题名

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

并列篇名

存活偏誤、違約風險與權益報酬：進一步證據

DOI

10.6545/JFS.2015.23(4).4

作者

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

关键词

規模效應 ； 存活偏誤 ； 違約風險 ； Size effect ； survivorship bias ； default risk

期刊名称

財務金融學刊

卷期/出版年月

23卷4期（2015 / 12 / 31）

页次

104 - 138

内容语文

英文
中文摘要

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。
英文摘要

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.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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