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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 盧秋玲(Chiu-Ling Lu) | |
| dc.contributor.author | Chun-Wei Lin | en |
| dc.contributor.author | 林均蔚 | zh_TW |
| dc.date.accessioned | 2022-11-24T09:25:35Z | - |
| dc.date.available | 2022-11-24T09:25:35Z | - |
| dc.date.copyright | 2021-07-23 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-07-03 | |
| dc.identifier.citation | Altman, Edward I., 1968. “Financial Ratios, Discriminant Analysis and The Prediction of Corporate Bankruptcy.” Journal of Finance 23, 589-609. Altman, Edward I., and Vellore Kishore. 1996. “Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds.” Financial Analysts Journal 52, 57–64. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov. 2007. “Momentum and Credit Rating.” Journal of Finance 62, 2503-2520. Avramov, Doron, Gergana Jostova, and Alexander Philipov. 2007. “Understanding Changes in Corporate Credit Spreads.” Financial Analysts Journal 63, 90-105. Campbell, John Y., and John H. Cochrane. 1999. “By force of habit: A consumption-based explanation of aggregate stock market behavior.” Journal of Political Economy 107, 205-251. Campbell, John Y., and Glen B. Taksler. 2003. “Equity Volatility and Corporate Bond Yields.” Journal of Finance 58, 2321–2350. Collin-Dufresne, Pierre, Robert S. Goldstein, and J. Spencer Martin. 2001. “The Determinants of Credit Spread Changes.” Journal of Finance 56, 2177–2207. Elton, Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann. 2001. “Explaining the Rate Spread on Corporate Bonds.” Journal of Finance 56, 247–277. Fama, Eugene F., and Kenneth R. French. 1989. “Business Conditions and Expected Returns on Stocks and Bonds.” Journal of Financial Economics 25, 23–49. Merton, Robert C. 1974. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance 29, 449–470. Tang, D.Y., and H. Yan. 2006. “Macroeconomic Conditions, Firm Characteristics, and Credit Spreads.” Journal of Financial Services 29, 177–210. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81674 | - |
| dc.description.abstract | 本文以多元迴歸模型檢驗研究過去 30 年間註冊在美國、非可轉換債券、且不可提前買／賣回之美國高收益債券利差與四個總體因子與三個企業個體因子之間的關係，經刪除資料缺失過多之樣本後，共採用 391 檔債券進行研究，本文實證分析發現該七項因子普遍具有高度顯著水準，提供美國高收益債投資者可供觀察的相關指標。 本文使用的七項因子中，整體而言：(1) 總體成長動能（經濟成長季增率）、企業自由現金流、破產預警（阿特曼 Z 分數）與信用利差成負向關係。(2) 總體環境穩健程度（流通在外公債/國內生產毛額）、美國股市溢酬、企業槓桿比率、市場恐慌情緒（VIX 指數）和信用利差成正向關係。 經實證發現，隨著信評越高，該七項因子對於信用利差的顯著水準亦普遍越高。各因子中，市場恐慌情緒（VIX 指數）和破產預警（阿特曼 Z 分數）在所有美國高收益信評下具有最穩定的高顯著水準，且影響信用利差方向較一致，可作為有效的觀察指標；而自由現金流與槓桿比率在 B+及以下的等級的顯著性較其他變數低，且影響利差方向較不一致。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-24T09:25:35Z (GMT). No. of bitstreams: 1 U0001-3006202109521900.pdf: 1629474 bytes, checksum: e117f2f2d5666517baf06eab826125d2 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 目錄 口試委員審定書 誌謝 中文摘要 英文摘要 壹、緒論與動機 ......................................................................1 一、研究動機.........................................................................1 二、高收益債券定義 ..................................................................2 三、美國高收益債券的濫觴 .............................................................3 四、美國高收益債券市場成熟原因........................................................4 五、美國高收益債券利差 ...............................................................6 貳、文獻回顧 .......................................................................7 參、樣本選取與研究假說...............................................................10 一、樣本選取 .......................................................................10 二、因子假說 .......................................................................11 三、迴歸模型 ...................................................................16 肆、實證結果分析....................................................................17 一、以信評等級做虛擬變數後的迴歸分析結果 .............................................17 二、依照不同信評進行迴歸分析小結 .....................................................20 伍、結論...........................................................................29 陸、參考文獻 ......................................................................31 | |
| dc.language.iso | zh-TW | |
| dc.subject | 美國高收益債 | zh_TW |
| dc.subject | 信用利差 | zh_TW |
| dc.subject | 因子分析 | zh_TW |
| dc.subject | US high yield bonds | en |
| dc.subject | Factor Analysis | en |
| dc.subject | Credit Spreads | en |
| dc.title | 美國高收益債券利差與總體和個體因子影響性分析 | zh_TW |
| dc.title | The Study of Relationship between Credit Spread of US High Yield Bond And Macro and Firm-Specific Factors | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇(Hsin-Tsai Liu),沈仰斌(Chih-Yang Tseng) | |
| dc.subject.keyword | 美國高收益債,信用利差,因子分析, | zh_TW |
| dc.subject.keyword | US high yield bonds,Factor Analysis,Credit Spreads, | en |
| dc.relation.page | 32 | |
| dc.identifier.doi | 10.6342/NTU202101209 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2021-07-06 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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| U0001-3006202109521900.pdf 未授權公開取用 | 1.59 MB | Adobe PDF |
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