請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23804
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 廖咸興(Hsien-Hsing Liao) | |
dc.contributor.author | Jhih-Hong Wang | en |
dc.contributor.author | 王秩鴻 | zh_TW |
dc.date.accessioned | 2021-06-08T05:10:20Z | - |
dc.date.copyright | 2011-07-28 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-14 | |
dc.identifier.citation | Ang, J.S., Cole, R.A., Lin, J.W., “Agency costs and ownership structure.” Journal of Finance 55 (2000), 81-106.
Berger, A.N., Bonaccorsi di Patti, E., “Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry.” Journal of Banking and Finance 30 (2006), 1065-1102. Bertrand, M., Schoar., A., “Managing with Style: The Effect of Managers on Firm Policies.” Quarterly Journal of Economics 118 (2003), 1169–1208. Bhandari, L.C., “Debt/equity ratio and expected common stock returns: Empirical evidence.” Journal of Finance 43 (1988), 507-528. Black, F., Scholes, M., “The pricing of options and corporate liabilities.” Journal of Political Economy 81 (1973), 637-654. Borokhovich, K. A., Parrino, R., Trapani, T. “Outside Directors and CEO Selection.” Journal of Financial and Quantitative Analysis 31 (1996), 337–355. Chemmanur, T. J., Paeglis, I., “Management Quality, Certification, and Initial Public Offerings.” Journal of Financial Economics 76 (2005), 331–368. Chemmanur, T. J., Fulghieri, P., “Investment Bank Reputation, Information Production, and Financial Intermediation.” Journal of Finance 49 (1994), 57–79. Chemmanur, T. J., Jiao, Y. “Seasoned Equity Issues with ‘Soft’ Information: Theory and Empirical Evidence.” Working Paper, Boston College (2005). Chemmanur, T. J., Paeglis, I., Simonyan, K., “Management Quality, Financial and InvestmentPolicies, and Asymmetric Information.” Journal of Financial and Quantitative Analysis 44 (2009), 1045–1079. Collin-Dufresne, P., Goldstein, R., “Do credit spreads reflect stationary leverage ratios?” Journal of Finance 56 (2001), 1929-1957. Cotter, J. F., Shivdasani, A., Zenner, M., “Do Independent Directors Enhance Target Shareholder Wealth during Tender Offers?” Journal of Financial Economics 43 (1997), 195–218. Cr´emer, J., “Corporate Culture and Shared Knowledge.” Industrial and Corporate Change, 2 (1993), 351–386. D’Aveni, R. A., “Top Managerial Prestige and Organizational Bankruptcy.” Organization Science 1 (1990), 121–142. Easterbrook, F. H., “Two Agency-Cost Explanations of Dividends.” American Economic Review 74 (1984), 650–659. Elton, E.J., Gruber, M.J., Agrawal, D., Mann, C., “Explaining the rate spread on corporate bonds.” Journal of Finance 56 (2001), 247-277. Eom, Y.H., Helwege, J., Huang, J.Z., “Structural models of corporate bond pricing: An empirical analysis.” Review of Financial Studies 17 (2004), 499-544. Gaver, J. J., Gaver, K. M. “Additional Evidence on the Association between the Investment Opportunity Set and Corporate Financing, Dividend and Compensation Policies.” Journal of Accounting and Economics 16 (1993), 125–160. Goddard, J., McKillop, D., Wilson, J.O.S., “The diversification and financial performance of US credit unions.” Journal of Banking and Finance 32 (2008), 1836-1849. Grossman, S. J., Hart, O. D., “Corporate Financial Structure and Managerial Incentives.” In The Economics of Information and Uncertainty, J. J. McCall, ed. Chicago, IL: University of Chicago Press (1982). Hambrick, D. C., D’Aveni, R. A., “Top Team Deterioration as Part of the Downward Spiral of Large Corporate Bankruptcies.” Management Science 38 (1992), 1445–1466. Harman, H. H. Modern Factor Analysis, 3rd ed. Chicago, IL: University of Chicago Press (1976). Harris, M., Raviv, A., “The theory of capital structure.” Journal of Finance 46 (1991), 297-355. Hermalin, B. E., “Economics and Corporate Culture.” In The International Handbook of Organizational Culture and Climate, C. L. Cooper, S. Cartwright, and P. C. Earley, eds. Chichester, UK: John Wiley & Sons, Ltd. (2001). Hodgson, G. M., “Corporate Culture and the Nature of the Firm.” In Transaction Cost Economics and Beyond, J. Groenewegen, ed. Boston, MA: Kluwer Academic Press (1996). Holmstr¨om, B., “Managerial Incentive Problems: A Dynamic Perspective.” Review of Economic Studies 66 (1999), 169–182. Huang, J.Z., Huang, M., “How much of the corporate-treasury yield spread is due to credit risk?” Working Paper, Pennsylvania State University (2003). Jensen, M. C., “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers.” American Economic Review 76 (1986), 323–329. Jensen, M.C., “Agency costs of free cash flow, corporate finance and takeovers.” American Economic Review 76 (1986), 323-329. Jensen, M.C., Meckling, W., “Theory of the firm: Managerial behavior, agency costs, and capital structure.” Journal of Financial Economics 3 (1976), 305-360. Jorion, P., “Financial risk manager handbook.” New Jersey: Hoboken (2003). Kauko, K., “Managers and efficiency in banking.” Journal of Banking and