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研究生： 張力升
Li-Sheng Chang
論文名稱： 垃圾債券是否具有較高的超額報酬?
Are Junk Bonds Junk?
指導教授： 張光第
Guangdi Chang
口試委員: 李志宏
Jie-Haun Lee
徐中琦
Junchi Shyu
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2010
畢業學年度： 98
語文別： 英文
論文頁數： 69
中文關鍵詞： 垃圾債券 、超額報酬 、綜效負凸性 、綜效系統風險 、綜效比率 、夏普比率 、資訊比率 、張比率
外文關鍵詞： Junk bonds, excess returns, synergy negative convexity, synergy systematic risk, synergy ratio, Sharpe ratio, information ratio, Chang ratio
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    • 本文使用夏普比率和資訊比率去探討金融海嘯後，是否因為綜效負凸性而使得垃圾債券比投資級債券有較高的超額報酬。我們的實證顯示出：(1) 在不同產業間，垃圾債券公司比投資級債券公司擁有較高的超額報酬，(2) 無論公司原始是垃圾債券或投資級債券, 當它被降等期間會比被升等期間有較高的超額報酬。(3) 垃圾債券指數會比對應的投資級債券指數有較高的超額報酬。會有這些情況，是否是因為在金融海嘯前對垃圾債券就存在錯誤認知，以及綜效系統風險導致投資人對垃圾債券需求不足，亦使得其價值被低估。因此，使其擁有較高的超額報酬。由於信用評等機構於對經濟環境的變動以及風險因素的思慮不夠縝密，即使在金融海嘯前，仍使得垃圾債券公司、被降等公司和垃圾債券指數，都能夠擁有較高的超額報酬。

    This paper employs Sharpe ratio and information ratio to investigate if junk bonds command higher excess returns than premium bonds due to the “synergy negative convexity” after the subprime crisis. Our empirical results reveal that: (1) Corporations with junk bond ratings have higher excess returns in equity values, as proxies for excess returns in bond prices, than those with premium bond ratings even in different sectors, (2) Downgraded corporations have excess returns in equity values, as proxies for excess returns in bond prices, than when upgraded, regardless they obtain premium bond or junk bond ratings, and (3) Junk bond indices have higher excess returns than corresponding premium bond indices. The implications of our findings are that the misperception about riskiness of junk bonds before the subprime crisis and the “synergy systematic risk” results in under-demanded and underpriced junk bonds, which lead to higher excess returns. Finally, the higher excess returns obtained by corporations with junk bond ratings, the downgraded corporations, or all junk bond indices in (3), are attributed to the ignorance of credit ratings agencies in any economic states and risk components even before the subprime crisis.

    A B S T R A C T Content 1. Introduction ---------------------------------------------------------------------------------- 1 2. Literature review 2.1. Components of expected excess corporate bond returns ----------------------------- 6 2.2. Natures of value creation ----------------------------------------------------------------- 6 2.3. Risk concentration ------------------------------------------------------------------------- 8 2.4. Model risk --------------------------------------------------------------------------------- 10 2.4.1. Probabilities of default ---------------------------------------------------------- 10 2.4.2. Recovery rates -------------------------------------------------------------------- 11 2.4.3. Default correlations -------------------------------------------------------------- 11 3. The model 3.1. Model of Coval, Jurek, and Stafford --------------------------------------------------- 13 3.2. A single-factor model -------------------------------------------------------------------- 17 3.3. Integrating Sharpe ratio or information ratio with Markowitz’s portfolio theory 18 4. Data 4.1. An indicator of catastrophe markets --------------------------------------------------- 21 4.2. A turning point in time ------------------------------------------------------------------- 21 4.3. The sample --------------------------------------------------------------------------------- 23 5. Empirical implications ------------------------------------------------------------------- 25 6. Conclusions and further extensions 6.1. Conclusions -------------------------------------------------------------------------------- 37 6.2. Extensions --------------------------------------------------------------------------------- 39 Acknowledgements --------------------------------------------------------------------------- 40 References -------------------------------------------------------------------------------------- 63

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