財務危機公司之風險移轉行為探討：大公司與小公司之實證分析

Risk-Shifting Behavior in Large and Small Distressed Firms: An Empirical Analysis

陳韋呈(Wei-cheng Chen)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系/碩士(2008年)

摘要

本研究採用一致性的衡量方法透過大量的公司樣本來分析風險移轉問題在具有財務危機之大公司與小公司內的實際存在性。除了考慮市場與不同產業之風險對公司投資決策所造成的影響效果外，在檢驗有具財務危機之大公司與小公司的風險移轉行為上，我們亦考量了個別公司之總風險對公司投資決策所造成的影響效果。我們的實證分析結果提供了具有財務危機之小公司存在風險移轉行為的證據。進一步地，我們採用Duan(1994; 2000)所提出的最大概似估計法來估計風險移轉成本。根據我們的估計結果，具有財務危機之小公司的負債價值會因為公司過度投資在高度風險的投資案上而減損0.41%~0.55%。此外，我們也發現：擔保性的負債、短天期的負債、或較低的成長機會等因子對有財務危機的小公司之風險移轉行為僅有微弱的緩和效果。

關鍵字

最大概似估計 ； 風險移轉 ； 財務危機

並列摘要

This study uses a uniform measure across a large sample of firms to analyze the actual existence of risk-shifting problem in large and small distressed firms. In addition to consider the effects of market-level and industry-level uncertainty on firm''s invesrment, we also take the effects of total firm uncertainty on firm''s investment into consideration to examine the risk-shifting behavior in large and small distressed firms. Our results provide the evidence of risk-shifting behavior in small distressed firms. Further, we use the maximum likelihood estimation method proposed by Duan(1994; 2000) to estimate the costs of risk-shifting. According to our estimation, the value of debt in small distressed firms is reduced by approximately 0.41%~0.55%, as the result of overinvestment in high uncertainty firm-specific investments. Moreover, we also find that the factors including secured debt, shorter maturity debt, and less growth options only have weaker effects on mitigating the risk-shifting behavior in small distressed firms.

並列關鍵字

financial distress ； risk-shifting ； maximum likelihood estimation

參考文獻

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