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標題: | 購買國債並售出標的公司CDS保護之投資組合與標的公司債之比較 Comparison Between the Portfolio Buying T-Note and Selling targeted Corporate CDS and Corporate Bonds |
作者: | Li-Cheng Huang 黃勵誠 |
指導教授: | 李賢源(Shyan-Yuan Lee) |
關鍵字: | 公司債,CDS,債券長期投資,債券流動性,股價波動性, Corporate Bonds,CDS,Long-term investment on bond,Bond Liquidity,Equity Volatility, |
出版年 : | 2019 |
學位: | 碩士 |
摘要: | 相較於Kryukova and Copeland (2015)以套利觀點解釋Basis,本篇論文以長期投資至債券到期日為出發點,探討投資組合報酬率與標的公司債殖利率之差異(Basis)。
本篇論文發現除了參考自Kryukova and Copeland (2015)的債券評等、股價波動性以外,總資產報酬率亦具有解釋能力。這樣的研究結果代表較不具即時性的財務指標同樣對於本篇論文投資組合報酬率與標的公司債殖利率之差異(Basis)有顯著的影響,意謂著除了公司債、CDS與國債的價格並須符合學理上不可套利的原則外,投資者對於債券發行單位的營運能力也有相當程度的重視。由此可知,雖然Kryukova and Copeland (2015)套利模型已具備足夠的解釋能力,但若是投資者需要的是長期投資而非套利,那麼在套利模型的基礎上再加入重要財務指標,可能可以使投資組合報酬率與標的公司債殖利率之差異的分析與評價更有效。 Compared to Kryukova and Copeland (2015) which uses the arbitrage to explain Basis, this thesis discusses the Basis from the viewpoint of long-term investment. This thesis discovered that besides bond rating and equity volatility, return on invested capital also has the significant effects, too. The research consequence means that financial factors which are not immediate have apparent influence on the basis which is the difference between the portfolio defined by this thesis and the targeted corporate bonds. It also represents that besides the fact that the prices of the corporate bonds, the CDS related to the corporate bonds and the U.S. government bonds are not for arbitrage, investors and institutions related to fixed income are also concerned about corporations’ operating ability. In conclusion, arbitrage model in Kryukova and Copeland (2015) has sufficient explaining ability, but the model combining arbitrage factors and important financial ratios can have higher R-square and adjusted R-square statistically and possibly give more assistance to investers seeking long term investments, rather than arbitrage. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/73056 |
DOI: | 10.6342/NTU201901500 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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