本研究主要探討違約風險於美國股市報酬率的影響，研究期間為 2000 年至2021 年，排除 S&P 500 最大跌幅月份 2008 年 9 月及 2020 年 3 月，共 262 筆月報酬資料。研究公司之財務資料取自 Compustat North America 資料庫，個股月報酬取自 CRSP 資料庫，各因子數值來源為 Kenneth R. French - Data Library。以 Altman ZScore Plus
（2012）衡量上市公司違約風險，並以兩大事件：2008 金融海嘯以及2020 新冠疫情作為分界點，分期檢視在納入 Fama and French 五因子（2015）以及Carhart（1997）動量因子後，違約風險因子是否仍對美股報酬有顯著解釋力。再進一步根據 Vassalou and Xing（2004）之研究設計，檢視控制規模及淨值市價比後，美股報酬是否具有違約風險效果。
依據我們的實證結果，研究發現：一、美國股市在信貸環境惡化時，違約風險與報酬率成顯著正相關，信貸週期良好時則呈顯著負相關。二、Fama and French（2015）的市場因子、規模因子與投資因子不受景氣波動影響，在各期與股價報酬均呈顯著正相關；帳市值比因子與獲利性因子則隨景氣擴張與收縮出現改變。三、控制規模因子後，只有在市值規模最小的組別（前 20％），違約風險較低的公司有顯著較高報酬。其餘組別則是違約風險較高的公司有顯著較高報酬。四、控制 BM因子後，在 BM 比率最高的組別內，違約風險較高的公司有顯著較高報酬，而在BM 比率第三高、次低及最低的組別中，則是財務穩健、違約風險較低的企業有顯著優勢。

This study examines the effect of default risk on US equity returns for the period 2000 to 2021, excluding the largest decline of the S&P 500 in September 2008 and March 2020 for a total of 262 months of return data. We get financial information for the companies studied from the Compustat North America database, monthly stock returns obtained from the CRSP database, and the values of momentum factor and Fama&French 5 factors are obtained from the data library of Kenneth R. French. We use the Altman Z-Score Plus (2012) to measure default risk for listed companies. The whole study period is segmented by two significant economic events: the 2008 financial crisis and the 2020 COVID-19 pandemic. We further examine the default risk effect on US stock returns after controlling for size and book-to-market (BM) ratio based on Vassalou and Xing (2004). Our empirical results are twofold. Firstly, default risk is significantly and positively correlated with equity returns under a deteriorating credit environment but negatively correlated during a benign credit cycle. Secondly, the market factor, size factor, and investment factor of Fama and French (2015) are always significantly and positively correlated with stock returns, which is not affected by the US business cycle. On the contrary, the relationships of BM ratio and profitability factors with the equity returns change across economic expansion and contraction. Our results also show that the relationships between the default risk and equity returns are not consistent across the five company sizes or the five BM ratios.

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