Impact of Rollover Risk and Corporate Policy on Extreme Risk in the Taiwanese Manufacturing Industry

Wan-Chien Chiu (), Chih-Wei Wang, Wei-Ning Wu () and Chuan-Ju Lin ()
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Wan-Chien Chiu: Department of Quantitative Finance, National Tsing Hua University, Taiwan
Chih-Wei Wang: Department of Finance, National Sun Yat-Sen University, Kaohsiung 80424, Taiwan
Wei-Ning Wu: Institute of Public Affairs Management, National Sun Yat-Sen University, Kaohsiung 80424, Taiwan
Chuan-Ju Lin: United Microelectronics Corporation, Hsinchu Science Park, Hsinchu City, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2017, vol. 20, issue 03, 1-20

Abstract: We explore the crucial research question of whether the rollover risk effect amplifies or reduces a firm’s extreme risk through an empirical investigation of the Taiwanese manufacturing industry. We also investigate the relationship between corporate policy and extreme risk. On the basis of extensive empirical evidence from 2003 to 2014, we determine significant positive impacts on extreme risk for firms with difficulty in rolling over their maturing debts. Firms with higher investment levels in a financial crisis should consequentially have more tail risk spillover from the financial sector.

Keywords: Corporate policy; rollover risk; tail risk spillover (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1142/S0219091517500199

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