同產業公司槓桿比率之改變對公司債券利差之影響

Abstract

過去研究公司債利差多採公司本身之相關變數，如槓桿比率(Collin-Dufresne et al. (2001))、股價變異數(Campbell and Taksler (2003))等，以及總體經濟相關數據，如10年期國庫券殖利率、S&P 500指數等。但鮮少有文獻提到同產業公司間之互動對公司債利差之影響，故本研究利用Leary and Roberts (2014)的同產業公司平均股價報酬衝擊作為同產業資本結構(槓桿比率)變化之代理變數，探討同產業公司之資本結構變化對公司債之利差之影響。結果顯示，同產業間公司資本結構的變化確實會對公司自身資本決策造成顯著的影響，進而影響公司債利差，且為正相關。本論文另對公司規模大小對同產業公司之槓桿比率對公司債利差推論之影響，及景氣狀況對同產業公司之槓桿比率對公司債利差推論之影響進行檢測。

This study investigates the relationship between peer firms’ leverage and corporate bond yield spreads. We employ the average of the peer firms’ stock return shocks as a proxy of change of the peer firms’ capital structures. This approach is developed in Leary and Roberts (2014). The empirical results of this study show that the change of peer firms’ capital structure does affect a firm’s bond yield spread. Moreover, we find that firms with smaller market cap are sensitive to the peer firms’ stock return shock. We also explore that this peer effect is much stronger during economic troughs.