東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Is the bankruptcy risk rewarded by h...

Xu, Ming.

Linked to FindBook

Google Book

Amazon

博客來

Is the bankruptcy risk rewarded by higher expected returns? Evidence from Japan, 1980--2000.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Is the bankruptcy risk rewarded by higher expected returns? Evidence from Japan, 1980--2000./
Author:	Xu, Ming.
Description:	81 p.
Notes:	Source: Dissertation Abstracts International, Volume: 64-02, Section: A, page: 0598.
Contained By:	Dissertation Abstracts International64-02A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3080182

Is the bankruptcy risk rewarded by higher expected returns? Evidence from Japan, 1980--2000.
Xu, Ming.

Is the bankruptcy risk rewarded by higher expected returns? Evidence from Japan, 1980--2000. - 81 p.

Source: Dissertation Abstracts International, Volume: 64-02, Section: A, page: 0598.

Thesis (Ph.D.)--Hong Kong University of Science and Technology (People's Republic of China), 2003.

This thesis examines the relation between the bankruptcy risk and stock returns in the Japanese market for the period from 1980 to 2000. We use the ownership by financial companies as well as the ratio of loans to total liabilities to proxy for the bank dependence. It turns out that bank dependence does help reduce the probability of bankruptcy for the Japanese firms. Thus, we estimate Z, O and X scores using the Japanese data to represent the bankruptcy risk. Here, X score is a new measure of bankruptcy risk incorporating the effects of both the bank dependence and the other accounting ratios used in Altman (1968) and Ohlson (1980). It is found that the bankruptcy risk is rewarded by higher expected returns from 1980 to 2000. However, the closer look at the results in subperiods indicates that the bankruptcy risk is not really priced. The significant relation between the bankruptcy risk and stock returns only during the bubble period should result from the irrational overvaluation in the Japanese stock market at that time. The industry analysis further confirms this conjecture. Additionally, the size effect may proxy for the bankruptcy risk to some extent. Nonetheless, the book-to-market effect cannot be accounted for by the distress risk related to bankruptcy.Subjects--Topical Terms:

626650
Economics, Finance.

Is the bankruptcy risk rewarded by higher expected returns? Evidence from Japan, 1980--2000.
LDR:02178nmm 2200253 4500 001 1857216
005 20040809115643.5
008 130614s2003 eng d
035 $a (UnM)AAI3080182
035 $a AAI3080182
040 $a UnM $c UnM
100 1 $a Xu, Ming. $3 893582
245 1 0 $a Is the bankruptcy risk rewarded by higher expected returns? Evidence from Japan, 1980--2000.
300 $a 81 p.
500 $a Source: Dissertation Abstracts International, Volume: 64-02, Section: A, page: 0598.
500 $a Supervisor: Chu Zhang.
502 $a Thesis (Ph.D.)--Hong Kong University of Science and Technology (People's Republic of China), 2003.
520 $a This thesis examines the relation between the bankruptcy risk and stock returns in the Japanese market for the period from 1980 to 2000. We use the ownership by financial companies as well as the ratio of loans to total liabilities to proxy for the bank dependence. It turns out that bank dependence does help reduce the probability of bankruptcy for the Japanese firms. Thus, we estimate Z, O and X scores using the Japanese data to represent the bankruptcy risk. Here, X score is a new measure of bankruptcy risk incorporating the effects of both the bank dependence and the other accounting ratios used in Altman (1968) and Ohlson (1980). It is found that the bankruptcy risk is rewarded by higher expected returns from 1980 to 2000. However, the closer look at the results in subperiods indicates that the bankruptcy risk is not really priced. The significant relation between the bankruptcy risk and stock returns only during the bubble period should result from the irrational overvaluation in the Japanese stock market at that time. The industry analysis further confirms this conjecture. Additionally, the size effect may proxy for the bankruptcy risk to some extent. Nonetheless, the book-to-market effect cannot be accounted for by the distress risk related to bankruptcy.
590 $a School code: 1223.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Hong Kong University of Science and Technology (People's Republic of China). $3 1249812
773 0 $t Dissertation Abstracts International $g 64-02A.
790 1 0 $a Zhang, Chu, $e advisor
790 $a 1223
791 $a Ph.D.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3080182