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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
dc.contributor.author | Li-Cheng Huang | en |
dc.contributor.author | 黃勵誠 | zh_TW |
dc.date.accessioned | 2021-06-17T07:15:38Z | - |
dc.date.available | 2020-07-17 | |
dc.date.copyright | 2019-07-17 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-07-15 | |
dc.identifier.citation | 1.黃玉麗、張元、沈中華(2012)。不請自來的銀行信用評等有向下偏誤的現象嗎? — 配對方法。經濟論文叢刊 (Taiwan Economic Review), 40:2 (2012), 149–188。
2.Amihud, Y. (2002). Illiquidity and stock returns: cross- section and time-series effects. Journal of Financial Markets 5, 31-56. 3.Amihud, Y., & Mendelson, H. (2006). Stock and bond liquidity and its effect on prices and financial policies. Financial Markets and Portfolio Management, 20(1), 19-32. 4.Augustin, P. (2012). Squeezed everywhere: Can we learn something new from the CDS-bond basis. Unpublished working paper. McGill University. 5.Bai, J., & Collin‐Dufresne, P. (2019). The CDS‐bond basis. Financial Management, 48(2), 417-439. 6.Beaver, W. H. (1966). Financial ratios as predictors of failure. Journal of accounting research, 71-111. 7.Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment‐grade bonds and credit default swaps. The journal of Finance, 60(5), 2255-2281. 8.Campbell, J. Y. and Taksler, G. B. (2003). Equity Volatility and Corporate Bond Yields. Journal of Finance, LVIII, 6, 2321-2349. 9.Chen, Q., Goldstein, I., & Jiang, W. (2006). Price informativeness and investment sensitivity to stock price. The Review of Financial Studies, 20(3), 619-650. 10.De Wit, J. (2006). Exploring the CDS-bond basis. National Bank of Belgium working paper, (104). 11.Dothan, M. (2006). Costs of Financial Distress and Interest Coverage Ratios. The Journal of Financial Research, 29(2), 147-162. 12.Kliger, D., & Sarig, O. (2000). The information value of bond ratings. The journal of finance, 55(6), 2879-2902. 13.Kryukova, Marina and Copeland, Laurence (2015). The CDS-bond basis puzzle in the financial sector. Cardiff Economics Working Papers, Working Paper No. E2015/11. 14.Merton, Robert C. (1974). On the pricing of corporate debt: the risk structure of interest rates. Journal ofFinance, 29, 449–470. 15.Nagel, S. (2016). The liquidity premium of near-money assets. Quarterly Journal of Economics 131, 1921-1971. 16.Oehmke, M., & Zawadowski, A. (2016). The anatomy of the CDS market. The Review of Financial Studies, 30(1), 80-119. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/73056 | - |
dc.description.abstract | 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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T07:15:38Z (GMT). No. of bitstreams: 1 ntu-108-R05723051-1.pdf: 1298274 bytes, checksum: 4f7d175721b8ce6646a86a03af5b459b (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | 謝辭 I
摘要 II Abstract III 目錄 IV 表目錄 VI 數學式 VII 第一章 前言 1 第二章 文獻回顧 4 第三章 多元迴歸因子之選擇與使用 6 3.1 主要參考論文Kryukova and Copeland (2015)之迴歸因子 6 3.2 本篇論文之迴歸因子介紹 7 第四章 統計結果分析與探討 15 4.1 國債殖利率、標的CDS價格與標的公司債殖利率大小之比較 15 4.2 多元迴歸分析之初步比較 17 4.3 無顯著解釋能力的迴歸因子之分析與探討 19 4.4 有顯著解釋能力的迴歸因子之分析與探討 21 4.5 多元迴歸模型之改善 28 4.6 多元迴歸模型之衍生分析與探討 30 4.6.1 只以負值之Basis進行多元迴歸分析之模型選擇與統計結果 30 4.6.2 負值Basis多元迴歸分析之顯著因子之單因子迴歸檢定 31 4.6.3 只有負值Basis的迴歸模型之改善 33 第五章 論文總結 35 參考文獻 38 附錄一 附錄一 迴歸因子間相關係數 40 附錄二 針對所有Basis進行之多元迴歸分析 42 附錄三 迴歸因子間相關係數(只採計負值Basis) 44 附錄四 僅針對負值Basis進行之多元迴歸分析 46 | |
dc.language.iso | zh-TW | |
dc.title | 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 | zh_TW |
dc.title | Comparison Between the Portfolio Buying T-Note and Selling targeted Corporate CDS and Corporate Bonds | en |
dc.type | Thesis | |
dc.date.schoolyear | 107-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 何耕宇(Keng-Yu Ho) | |
dc.contributor.oralexamcommittee | 蔡偉澎(Wei-Pen Tsai) | |
dc.subject.keyword | 公司債,CDS,債券長期投資,債券流動性,股價波動性, | zh_TW |
dc.subject.keyword | Corporate Bonds,CDS,Long-term investment on bond,Bond Liquidity,Equity Volatility, | en |
dc.relation.page | 47 | |
dc.identifier.doi | 10.6342/NTU201901500 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2019-07-15 | |
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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