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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)
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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]   至系統瀏覽論文 (2021-6-24以後開放)
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
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指導教授 黃泓人 審核日期 2019-6-24
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