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.
|Review of Pacific Basin Financial Markets and Policies
|已出版 - 1 9月 2017