Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23669
標題: 台灣公司債信用價差影響因子之研究─因素分析法
An empirical study of the factors affect the credit spread on corporate bonds in Taiwan -Factor analysis method
作者: 羅慧如
Lo, Hui-Ju
關鍵字: Credit spread
信用價差
factor analysis
因素分析法
出版社: 財務金融系所
引用: 中文部份: 沈柏蒼(2000),「債券市場企業違約風險溢酬之研究—選擇權寄價模式之應用」,碩士論文,淡江大學財務金融研究所。 邱銘汶(2008),「台灣公司債信用價差決定因素之研究」,碩士論文,國立中興大學財務金融研究所。 周文賢(2002),「多變量統計分析─初版」,智勝出版。 林師模、陳苑欽(2003),「多變量分析─管理上的應用」,雙葉書廊出版。 梁素雲(2005),「台灣公司債發行信用價差影響變數研究」,碩士論文,輔仁大學金融研究所。 黃俊英(2001),「多變量分析─第七版」,中國經濟企業研究所出版。 葉仕國、張庭樹(2005),「台灣地區上市櫃公司違約機率之衡量與調整」,金融風險管理季刊,第一卷第四期,1-17。 葉仕國、朱漢興、吳建忠(2009),「以股價選擇權價格資訊衡量公司信用價差之研究」,Review of Securities & Futures Markets, 21:4, 71-106。 蓮子儀(2002),「從信用價差衡量公司債的信用風險─台灣市場之實證研究」,碩士論文,淡江大學財務金融研究所。 楊可帆(2004),「公司債信用價差決定因子之研究」,碩士論文,國立台灣科技大學財務金融研究所。 西文部份: Brown, David T. (2000), “The Term Structure of Credit Spread Innovations: Theory and Evidence,” NISA Investment Advisors, LLC. Duffee, G. R. (1998), “The Relation Between Treasury Yield and Corporate Bond Yield Spreads,” Journal of Finance, 53, 2225-2242. Delianedis, G. and R. Geske (2001), "The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity and Market Factors," University of California, Working Paper. Dan Covitz and Chris Downing (2007), “Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads,” Journal of Finance, 62, 2303-2326. Edwin J. Elton, Martin J. Gruber, Deepak Agrawal, and Christopher Mann (2001), “ Explaining the Rate Spread on Corporate Bonds,” Journal of Finance, 56, 247-277. Francis A. Longstaff, Sanjay Mithal, and Eric Neis (2005), "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," Journal of Finance, 60, 2212-2253. Frank de Jong and Joost Driessen (2006), “Liquidity Risk Premia in Corporate Bond Markets,” Tilburg University and University of Amsterdam, Working paper. Gregory R. Duffee (1998), “The Relation Between Treasury Yields and Corporate Bond Yield Spreads,” Journal of Finance, 53, 2225-224. Hattori, M., Koyama, K. and Yonetani, T. (2002), “Analysis of Credit Spread in Japan’s Corporate Bond Market,” BIS Papers, 5, 113-146. Huang, J. and M. Huang (2003), "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?" Pennsylvania State University, Working paper. Jones, F. (1991), “Yield Curve Strategies,” The Journal of Fixed Income, 1, 43-51. Jonh Y. Campbell and Glen B.Taksler (2003), “Equity Volatility and Corporate Bond Yields,” Journal of Finance, 58, 2321-2349. Litterman, R., and Scheinkman, J (1991), “Common Factors Affecting Bond Returns,” The Journal of Fixed Income, 1(1), 54-63. Long Chen, David A. Lesmond, and Jason Wei,(2007) “Corporate Yield Spreads and Bond Liquidity,” Journal of Finance,62 , 119-149. Pedrosa, Monica, and Richard Roll (1998), “Systematic Risk in Corporate Bond Credit Spreads,” The Journal of Fixed Income, 8, 7-26. Pierre Collin-Dufresne, Robert S. Goldstein, and J. Spencer Martin (2001), “The Determinants of Credit Spread Changes,” Journal of Finance, 56, 2177-2207. Perraudin, W. and A. P. Taylor (2003), "Liquidity and Bond Market Spread," Imperial College London and Imperial College London, Working paper Patrick Houweling, Albert Mentink and Ton Vorst (2005), “Comparing Possible Proxies of Corporate Bond Liquidity,” Journal of Banking & Finance, 29, 1331–1358. Piazzesi, M. (2005), “Affine Term Structure Models”, Handbook of Financial Econometrics,” ed. Ait-Sahalia, Y. and Hansen, L., forthcoming. Sarig, O. and Warga, A.D. (1989), “Bond Price Data and Bond Market Liquidity,” Journal of Financial and Quantitative Analysis, 24 , 367–378. Wu L. and Zhang F. X. (2005), “A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure,” Staff Working Papers in the Finance and Economics Discussion Series.
摘要: The study focus on investigating how the different factors influence credit spread. We use regression and factor analysis method. Then we add rate factors, liquidity factors, macroeconomic factors and firm-specific factors into the two methods. We try to analysis the relation between these factors and credit spread through the two methods. The contribution of the study is to analysis credit spread with factor analysis method. This is the difference from the past literatures. The monthly data are from January 2003 to December 2009. The result shows that no matter short-term or long-term credit spread is affected by 10-year government bond rate, gross profit of firm, proportion of long term debt to total asset, expected default probability and bond's age. The credit spread of long-term bond is also affected by liquidity factors, stock volatility and leverage of firms. The stock market return and stock return of firms are not very significant either statistically on the regression. However, the stock return is very significant with credit spread on the factor analysis method. The result implies that the stock market may exist potential factors that can't be observed. There is significant influence of potential factors on the credit spread.
本研究主要是探討不同變數對於信用價差的影響,以迴歸與因素分析法,投入利率因子、債券市場流動性因子、總體因子與公司財務因子等,分析不同變數與信用價差之間的關係。過去文獻中,未有研究將因素分析法應用至信用價差的分析中,此為本研究之貢獻。 研究資料是從2003年1月至2009年12月,共84筆月資料。實證結果中,發現不論是短期或長期,信用價差皆受到10年期公債利率、公司毛利率、公司長期負債占資產總額比重、公司預期違約機率與債券年齡影響。長期債券信用價差還受到債券市場流動性因子、公司股票波動性與公司槓桿影響。股票市場報酬與波動性雖然在第一部分實證未有顯著的影響力,但利用因素分析萃取共同因素後,就與信用價差有顯著的相關係,表示股票市場中可能存在無法直接觀察的潛伏因素,其對信用價差是具有影響力的。
URI: http://hdl.handle.net/11455/23669
其他識別: U0005-0507201014434600
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0507201014434600
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