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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 | Kuan-Yin Lee | en |
dc.contributor.author | 李坤穎 | zh_TW |
dc.date.accessioned | 2021-06-13T07:55:17Z | - |
dc.date.available | 2005-07-27 | |
dc.date.copyright | 2005-07-27 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-07-23 | |
dc.identifier.citation | [1] Anderson R. and S. Sundaresan, (1996),”The Design and Valuation of Debt Contracts”, Review of Financial Studies,9, 37-68.
[2] Black F., M. Scholes, (1973),The pricing of options and corporate liabilities, Journal of Finance, 44, 747-769. [3] Longstaff, Francis A., (1990), “Pricing Options with Extendible Maturities: Analysis and Applications”, Journal of Finance, 45,935-957. [4] Fan. H, and S. Sundaresan,(2000), “Debt valuation, Renegotiation, and Optimal Dividend Policy”, Review of Financial Studies, 13, 1057-1099. [5] Mella-Barral P, W. Perraudin,(1997), “Strategic Debt Service”,Journal of Finance,52, 531-556. [6] Moraux, Franck and Patrick Navatte (2004),”Extending the Maturity of a Defaulting Debt: When it is Worthwhile!” AFFI working paper. [7] Buchen, W. Peter, “Pricing European Barrier Options”, School of Mathematics and Statistics, University of Sydney, NSW 2006, Australia. [8] Margrabe, William, ”The Value of an Option to Exchange One Asset for Another”, Journal of Finance,Vol.33, No.1 (Mar., 1978), 177-186. [9] Warner J.,(1977), “Bankruptcy Costs: Some Evidence”, Journal of Finance, 32,337-347. [10] 陳松男博士(1992),「金融工程學」 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36263 | - |
dc.description.abstract | 當公司因違約而面臨清算時,由於面臨即時清算之成本,而使債權人所得之報酬降低。若債權人此時延後債券到期日,反而可能獲得更高的價值。本篇延續Longstaff(1990)所提出延長債券到期日的模型,及Moraux & Navatte(2004)修正Longstaff(1990)後之延續模型,更加入參與率的概念,成功地推導出引入參與率下,債權人、股東及公司的期初價值。因此可探討在不同的參與率下,對債權人、股東及公司的期初價值會有何影響。而分析的結果更顯示:引入參與率後,公司的實際價值能獲得顯著的提升。 | zh_TW |
dc.description.abstract | Since there is bankruptcy costs, bondholders intend to extend the maturity date of the debt to get higher pay-off when the debt is on the edge of default. Based on debt extension related models of Longstaff (1990) and Moraux & navatte’s (2004), this study introduces equity participation ratio of bondholder in to the previous models and derive analytical formulae for initial values of debt and equity. In addition, it can be used to explore the impacts on the values of both debt and equity holders under different participation ratios. We find that firm values increase significantly when introducing the mechanism of bondholder participation in debt extension period. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T07:55:17Z (GMT). No. of bitstreams: 1 ntu-94-R92723064-1.pdf: 451220 bytes, checksum: a06a2a42b0188dbc2935ef9305941c36 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | 摘要 I
英文摘要 II 致謝 III 圖表目次 IV 內文 壹、 序論 1 貳、 文獻回顧 3 2-1 Longstaff 模型回顧 3 2-2 變現率與時間相依且考慮動態監督門檻 4 參、 模型建立與推導 5 3-1 最適延長到期日 6 3-2 股東期初價值 7 3-3 債權人期初價值 8 3-4 變現率與時間相依 8 3-5 動態監督門檻 9 肆、 模型結果之分析與探討 10 4-1 引入參與率下,對債權人與股東價值的影響 10 4-2 其他因素對債權人與股東的影響 14 4-3 動態模擬 21 4-4 引入參與率的優點 23 伍、 結論 24 參考文獻 25 附錄 26 | |
dc.language.iso | zh-TW | |
dc.title | 引入參與率下債券延長到期日之研究 | zh_TW |
dc.title | Research of Extending Maturity Date of Debt by Introducing Participation Ratios | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 張森林 | |
dc.contributor.oralexamcommittee | 李賢源,廖四郎 | |
dc.subject.keyword | 展期債券,參與率, | zh_TW |
dc.subject.keyword | Extended bond,Participation Ratio, | en |
dc.relation.page | 27 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-07-25 | |
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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