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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/68492

    Title: 盈餘變動、信用利差與債券流動性;Earning volatility, credit spread and bond liquidity
    Authors: 陳詩芸;Chen,Shih-Yun
    Contributors: 財務金融學系
    Keywords: 盈餘變動;信用利差;債券流動性;Earning Volatility;Credit spread;Bond liquidity
    Date: 2015-07-07
    Issue Date: 2015-09-23 11:57:16 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 本研究採用2003年4月至2011年12月共3860筆美國公司債月資料,進行盈餘變動、信用利差與債券流動性相關性之研究。從以往的文獻結果發現,盈餘變動與私人訊息相關,擁有私人資訊的管理者會調整盈餘被報導出來的結果,而使得盈餘波動度有所改變,又當盈餘相較於現金流量的變異程度越為平緩或更為劇烈時,會混淆資訊而使得資訊不對稱情形增加。又相關研究指出,當資訊不對稱程度越高時會使得公司價值的評估分布越大,反應在債券的利差程度亦越大。而信用利差又與債券流動性為一個反向關係,因此本研究即針對盈餘變動對信用利差與債券流動性的影響做一個直接的探討。
    ;This paper is about the relationship between earning volatility, credit spread and bond liquidity. The sample is adopted by American corporate bond with monthly data from 2003 to 2011. According to the previous research, if earnings are smoother or more volatile than cash flow, the information asymmetry is higher. What’s more, the information asymmetry is positively related to credit spread. Finally, there is a negative relationship between credit spread and bond liquidity. Therefore, we focus on the relationship between earning volatility, credit spread and bond liquidity directly. We adopt OLS and 2SLS regressions. The main result is that the credit spread is higher and less liquidity when earning is more volatile than cash flow.
    Appears in Collections:[財務金融研究所] 博碩士論文

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