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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | Feng-Ming Lin | en |
| dc.contributor.author | 林峰民 | zh_TW |
| dc.date.accessioned | 2021-06-15T12:57:36Z | - |
| dc.date.available | 2026-12-31 | |
| dc.date.copyright | 2016-07-26 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-07-13 | |
| dc.identifier.citation | Bertoni, F., & Lugo, S. (2015). Detecting abnormal changes in credit default swap spread. Working Paper
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50774 | - |
| dc.description.abstract | 過去研究發現Schedule 13D文件的發佈對股票有正面影響，本文使用Bessembinder et al.(2009)提出的兩種風險調整方法計算13D發布期間公司債的超額報酬，並透過Moody’s Peer Group建立一組對照樣本作為參照，考慮到報酬有著非常態分配的特性，採用Cowan(1992)提出的generalized sign test，好處是無須對母體作過多假設。結果顯示，公司債在事件期間內有著顯著的負向超額報酬。 | zh_TW |
| dc.description.abstract | This study investigates the relationship between SEC EDGAR Schedule 13D filing events and corporate bond yield spreads. We employ two risk adjusted methods of calculating bond abnormal returns which summarize by Bessembinder et al.(2009). We select a control sample from Moody’s Peer Group to compare with 13D sample. We employ generalized sign test introduced by Cowan(1992) to avoid stringent assumption about return distributions under parametric tests, The empirical results of this study show that significant negative abnormal bond returns were discovered during 13D event periods. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T12:57:36Z (GMT). No. of bitstreams: 1 ntu-105-R03723061-1.pdf: 1130437 bytes, checksum: 59f8da97cc803e3c0453709eb8e2b1fe (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 口試委員審定書 i
誌謝 ii 摘要 iii Abstract iv 目錄 v 圖表目錄 vi 第一章、概述 1 第二章、研究假說 5 第三章、研究樣本與研究方法 6 3.1資料來源與篩選 6 3.1.1Schedule 13D 6 3.1.2 Moody’s Rating and Peer Group 6 3.1.3 Datastream 7 3.1.4 BofA Merrill Lynch Index Group 7 3.2超額報酬計算 8 3.2.1 債券資料處理 8 3.2.2 風險因子調整 8 3.3無母數檢定 10 第四章、研究結果與分析 12 4.1事件期間內之超額報酬 12 4.2超額報酬顯著性檢定 13 第五章、結論 15 參考文獻 16 | |
| dc.language.iso | zh-TW | |
| dc.title | 資訊交易對公司債權人財富之影響 | zh_TW |
| dc.title | Does Informed Trading Affect Bondholders’ Wealth? | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇,陳宗岡 | |
| dc.subject.keyword | Schedule 13D,併購,公司債利差, | zh_TW |
| dc.subject.keyword | Schedule 13D,M&A,Yield Spread, | en |
| dc.relation.page | 26 | |
| dc.identifier.doi | 10.6342/NTU201600878 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-07-14 | |
| 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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| ntu-105-1.pdf 目前未授權公開取用 | 1.1 MB | Adobe PDF |
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