The Impact of R&D Density Volatility Pattern and CSR Effect on Credit Risk

  • 林 子予

Student thesis: Master's Thesis

Abstract

There are two axes in my research: one is investigating “the impact of R&D density volatility pattern on credit risk” and the other is inferring “how/why CSR effect affects credit risk” Both axes are based on the perspective of bondholders for evaluating investment decision and risk management For them “profitability” is vital and can affect short-term profitability and liquidity The former axis is related to “profitability” and the latter axis is related to “protection for profitability” With respect to “the impact of R&D density volatility pattern on credit risk” past researchers only used the standard deviation of R&D density to represent R&D density volatility pattern I add skewness and kurtosis of R&D density into explanatory variables and I find that both significantly affect credit risk: the greater the skewness is the greater the credit risk is The economic meaning is that greater skewness means more potentially extremely large R&D expenditure and then lower short-term profitability and higher liquidity risk; the greater the kurtosis is the smaller the credit risk is The economic meaning is that greater kurtosis represents more stable R&D expenditure and then stable expected cash flow Although extreme situation exists these situations are quite few and could barely happen Compared to past studies the standard deviation of R&D density lacks of significance for credit risk evaluation in my research Evidently researches on related topic might not do without skewness and kurtosis My empirical finding implies bondholders may have taken skewness and kurtosis of R&D density into account when they evaluate risk control for investment decision Concerning “how/why CSR effect can affect credit risk” past studies pointed out lots of reasons for why CSR can affect credit risk but in lack of completely logical description for this issue My study fills up this gap by step by step combining CSR advertising effect moral capital and CSR insurance-like effect from literature review to infer the implied logical relationship which accounts for the possible reason why CSR effect can affect credit risk The empirical finding shows that credit risk will significantly reduce if firms do CSR good in a basis of long-term continuity My empirical result implies that bondholders may have taken CSR effect into consideration when they evaluate the risk management issue for investment decision
Date of Award2016 Jun 23
Original languageEnglish
SupervisorHsuan-Chu Lin (Supervisor)

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