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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Li) | |
| dc.contributor.author | Yu-Ping Chang | en |
| dc.contributor.author | 張裕苹 | zh_TW |
| dc.date.accessioned | 2021-06-17T07:17:46Z | - |
| dc.date.available | 2021-07-31 | |
| dc.date.copyright | 2019-07-31 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019-07-11 | |
| dc.identifier.citation | A. Badoer, Dominique C., and Cem Demiroglu. 'The relevance of credit ratings in transparent bond markets.' The Review of Financial Studies 32.1 (2018): 42-74.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/73106 | - |
| dc.description.abstract | 美國金融監管機構為了要改善公司債市場的的資訊透明度，遂於2002年推出債券公開申報平台『TRACE系統』，研究債券市場資訊透明度的文獻才慢慢開始越來越多，但過往文獻大多僅比較TRACE系統出現前後。債券市場的資訊透明度，故本研究主要透過研究公司的信用評等遭到降評對公司債是否產生負面異常報酬，以探討現今公司債市場是否存在資訊不對稱的情況，本研究所指的資訊不對稱為同一市場的不同投資人是否在降評日宣布之前就有資訊差異，且由於信用降評也會對公司所發行的股票造成負面影響，所以也加入股票市場進行研究。本研究使用事件研究法分別對公司債與股票進行檢定，實證結果為當公司的信用評等遭到降評或公司展望降為負向時，股票雖沒有產生顯著的負面異常報酬，但公司債有產生負面異常報酬，表示美國公司債市場即使有TRACE系統存在，也無法避免公司債市場存在資訊不對稱的情況，資訊透明度仍有待加強。
另外，也研究了當公司的信用評等遭到降評或公司展望降為負向，公司債會不會優先於股票反應負面消息。實證結果發現，公司債領先股票3天反應降評的負面衝擊。 | zh_TW |
| dc.description.abstract | In 2002, NASD introduced TRACE to improve transparency of the market. Since then, effort has been devoted into studying effect of how TRACE improve the market transparency and its effect on the market participants. In our paper, we discuss how ratings downgrade affect total return of corporate bonds, and determine if there is asymmetric information compared to stock market. Our approach is to test the significance of the negative abnormal return of individual companies in both stock and bond markets. If the negative abnormal return after release of negative news is significant in bond market but not in stock market, we may deduce there still exists asymmetric information in corporate bond market, notwithstanding the new system. Our result also shows that corporate bond market reacts to negative news three days earlier on average than stock market. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T07:17:46Z (GMT). No. of bitstreams: 1 ntu-108-R06723052-1.pdf: 1860361 bytes, checksum: 3b8b4e3897e821ff0eef24cc85353411 (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | 誌謝 i
中文摘要 ii 英文摘要ABSTRACT iii 目錄 iv 圖目錄 vi 表目錄 vii Chapter 1 緒論1 1.1 研究背景及研究動機1 1.2 研究目的4 1.3 研究架構5 Chapter 2 文獻探討7 2.1 公司債市場資訊透明度相關文獻回顧7 2.2 債券異常報酬文獻探討9 2.2.1 信評機構重要性9 2.2.2 信用評等對市場的影響10 2.3 事件研究法相關文獻回顧11 2.3.1 相關文獻探討11 2.3.2 債券事件研究法12 Chapter 3 研究方法16 3.1 執行方法與步驟16 3.2 資料收集16 3.2.1 樣本選擇16 3.2.2 樣本篩選流程19 3.2.3 樣本特徵19 3.3 實證研究方法20 3.3.1 債券報酬計算20 3.3.2 債券異常報酬計算20 3.3.3 股票報酬計算21 3.3.4 股票異常報酬計算22 3.3.5 事件研究法之統計檢定23 3.3.5 時間序列中的交叉相關分析24 Chapter 4 實證分析結果26 4.1 信用降評對公司債有無負面異常報酬26 4.2 信用降評對股票有無負面異常報酬28 4.3 公司債是否優先於股票反應降評消息31 Chapter 5 結論與建議32 5.1 研究結論32 5.2 後續研究建議32 參考文獻 35 附錄 38 | |
| dc.language.iso | zh-TW | |
| dc.subject | TRACE | zh_TW |
| dc.subject | 債券事件研究法 | zh_TW |
| dc.subject | 公司債異常報酬 | zh_TW |
| dc.subject | 資訊不對稱 | zh_TW |
| dc.subject | 信用降評 | zh_TW |
| dc.subject | TRACE | en |
| dc.subject | Event study | en |
| dc.subject | Corporate bonds abnormal return | en |
| dc.subject | Asymmetric information | en |
| dc.subject | Credit ratings downgrade | en |
| dc.title | 信用評等降評對公司債與股票的資訊不對稱探討 | zh_TW |
| dc.title | Discussion on the Information Asymmetry between Corporate Bonds and Stocks by Credit Rating Downgrade | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 107-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 何耕宇(Keng-Yu Ho) | |
| dc.contributor.oralexamcommittee | 蔡偉澎(Wei-Pen Tsai) | |
| dc.subject.keyword | 信用降評,資訊不對稱,公司債異常報酬,債券事件研究法,TRACE, | zh_TW |
| dc.subject.keyword | Credit ratings downgrade,Asymmetric information,Corporate bonds abnormal return,Event study,TRACE, | en |
| dc.relation.page | 45 | |
| dc.identifier.doi | 10.6342/NTU201901364 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2019-07-11 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| Appears in Collections: | 財務金融學系 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-108-1.pdf Restricted Access | 1.82 MB | Adobe PDF |
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