Finance 33 (2009), 546-556. Kisgen, D.J., “Credit ratings and capital structure.” Journal of Finance 61 (2006), 1035-1072. Kreps, D. M., “Corporate Culture and Economic Theory.” In Perspectives on Positive Political Economy, J. E. Alt and K. A. Shepsle, eds. Cambridge, UK: Cambridge University Press (1990). Kreps, D. M., Wilson, R., “Reputation and Imperfect Information.” Journal of Economic Theory 27 (1982), 253–279. Krishnaswami, S., Subramaniam, V., “Information Asymmetry, Valuation, and the Corporate Spin-Off Decision.” Journal of Financial Economics 53 (1999), 73–112. Lazear, E. P., “Corporate Culture and the Diffusion of Values.” In Trends in Business Organization, H. Siebert, ed. Tubingen, Germany: J. C. B. Mohr (1995). Leland, H., “Predictions of expected default frequencies in structural models of debt.” Working Paper, University of California at Berkeley (2002). Leland, H., Toft, K., “Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads.” Journal of Finance 51 (1996), 987-1019. Longstaff, F., Schwartz, E., “A simple approach to valuing risky fixed and floating rate debt.” Journal of Finance 50 (1995), 789-819. Merton, R.C., “On the pricing of corporate debt: The risk structure of interest rates.“ Journal of Finance 29 (1974), 449-470. Miller, M. H., Modigliani, F., “Dividend Policy, Growth, and the Valuation of Shares.” Journal of Business 34 (1961), 411–433. Miller, M. H., Rock, K., “Dividend Policy under Asymmetric Information.” Journal of Finance 40 (1985), 1031–1051. Modigliani, F., Miller, M. H., “The Cost of Capital, Corporation Finance and the Theory of Investment.” American Economic Review 48 (1958), 261–297. Myers, S. C., Majluf, N. S., “Corporate Financing and Investment Decisions When Firms Have Information that Investors Do Not Have.” Journal of Financial Economics 13 (1984), 187–221. Odders-White, E.R., Ready, M.J., “Credit ratings and stock liquidity.” Review of Financial Studies 19 (2006), 119-157. Albuquerue, R., Wang, N., “Agency Conflicts, Investment, and Asset Pricing.” Journal of Finance 63 (2008), 1-40 Stulz, R., “Managerial discretion and optimal financing policies.” Journal of Financial Economics 26 (1990), 3-27. Vasicek, O., “An equilibrium characterization of the term structure.” Journal of Financial Economics 5 (1977), 177-188. Welch, I., “Capital Structure and Stock Returns.” Journal of Political Economy 112 (2004), 106–131. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23804 | - |
dc.description.abstract | 根據2000年到2008年的資料,本研究從管理品質角度探討企業信用風險與結構型模型之預測誤差。我們發現管理品質確實對信用風險的評估有著顯著影響,與管理品質相關的三個因子對於評等機構與結構型模型的評等差異有18.25%到25.26%的解釋能力。此外,本研究發現管理品質效果與兩者差異為正相關,代表因管理品質提升所造成的資產波動性增加的效果大於因管理品質提升而降低代理成本的效果。 | zh_TW |
dc.description.abstract | This work investigates the effects of management quality issues embedded in structural form credit models on firm’s credit risk evaluation using American firm data from 2000 to 2008. The findings of this research show that management quality significantly relates to the deviations in the credit risk evaluation of structural form models from agency ratings. This study finds three factors explaining 18.25% to 25.26% of the deviation and should be incorporated into credit risk modeling. Additionally, the effects of management quality positively relate to the deviation and confirm that the effects of the increase in asset volatility dominate those of the decrease in agency cost due to improvement in management quality. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:10:20Z (GMT). No. of bitstreams: 1 ntu-100-R98723079-1.pdf: 396287 bytes, checksum: 914f0dd30c2bac5f2ef4aca910b84e95 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 致謝 i
摘要 ii ABSTRACT iii CONTENTS iv 1. Introduction - 1 - 2. Hypothesis - 6 - 3. Model implementation - 9 - 3.1 The model - 9 - 3.2 Parameters estimations - 10 - 4. Data - 13 - 5. Measures of management and firm quality - 14 - 5.1 Measures of Management Quality and Reputation - 14 - 5.2 Proxies for Other Aspects of Firm Quality - 17 - 5.3 Control Variables - 17 - 6. Empirical evidence and hypotheses examination - 19 - 6.1. Single-variate analyses - 19 - 6.2 Multivariate analyses - 19 - 6.3 Additional check for more controlled variables - 21 - 7. Conclusion - 22 - Reference - 23 - Appendix - 60 - | |
dc.language.iso | en | |
dc.title | 企業信用風險與結構型模型之預測誤差探討:管理品質觀點 | zh_TW |
dc.title | Corporate Credit Risk and Structural Credit Models:Management Quality Perspectives | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽(Shing-Yang Hu),陳聖賢(Sheng-Syan Chen),陳宗岡 | |
dc.subject.keyword | 信用風險,結構型模型,代理問題,管理品質,資產波動, | zh_TW |
dc.subject.keyword | Credit risk,Structural form credit models,Agency problems,Management quality,Asset volatility, | en |
dc.relation.page | 63 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2011-07-15 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-100-1.pdf 目前未授權公開取用 | 387 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。