股票崩盤風險與信用利差

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：46

、訪客IP：18.116.85.96

姓名

曾譯萱(Yi-Xuan Tseng) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

股票崩盤風險與信用利差
(Stock price crash risk and credit spread)

相關論文

★ 本國壽險業內部管理制度與經營績效之探討	★ 企業購併宣告對股東財富效果之影響-以台灣金融業為例
★ 金融科技對台灣金融業之影響-以線上貸款為例	★ 銀行授信違約風險-財務比率評分之預警效果
★ 所得稅制優化修正與兩稅合一廢除之影響	★ 區塊鏈技術應用於金融科技公司企業資金電子調撥系統實作與驗證
★ 房屋貸款者風險特性與個人星座關係之研析-以個案銀行分行房貸業務為例	★ 金融科技浪潮下銀行分行經營績效之探討－以個案銀行為例
★ 中國A股正式納入MSCI指數之異常報酬探討	★ 企業信用管理政策之個案研究
★ 生技公司與醫美診所聯合經營商業模式探討與財務分析－以某公開發行公司為例	★ 公司併購之經營績效分析－以某併購案為例
★ 結構型商品投資個案探討-股價(權)連結型/基金連結型	★ 越南台商融資模式之研究
★ 低利環境利差縮減下銀行分行經營效率之探討-以個案銀行為例	★ 經濟供需模型評價死亡率債券

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究採用2002年至2015年美國公司債年資料，探討公司股票崩盤風險與信用利差之關係。過去研究指出公司股票崩盤代表公司具有資訊不對稱的現象，且過去所隱藏的負面資訊一次釋放，進而造成股票暴跌。又有相關文獻指出當公司資訊不對稱程度愈高，其公司信用利差愈大。因此本研究針對公司股票崩盤風險與公司債信用利差進行一個直接的探討。
本研究採用三個股票崩盤風險的衡量指標，並以最小平方法與兩階段最小平方進行迴歸分析。主要結果顯示當公司股票崩盤風險愈高，其公司債信用利差愈大。而這個結果與過去文獻的理論相符，亦表示公司股票崩盤風險與信用利差有直接關聯性。

摘要(英)

The purpose of this research is to investigate the impact of stock price crash risk on credit spread. The sample is adopted by American corporate bond with yearly data from 2002 to 2015. According to the previous research, the existence of information asymmetries between corporate insiders and external stakeholders could lead to crash risk. In addition, the information asymmetry is positively related to credit spread. Therefore, we focus on the relationship between stock price crash risk and credit spread. We use the OLS and 2SLS regressions. The results show that firms with higher stock price crash risk contribute to higher credit spread .

關鍵字(中)

★ 股票崩盤風險
★ 信用利差

關鍵字(英)

★ Stock price crash risk
★ Credit spread

論文目次

摘要I
Abstract II
誌謝III
目錄IV
圖表目錄V
第一章緒論 1
1-1 研究動機 1
1-2 研究目的 2
1-3 研究架構 3
第二章文獻回顧 4
2-1 股票崩盤風險 4
2-2 信用利差 6
2-3 信用利差與流動性 7
第三章研究方法 8
3-1 研究假說 8
3-2 樣本與資料來源 9
3-3 變數 10
3-4 研究模型 16
第四章實證結果分析 17
4-1 敘述統計量 17
4-2 迴歸分析結果 22
4-3 穩健性分析 26
第五章結論 33
參考文獻 34
附錄 37

