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

Wan Chien Chiu, Chih Wei Wang, Wei Ning Wu, Chuan Ju Lin

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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.

Original languageEnglish
Article number1750019
JournalReview of Pacific Basin Financial Markets and Policies
Volume20
Issue number3
DOIs
StatePublished - 1 Sep 2017

Keywords

  • Corporate policy
  • rollover risk
  • tail risk spillover

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