這篇研究主要是探討台灣具有財務危機公司其股價報酬與風險之間的關係。根據Fama和French 兩位學者在1992年所提出的三因子模型指出：公司具有越高的帳面市值比會帶來越高的股價報酬，因該公司承受較大的風險，這也就是一般我們所知「風險溢酬」的概念。該研究也提到影響預期報酬的重要三個因子：公司市值、風險和帳面市價比(這篇研究以股價淨值比取而代之)。儘管也有許多文獻證明高的風險將帶來較高的風險溢酬，但對於那些具有財務危機的公司也是如此嗎？過去的理論是否一樣能套用在這些公司上呢？本研究選取在2005年到2009年曾發生財務危機的161間公開發行公司作為樣本，對於上述問題進行探討，這也就是所欲探討的重點所在。此外，由於也有不少文獻得出相反的結論，也就是越大的帳面市值比所帶來的股價報酬反而越小，因此無法直接推論兩者之間的明確關係，我們也了解在現實情況中，股價報酬還會受到總體市場環境、各國產業特性以及公司本身因素所影響，這也說明為何這篇文章得出的結論和Fazilah Samad 等學者在2009年對馬來西亞市場得到的結果不同的原因。
參考相關的文獻，本研究採用Altman在1968年所提出的「Z-Score」作為財務風險的代理變數，根據每間公司的Z-Score大小判定其所承受風險的程度。為了消除Z-Score是否適用台灣市場的疑慮，另外加入台灣經濟新報自行編制的財務風險評等指標「TCRI」一同比較，結果顯示，Z-Score和TCRI對於這161間樣本公司的評等結果一致，顯示Z-Score也同樣適用於台灣市場。
在探討股價報酬的影響時，作者發現在台灣市場上，除了公司市值外，股價淨值比和風險對於股價報酬沒有顯著的相關性；至於公司市值和股價報酬是呈現顯著的負相關，也就是當公司規模越大，其所帶來的股價報酬越小，此結果與原先的假設一致。此外，在探討預期報酬的三因子彼此間的關係時，只有股價淨值比和風險呈現顯著的負相關，也就代表著當財務危機公司的股價淨值比越高，其風險相對越小，這是因為市場對於該公司的前景看好，而反應在高的股價上，但無法歸納出由於風險小，其必定帶來較低的股價報酬。而這樣的結果和Fazilah Samad (2009) et al.以及Griffin and Lemmon (2002)兩篇研究並不一樣，他們的結果顯示預期報酬三因子沒有顯著的相關性。
除此之外，本研究根據Z-Score和TCRI的評等結果將161間樣本公司分成兩群組：財務危機較大的一組和相對危機較小的一組。其目的是探討預期報酬三因子在危機程度不同下是否有顯著的差異。其結果顯示：公司市值連續三年都有顯著的差異；至於股價淨值比和風險則因為在事件發生前第三年有顯著差異，因此無法拒絕假設。至於公司市值方面，財務危機較大的那組平均的市值皆小於危機較輕微的另一組。而這部分的分析也觀察出一項趨勢，即財務危機較大的那組平均表現都比另一組還差，且越接近危機發生的時間，股價淨值比和公司市值呈現遞減的趨勢，風險則是遞增，這些都與原先的預期一致。

This research mainly tries to confirm the relationship between distress risk and stock returns in the Taiwan market. According to three factor theory raised by Fama-French (1992), the higher book-to-market ratio brings higher stock returns because of the higher distress risk, and also mentioned about the three significant factors in explaining expected stock return: risk, firm size, and book-to-market ratio (here replace it with price-to-book ratio). There are many studies had proved that high risk accompanies high expected stock return, but some other obtained the contrary outcome. It still depends on different characteristics of enterprises, industries, and countries.
Following other researches, this paper use “Z-Score” bankruptcy prediction model as the proxy of distress risk, and take the subsequent realized stock returns of the distress publicly-traded firms as a proxy of systematic risk. As it may be doubted of using Z-Score in the Taiwan stock market, this research add “TCRI” to compare with. “TCRI” is the credit rating score raised by Taiwan Economic Journal (TEJ). Because of the same results of rating on sample companies, it supported the application of Z-Score in Taiwan stock market.
In analyzing the relationship between distress risk and stock return, this research find that firm size, distress risk and price-to-book ratio effect are significant enough to explain the expected stock return,(although distress risk and price-to-book ratio are only significant in Y-3) similar to the findings of Fazilah Samad (2009) et al. This research also found that the theoretical expectation of the size effect on distress risk does not hold in the case of the Taiwan distress publicly-traded firms, but price-to-market ratio (PB ratio) does. Unlike the findings of Fazilah Samad (2009) et al. and Griffin and Lemmon (2002), the outcome shows that there is a significant inverse relationship between PB ratio and distress risk, similar to the theory and our original expectation. It directly proved that the lower PB ratio brings higher distress risk in Taiwan market, but inconclusive to deduce that it also brings higher stock return.
Meanwhile, this research tries to find out if there is a difference between distress companies and most distress companies. Besides of firm size, there is no significant difference between these two groups, and they are similar as it was closer to distress happened. Although there is not significant relationship between three factors and stock return, this study reveals the decreasing trend of financial performance among those distress firms before facing distress circumstances. It shows again that Z-Score is suitable for Taiwan market although our sample companies including manufacturing and non-manufacturing companies.

中文摘要 ............................................................................................... iii
ABSTRACT ........................................................................................... v
1. Introduction ..................................................................................... 1
1-1. Background and Motivation................................................................................... 1
1-2. Objective ................................................................................................................. 3
1-3. Structure of Research ............................................................................................. 4
2. References ........................................................................................ 4
2-1. Foreword ................................................................................................................. 4
2-2. Financial distress .................................................................................................... 8
3. Scope of this Research ................................................................... 10
3-1. Definition of Distress ............................................................................................ 10
3-2. Period and Sample Selection ................................................................................ 12
Table 1: summary of sample firms and industry ...................................................... 14
3-3. Data collection procedures ................................................................................... 14
4. Limitation ....................................................................................... 16
5. Methodology ................................................................................... 17
6. Research Hypotheses ..................................................................... 18
7. Empirical Results and Analysis ..................................................... 19
7-1. Suitable test: ........................................................................................................... 19
Scatter plot 1: Distribution of Z-Score and TCRI .................................................... 20
Scatter plot 2: Distribution of returns and Z-Score ................................................. 21
7-2. Descriptive analysis: ............................................................................................... 21
Table 2: Tabulation of Z-Score and TCRI by the predetermined cut-off score ...... 22
Table 3: Trend on average ratios and Z-Score for Y-1 to Y-3 ................................. 23
Table 4: Descriptive statistics of four variables ........................................................ 25
7-3. Correlations: ........................................................................................................... 26
ii
7-4. T-test: ...................................................................................................................... 28
Table 6: T-test for the realized stock returns for Y-1, Y-2 and Y-3 ......................... 29
Table 7: T-test for the MV for Y-1, Y-2, and Y-3 ..................................................... 30
Table 8: T-test for the PB ratio for Y-1, Y-2, and Y-3 .............................................. 31
Table 9: Summary of empirical findings .................................................................. 32
8. Conclusion and Recommendations ............................................... 33
9. Suggestion for Further Study ........................................................ 34
REFERENCES .................................................................................... 36

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