English  |  正體中文  |  简体中文  |  Items with full text/Total items : 69937/69937 (100%)
Visitors : 23037014      Online Users : 352
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/67413


    Title: 股票市場流動性和公司債殖利率差:理論與實證;Stock Liquidity and Corporate Bond Yield Spreads: Theory and Evidence
    Authors: 黃弘毅;Huang,Hung-Yi
    Contributors: 財務金融學系
    Keywords: 股市流動性;殖利率差;金融危機;信用風險;Stock Liquidity;Yield Spreads;Financial Crisis;Credit Risk
    Date: 2015-03-31
    Issue Date: 2015-05-08 15:34:23 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 本篇文章旨在檢視美國市場個別股票流動性對公司債殖利率差的影響。我們延伸了 He and Xiong (2012)的結構式信用風險模型,並將個股流動性加入其模型並計算債券價格。我們發現個股流動性下降會提高公司違約邊界,進而提高公司的信用風險,因此導致公司債殖利率差上升,此效果對於投機級和短期債券更為顯著。此外,由於在金融風暴期間股市和公司債市場流動性會同步下降,我們的模型預測個股流動性對公司債殖利率差的影響會更顯著,本文的模型可以用來解釋在金融風暴期間公司債市場殖利率差大幅上升的現象。我們使用了2001年到1月2010年12月的美國公司債資料來進行實證分析,實證結果支持本文的理論預期。;This dissertation examines the impacts of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous-default model of He and Xiong (2012) to include stock liquidity in the calculation of the bond value, we show that a drop in stock liquidity will increase the firm’s credit risk by increasing the firm’s default boundary, leading to an increase of the credit spread. Our model is consistent with the sharp increase of credit risk premiums and is observed the “yield spread spike” phenomenon in corporate bond markets during the financial crisis. We present empirical evidence supportive of our model
    Appears in Collections:[財務金融研究所] 博碩士論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML407View/Open


    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback  - 隱私權政策聲明