格在申請破產保護日之下跌，然而，這些交易行為卻也推高債券之最終回復率，帶來嚴重之回復率偏離，解釋了違約債券交易之快速成長。第二個議題是探討管理樂觀與留任經理人如何影響申請破產保護公司之經營表現與最終結果。研究發現，管理樂觀之公司會在申請破產保護日前，採取較為積極之現金與融資策略；當樂觀程度愈大，公司在重整階段之經營表現會愈糟，能成功脫離保護期間之可能性也會愈低。有趣的是，公司若能留任現任經理人，將有助於減緩管理樂觀對公司帶來之負面效果，改善經營績效與重整結果。透過管理樂觀變數的存在，解釋文獻對於財務危機公司留任經理人不一致看法之原因。

關鍵字

信用風險 ； 債券回復率 ； 經濟違約日 ； 管理樂觀 ； 經理人留任 ； 破產保護

並列摘要

This dissertation covers two essays related to financial distress risk. The first essay examines the influence of default information leakage on the recovery process by using time-series recoveries implicit in defaulted bonds issued by bankruptcy-filing firms in the United States. Results show that the recoveries shortly after default or filing can substitute for each other; however, neither is a good estimator for the recovery at bankruptcy resolution. Results also document the assembled determinants that drive the level of recoveries post default. As bondholders perceive default-relevant information earlier than the formal filing, distressed bond trading activities originating from the pressure to sell intensify with high transaction costs, decreasing the expectation on recoveries at filing. Alternatively, this brings in a positive influence on the recoveries at bankruptcy resolution and magnifies the changes in recoveries for disvalued bonds. The second essay explores how managerial optimism and CEO retention affect corporate performance and bankruptcy resolution. Results indicate that over the period leading up to the filing, managerial optimism causes bankruptcy-filing firms to adopt more aggressive strategies in terms of cash policy and tapping the external debt market to meet fund requirements. The greater the optimism, the worse the bankruptcy performance and the less probable survival is. While an optimistic attitude is proven to be detrimental in bankruptcy-filing firms, retaining pre-filing CEOs in office mitigates the negative influences of managerial optimism on corporate performance and aids the firm to successfully survive bankruptcy protection.

並列關鍵字

credit risk ； recovery rates ； economic default date ； managerial optimism ； management retention ； bankruptcy protection

參考文獻

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