| Summary: | 碩士 === 元智大學 === 財務金融學系 === 98 === In this study, first of all, we will try to use empirical methodology to estimate individual asset correlation. We use all non-financial company data in Australia over the period 2000-2009 to solve the Black-Scholes-Merton (BSM) model and Capital asset pricing model (CAPM). Next, we try to find the relation among asset correlation, default probability, and firm size. Clearly, by the regression analyzes, the empirical results indicate that default probability is negative relation to asset correlation and firm size is position relation to asset correlation. Finally, for the robustness test, all of the results still maintain to support our augment when we use the objective default probability and the inverse logistic function of asset correlation.
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