股票市場流動性和公司債殖利率差:理論與實證

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姓名

黃弘毅(Hung-Yi Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

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)

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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。
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摘要(中)

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。

摘要(英)

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

關鍵字(中)

★ 股市流動性
★ 殖利率差
★ 金融危機
★ 信用風險

關鍵字(英)

★ Stock Liquidity
★ Yield Spreads
★ Financial Crisis
★ Credit Risk

論文目次

Stock Liquidity and Corporate Bond Yield Spreads: Theory and Evidence ii
Abstract ii
List of Figures v
List of Tables vi
1. Introduction 1
2. The Model 5
3. Numerical Results 12
4. Empirical Analysis 15
4-1 Data 15
4-2 Empirical Method 24
4-3 Evidence for Full Sample 24
4-4 Credit Ratings and Financial Crisis 26
4-5 Debt Maturity 28
4-6 Robustness Checks 29
5. Conclusion 30
Reference 32
Appendix 56

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指導教授

黃泓人(Henry H. Huang)

審核日期

2015-3-31

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