參考文獻

〔1〕 An, Z., Li, D., & Yu, J. (2015). Firm crash risk, information environment, and speed of leverage adjustment. Journal of Corporate Finance, 31, 132–151.
〔2〕 Benmelech, E., Kandel, E., & Veronesi, P. (2010). Stock-based compensation and CEO (dis)incentives. The Quarterly Journal of Economics, 125(4), 1769–1820.
〔3〕 Bleck, A., & Liu, X. (2007). Market transparency and the accounting regime. Journal of Accounting Research, 45(2), 229–256.
〔4〕 Callen, J. L., & Fang, X. (2015). Short interest and stock price crash risk. Journal of Banking & Finance, 60, 181-194.
〔5〕 Callen, J. L., & Fang, X. (2017). Crash Risk and the Auditor-Client Relationship, Contemporary Accounting Research, 34, 1715-1750.
〔6〕 Campbell, J.Y., & TAKSLER, G.B. (2003). Equity Volatility and Corporate Bond Yields, Journal of Finance, 58, 2321-2349.
〔7〕 Chang, X., Chen, Y., & Zolotoy, L. (2017). Stock liquidity and stock price crash risk. Journal of Financial and Quantitative Analysis, 52, 1605-1637.
〔8〕 Chen, J., Hong H., & Stein, J.C. (2001). Forecasting crashes, Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61 (3), 345-381.
〔9〕 Chen,L., Lesmond D.A., & Wei J.(2007).Corporate Yield Spreads and Bond Liquidity, Journal of Finance, 62, 119-149.
〔10〕 Dang V.A., Lee E., Liu Y., & Zeng C. (2018). Corporate Debt Maturity and Stock Price Crash Risk, European Financial Management, 24, 451-484.
〔11〕 Dichev, I.D. & Piotroski, J.D. (2001). The Long-Run Stock Returns Following Bond Ratings Changes, The Journal of Finance, 56, 173-203.

〔12〕 Francis, J.R., Pinnuck, M.L., & Watanabe, O. (2014) Auditor style and financial statement comparability. The Accounting Review, 89(2), 605-633.
〔13〕 Habib, A., Hasan, M.M., & Jiang, H. (2018). Stock price crash risk: review of the empirical literature, Accounting & Finance, 58, 211-251.
〔14〕 Hackenbrack, K.E., Jenkins, N.T., & Pevzner, M. (2014). Relevant but delayed information in negotiated audit fees. Auditing: A Journal of Practice & Theory, 33(4), 95–117.
〔15〕 Helwege, J., Huang, Jing-Zhi, & Wang, Y. (2014). Liquidity effects in corporate bond spreads, Journal of Banking and Finance, 45, 105-116.
〔16〕 Hong, H., & Stein, J. (2003). Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies, 16, 487–525.
〔17〕 Huang, Jing-Zhi & Huang M. (2002). How much of the corporate-treasury yield spread is due to credit risk?, The Review of Asset Pricing Studies, 2, 153-202.
〔18〕 Hutton A.P, Marcus A.J, & Tehranian H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94 (1), 67-86.
〔19〕 Jin, L., & Myers, S. C. (2006). R² around the World: New theory and new tests. Journal of Financial Economics, 79(2), 257-292.
〔20〕 Kim, Jeong-Bon, Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm Level analysis. Journal of Financial Economics, 100(3), 639-662.
〔21〕 Kim, Jeong-Bon, Wang, Z., & Zhang, L. (2016). CEO overconfidence and stock price crash risk. Contemporary Accounting Research, 33(4), 1720-1749.
〔22〕 Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
〔23〕 Kwan, S.H. (1996). Firm-specific information and the correlation between individual stocks and bonds, Journal of Financial Economics, 40, 63-80.

〔24〕 Lu, Chia-Wu, Chen, Tsung-Kang & Liao Hsien-Hsing (2010).Information uncertainty, information asymmetry and corporate bond yield spreads, Journal of Banking & Finance, 34, 2265-2279.
〔25〕 Nejadmalayeri, A., Mathur, I., & Singh, M. (2013). Product market advertising and corporate bonds, Journal of Corporate Finance, 19, 78-94.
〔26〕 Rossi M. (2014). Realized volatility, liquidity, and corporate yield spreads, Quarterly Journal of Finance, 04, 1450004.

指導教授

黃泓人

審核日期

2019-6-24

推文