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系統識別號 U0002-0108200516402000
中文論文名稱 公司債價差風險要素分析
英文論文名稱 Corporate Bond Yield Analysis
校院名稱 淡江大學
系所名稱(中) 管理科學研究所碩士班
系所名稱(英) Graduate Institute of Management Science
學年度 93
學期 2
出版年 94
研究生中文姓名 邰卉君
研究生英文姓名 Jennifer H. Tai
學號 692560013
學位類別 碩士
語文別 英文
口試日期 2005-06-07
論文頁數 60頁
口試委員 指導教授-李培齊
指導教授-林景春
委員-黃慶堂
委員-倪衍森
中文關鍵字 公司債價差  因素分析  歷史股價波動性  公司信用評等 
英文關鍵字 Corporate yield spread  Factor analysis  Historical volatility  Credit ratings 
學科別分類 學科別社會科學管理學
中文摘要 本文透過因素分析(factor analysis) 研究2000年網路崩盤前後影響公司債價差風險的要素,以協助投資人運用相關資訊,更準確的預測或提高判斷標的資產的違約可能性。本研究依據Campbell and Taksler (2003) 的架構,以1999年至2004年間新發行公司債為研究對象,剔除金融保險機構、公用事業公司、資料遺漏之公司,綜合早期文獻所提出影響公司債價差風險之要素,經歸納整理後分為五大類:個別公司債特性、公司財務數據、總體經濟數據、公司信用評分及其他公開資訊(非財務數據)。此外,近年來公司治理議題日受重視,本文於模型中另加入公司治理之代理變數,以觀察該解釋變數對公司債價差風險之影響。

研究結果顯示,歷史股價波動性對公司債的價差有一定的影響力,當公司普通股價格波動提高時,該公司股價風險提高,其公司債的違約風險相對提高;公司信用評分對公司債價差風險的影響在本研究並不顯著,其原因可能是信評公司對發行公司採行長期評估,因此,其評價對短期公司債並無影響,然而財務指標中的總負債比率在景氣蕭條時,其變化對公司債價差有顯著的影響力。
英文摘要 This paper implement the concept and methodology of Campbell and Taksler (2003) in the framework of corporate bond yields with a set of explanatory variables generated from earlier literatures that characterized the different aspects of credit risk. After comparing with earlier literatures, We organized the questionable significant factors into five groups to test which variable(s) will influence corporate bond yield spread. The five groups are: macroeconomic factors, accounting factors, bond features, credit ratings, and others. We focus on newly issued US corporate bonds during 1999 to 2004. In addition, this paper makes a distinction between recession period (2000 -2002) and recovery period (2003 – 2004) of the economy to see whether or not macro economy conditions would cause differences in the explanatory variables.
Overall, we are able to pinpoint factors for investors to target as signals for default of issuers using a less structured econometric analysis in various positions. Results show similar receptiveness as Campbell and Taksler (2003), which indicate that historical equity volatility and total debts over total assets are two noteworthy variables to the changes in corporate yield spread. The important predictors of short term model focuses on bond characteristics (coupon rate and bond duration) and GDP. Bonds with different maturity, collateral, creditworthiness, and optionality can be affected by the investors’ level of confidence towards the future. From this research, we conclude that risk premiums for investment grade bonds are difficult to explain by any only one explanatory variable.
論文目次 Table of Contents

1 Introduction 1
1.1 Overview 1
1.2 Motivation and Purpose 4
2 Literature Review 6
2.1 The Work of Campbell and Taksler 9
2.2 The Credit Spread as a Predictor of Real Activity 10
2.3 Features, Benefits, and Risks 13
2.4 Types of Corporate Bonds 18
3 Modeling Idea And Data 20
3.1 Modeling Idea 20
3.2 Data 25
4 Result 30
4.1 Summary statistics 30
4.2 Step-wise Method 36
4.3 Short Term Bonds 40
4.4 Long Term Bonds 45
4.5 Revision for the problem of lag time in credit ratings 50
5 Conclusion 53
Appendix I 56
Appendix II 57
Reference 58


List of Tables

Table 4 1 Aggregate model descriptive statistic 31
Table 4 2 Aggregate model statistic summary 32
Table 4 3 Pearson Correlation Table 33
Table 4 4 Aggregate model regression coefficients 35
Table 4 5 Step-wise statistic summary 36
Table 4 6 Step-wise ANOVA results 37
Table 4 7 Step-wise coefficient and tolerance analysis 38
Table 4 8 Short term bonds descriptive statistics 41
Table 4 9 Short term bonds statistic summary 41
Table 4 10 Short term bonds ANOVA results 42
Table 4 11 Short term bonds coefficients and collinearity statistics 42
Table 4 12 Short term model coefficients & collinearity statistics for exclude variables 43
Table 4 13 Long term bond statistic summary 45
Table 4 14 Long term bonds descriptive statistics 46
Table 4 15 Long term bonds ANOVA results 47
Table 4 16 Long term model coefficients & collinearity statistics 48
Table 4 17 Long term model coefficients & collinearity statistics for excluded variables 49
Table 4 18 Lag-time model statistic summary 50
Table 4 19 Lag-time model ANOVA results 51
Table 4 20 Lag-time model regression coefficients 51


List of Figures
Figure 1 1 Corporate Bond Yield 2
Figure 3 1 10 years/2 years Term Spreads (bps) 28

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