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管理者持股對公司違約風險之影響:風險敏感度觀點

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表 4    Pearson 相關係數
表 5 為(2)式迴歸結果,(1)欄是仿照楊東曉、蘇秋竹  (民 101)  之迴歸模式僅納入管理者持 股價值對股價敏感度  (Delta)  之實證結果,(2)欄為單獨納入 Vega 之實證結果,(3)欄則為同時 納入 Delta 與 Vega 之實證結果。單獨納入 Vega 時其係數為 0.0378 (t 值=10.50),同時納入 Delta 後,Vega 之係數為 0.0394  (t=11.16),均於 1%統計水準下顯著異於零,此結果意謂管理者持 股之企業風險誘因會顯著提高企業未來違約風險,支持
表 9    企業風險指標之強韌性測試-次期股票報酬率波動 (1)        (2)        (3)    係數  t 值  係數  t 值  係數  t 值  截距項  0.1610 ***  14.85  0.1631 ***  14.66    0.1455 ***  13.41    LEV  0.0218  ***  2.66  0.0233  ***  2.85  0.0203  ***  2.61  MV  -0.0064  ***  -2.66  -0.0061  ***  -2.

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