Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/24686
標題: 台灣上市櫃公司債信用價差影響因素之探討
An Empirical Study of the Determinant Factors of Corporate Bonds on Credit Spread from OTC in Taiwan
作者: 江文能
Chiang, Wen-Neng
關鍵字: 公司債
http://etds.lib.nchu.edu.tw/etdservice/view_metadata?etdun=U0005-2008200914354500
信用價差
迴歸方法
出版社: 高階經理人碩士在職專班
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摘要: 本研究以台灣公司債市場進行實證研究,以林嘉生(1998)二次多項式模型推估的殖利率曲線來求得與相同存續期間之公債與公司債利差,考慮信用評等及其他各項可能影響因素,利用不同的迴歸分析等統計方法探討公司債初級市場中其影響債券利差的因素。本研究選取有信評之公司債,資料期間為自1999年10月至2009年5月共計741筆資料,進行研究。其研究結果如下: 一、研究變數方向迴歸分析部份 (1)會顯著影響信用價差的因素包括:信用評等、發行年期、擔保情形、產業別及發行年度,可見債劵特性中多數因素會顯著影響信用價差。。 (2)本研究採取不同樣本特性及線性迴歸方法進行研究,發現對研究結果的影響程度不大但仍有影響,故仍需審慎選擇分析方法及影響變數特性等。 二、不同樣本特性的公司債其在信用利差上其差異之檢定 經本研究分析結果發現,公司債殖利率、存續期間、發行總額、目前餘額、發行年期及擔保情形在信用利差上確實存在顯著的差異。 三、公司債樣本特性與信用利差之相關情形 經過統計方法檢定後本次研究所選之影響變數仍有高達18組變數關係呈現明顯相關性,其中更有9組變數關係呈現中度以上之相關性。
The research object of this paper is corporate bond market in Taiwan, using the research result of quardratic polyonomial function in LIN, Chia-Sheng (1998) to estimate yield curves to calculate the rate spreads between the government bond and the corporate bond on the same duration. And the thesis also considers credit ratings and the other relative factor, from the use of various regression methods to estimate the factor that influence the credit spreads of corporate bond. The research object is corporate bond issues by credit ratings, ranging from January 1990 to Mar 2009 with 741 samples.The empirical results of this paper are summarized as follows: 1. The regression anaylsis method (1) The factor that significant influence on the credit spreads of corporate bond is: credit ratings, issued period, guarantee, industry and issue time, we can see most factor relative corporate bond is significant influence on the credit spreads. (2)The research is using various sample characteristics and linear regression method, but show little significant influence, so we must choose analysis method and sample characteristics. 2. Various sample characteristics.on the credit spreads of corporate bond is tested for difference According to result, the significant difference on the credit spreads of corporate bond is corporate bond yield, periods, issue amount, left amount, , issued period and iguarantee. 3. The correlation for the sample characteristics.on corporate bond and the credit spreads According to result, the significant correlation factor number is 18, and 9 factor is show medium correlation value.
URI: http://hdl.handle.net/11455/24686
其他識別: U0005-2008200914354500
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