請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25981完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Shao-Chun Chi | en |
| dc.contributor.author | 紀少淳 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:57:58Z | - |
| dc.date.copyright | 2009-07-17 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-13 | |
| dc.identifier.citation | Bibliography
[1] Aunon-Nerin, D., D. Cossin, T. Hricko and Z. Huang. “Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?” FAME Research Paper, No. 65, University of Lausanne, December 2002. [2] Campbell, J. Y., and G. B. Taksler. “Equity Volatility and Corporate Bond Yields.” The Journal of Finance, Vol. LVIII, No. 6, December 2003, 2321–2350. [3] Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin. “The Determinants of Credit Spread Changes.” The Journal of Finance, Vol. LVI, No. 6, Dec. 2001, 2177–2208. [4] Delianedis, G., and R. Geske. “The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors.” Working paper 22-01, Andreson Graduate School of Management, UCLA, 2001. [5] Duffee, G. R. “The Relation Between Treasury Yields and Corporate Bond Yield Spreads.” The Journal of Finance, Vol. LIII, No.6, Dec. 1998, 2225–2241. [6] Efroymsen, M. A., “Multiple regression analysis.” Mathematical Methods for Digital Computer, Edited by A. Ralston and H. S. Wilf, John Wiley and Sons, New York,1960, 191-203. [7] Hull, J., M. Predescu, and A. White. “The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements.” Journal of Banking & Finance, Vol. 28, Issue 11, November 2004, 2789—2811. [8] King, R. G., and M. W. Watson. “Money, Prices, Interest Rates and the Business Cycle.” The Review of Economics and Statistics, Vol. 78, No. 1, February 1996, 35–53. [9] Kutner, M. H., C. Nachtsheim, and J. Neter. “Applied Linear Regression Models.” McGraw-Hill/Irwin New York, 2004. [10] Kwan, S. H. “Firm-Specific Information and the Correlation between Individual Stocks and Bonds.” Journal of Financial Economics, Vol. 40, 1996, 63–80. [11] Longstaff, F. A., and E. S. Schwartz. “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt.” The Journal of Finance, Vol. 50, No. 3, 1995, 789–819. [12] Longstaff, F. A., S. Mithal and E. Neis. “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market.” The Journal of Finance, Vol. 60, No. 5, October 2005, 2213–2253. [13] Shulman, J., M. Bayless, and K. Price. “Marketability and Default Influences on the Yield Premia of Speculative-Grade Debt.” Financial Management, Vol. 22, No. 3, Autumn 1993, 132–141. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25981 | - |
| dc.description.abstract | 本文旨在找出台灣公司債信用價差之關鍵決定因素。而本文利用逐步迴歸分析法分析來分析公司債信用價差與下列各類因素之關係: (1)流動性風險，(2)剩餘期限，(3)股市資訊，(4)利率，(5)財報比率。
本篇論文首先探討各因子與信用價差之迴歸分析，結果顯示，對大部份公司而言，剩餘期限、利率與信用價差顯著地有關。本篇論文再以逐步迴歸分析法分析公司債信用價差，結果顯示，多數公司之迴歸模型將流動性風險、剩餘期限及利率納入其中。 而本篇論文中，迴歸分析與逐步迴歸分析法之結果皆顯示股市資訊對於信用價差之分析不如其他因素重要。 | zh_TW |
| dc.description.abstract | This thesis attempts to find the key determinants of credit spreads in Taiwanese bond market. Liquidity risk, time to maturity, stock market information, interest rate, and the financial ratios are considered in the model. The stepwise regression method is used to analyze credit spreads.
In this thesis, the regression results for each variable show that time to maturity and interest are significantly correlated to credit spreads for most of the companies. The stepwise regression results in this thesis also show that liquidity risk, time to maturity, and interest rate are selected in the models of most companies. Both regression results and stepwise regression results in this thesis show that the stock market information is not important in explaining credit spreads. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:57:58Z (GMT). No. of bitstreams: 1 ntu-98-R96723028-1.pdf: 550143 bytes, checksum: da2eb32f72a44f2a2a3846b63fd16571 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | Contents
1 Introduction …………………………………………… 1 2 Methodology …………………………………………… 7 2.1 Methodology ……………………………………… 7 2.2 Determinants ……………………………………… 8 3 Data ………………………………………………………… 14 4 Result ……………………………………………………… 16 4.1 The regression result for all companies…… 16 4.2 The stepwise regression result for all companies …………………………………………… 19 4.3 The stepwise regression results for each industry …………………………………………… 22 5 Conclusion …………………………………………… 67 Bibliography …………………………………………… 68 Appendix 1 Company list …………………………………… 70 Appendix 2 Regression result for each companies …… 74 Appendix 3 Stepwise regression result for each companies ……………………………………… 97 | |
| dc.language.iso | en | |
| dc.title | 台灣公司債信用價差之研究–利用逐步迴歸分析 | zh_TW |
| dc.title | A Study on Credit Spreads of Corporate Bonds in Taiwan Using the Stepwise Regression Method | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 公司債,信用價差,逐步迴歸分析法,流動性風險,剩餘期限,利率, | zh_TW |
| dc.subject.keyword | corporate bond,credit spread,stepwise regression,liquidity risk,time to maturity,interest rate, | en |
| dc.relation.page | 125 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2009-07-13 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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