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標題: | 不同類型機構投資人持股對公司債殖利率利差影響 Institutional Investors and Corporate Bond Yield Spread |
作者: | Chia-Yu Kuo 郭家瑀 |
指導教授: | 廖咸興 |
關鍵字: | 公司債殖利率利差,機構投資人持股公司治理制度,Transient機構投資人,Dedicated機構投資人,Growth style機構投資人,Value style機構投資人, corporate bond yield spread,institutional investor ownership,corporate governance mechanism,Transient institutional investor,Dedicated institutional investor,Growth style institutional investor,Value style institutional investor, |
出版年 : | 2019 |
學位: | 碩士 |
摘要: | 過往研究文獻中提出多種機構投資人分類方式,並且針對各種不同類型機構投資人,與公司治理機制及信用風險間關係進行相關深入探討。而本研究主要探討之機構投資人分類包含二種,分別為Transient/Quasi-indexer/Dedicated分類方式以及Investment style分類方式;基於過往文獻提出之不同類型機構投資人特性,本研究進一步探討不同類型機構投資人對公司債殖利率利差之影響,此外因本研究亦好奇當機構投資人同時具備不同類型身份時,該機構投資人與利差間關聯性,因此亦將機構投資人以交叉分類方式再度細分,並探討交叉分類之不同類型機構投資人對公司債殖利率利差之影響。
本研究蒐集2001年至2017年美國公司年資料,以panel資料進行迴歸實證分析。實證結果發現,隨公司內不同類型機構投資人越多,對於利差將出現不同影響。Dedicated類型機構投資人對利差無顯著影響,Transient類型機構投資人則對利差有顯著提升效果,而Growth style類型機構投資人或Value style類型機構投資人皆對利差有顯著下降效果,且Growth style類型機構投資人相較於Value style類型機構投資人,對利差之下降效果更強。 而當機構投資人具備不同身份特性時,隨公司內部交叉分類之不同類型機構投資人越多,同樣對於利差有不同影響。當機構投資人同時為Dedicated類型與Growth style類型機構投資人,該機構投資人對利差無顯著影響,當機構投資人同時為Transient類型與Value style類型機構投資人,則該機構投資人對利差有顯著下降效果,當機構投資人同時為Transient類型與Growth style類型機構投資人,該機構投資人對利差無顯著影響,當機構投資人同時為Dedicated類型與Value style類型機構投資人,則該機構投資人對利差有顯著提升效果。 綜合本研究實證結果可發現,當機構投資人同時具備不同類型特性時,不同類型特性會從多方層面去影響該機構投資人最終與利差間之關聯性。 Many existing studies have investigated the relationships between different kinds of institutional investors and the corporate governance mechanisms and credit risk. While this study aims to examine the effects of different types of institutional investors on corporate bond yield spreads. Since only few studies explore the effect of institutional investor on the corporate bond yield spreads when the institutional investor have multiple characteristics according to different institutional investor classifications, this study also addresses this issue. The empirical results show that different types of institutional investors have different effects on the corporate bond yield spreads. Dedicated institutional investors have no significant effect on the spreads while Transient institutional investor has a significant positive effect. In addition, both Growth style institutional investor and Value style institutional investor have a negative effect on the spreads. Especially, the effect of Growth style institutional investors is stronger. For the institutional investors with multiple identities, the empirical results show that if an institutional investor is classified as Dedicated and Growth style, it has no significant effect on bond yield spreads. However, institutional investors classified as Dedicated and Value style have a significant negative effect on bond yield spreads. In addition, if institutional investors classified as Transient and Growth style have no significant effect on bond yield spreads, while institutional investors classified as Transient and Value style have a significant positive effect on bond yield spreads. The empirical results above show that institutional investors with different combinations of investor identities have different effects on bond yield spreads. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/73237 |
DOI: | 10.6342/NTU201901062 |
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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