Solvency Risk in Equity Returns

支付不能風險對股票報酬率的影響

10.6545/JFS.2008.16(2).4

廖咸興(Hsien-Hsing Liao)；廖孟容(Meng-Jung Liao)；陳宗岡(Tsung-Kang Chen)

財務金融學刊

16卷2期（2008 / 06 / 30）

101 - 125

英文

We investigate the relationship between solvency risk and equity returns. We find that there is a solvency state variable which can explain the residual returns which can not be explained by Farna-French's three factors. We also find that solvency state variable is priced as well as the Fama-Frenchs three factors. It indicates that a market-wide solvency state variable might need to be added to asset pricing model.

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