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Author: 王郁傑
Yu-chieh Wang
Thesis Title: 償債能力與信用評等對公司債利差之影響
Solvency and Rating on Corporate Bond Yield Spreads
Advisor: 黃瑞卿
Rachel Huang
Committee: 陳俊男
Chun-nan Chen
曾郁仁
none
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2014
Graduation Academic Year: 102
Language: 中文
Pages: 39
Keywords (in Chinese): 信用風險償債能力利息保障倍數財務槓桿比率債券評等公司債利差
Keywords (in other languages): Credit Risk, Solvency, Interest Coverage, Financial Leverage Ratio, Bond Rating, Corporate Bond Yield Spreads
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自上個世紀末以來,全球信貸市場發展迅速,債券及其相關衍生性金融商品之交易量逐年提高,如何有效管理償債能力等信用風險因素也成為近年來實務界重要課題。本研究延伸文獻Chen, Liao et al. (2011),以利息保障倍數、財務槓桿比率作為償債能力代理變數,並加入債券評等分析三者間與公司債利差之關係。
本研究對債券評等進行延伸,探討債券評等為連續變數、設定債券評等虛擬變數與不同債券評等分組之下,2008年至2013年期間台灣公司償債能力是否與公司債利差有顯著關係。其後加入財務槓桿比率與債券評等的交叉相乘項,探討財務槓桿比率與債券評等交互作用是否會對公司債利差造成影響,最後以分量迴歸模型探討在特定分點下公司償債能力、債券評等對公司債利差之邊際效果,增強研究之穩固性。
實證分析結果顯示台灣於2008年至2013年期間中,公司之利息保障倍數與公司債利差呈顯著負相關,但財務槓桿比率與公司債利差有顯著負向關係,此結果較不符合一般經濟預期,不過公司若能適當運動其財務槓桿,則可有效降低公司債利差。此外債券評等雖然對公司債利差有顯著正向影響,然而結果顯示,評等最高級別之公司債其利差並非各評等中最小值,表示其信用風險未必最佳,且台灣公司資本結構與公司債利差之相關性具有隨分量高低改變而呈現反向變動之特性。


Due to the rapid development of global credit markets, trading volume of bonds and derivatives have been increased year by year since 1990s. How to manage credit risk, like solvency, has become an important issue in practical. This study extends the literature of Chen, Liao et al. (2011) by using interest coverage and financial leverage ratio as proxies of solvency, to explore the effects of solvency and bond rating on corporate bond yield spreads.
First, this study uses bond rating as continuous variables, dummy variables and rating group, then analyzes whether there are significant effects between Taiwanese corporates solvency on bond yield spreads from 2008 to 2013. Second, this paper adds a variable combining with financial leverage ratio and bond dummies to figure out if the interaction effect between financial ratio and bond could affect yield spreads. We use quantile regression to investigate the marginal effects between solvency and rating on bond yield spreads at specific quantiles on the last part of this study.
According to empirical results, from 2008 through 2013, interest coverage of Taiwanese companies negatively and significantly relates to bond yield spreads. On the other hand, financial leverage ratio positively and significantly relates to bond yield spreads, which is different from our expectation. However, if companies can appropriately use its financial leverage, it can reduce bond yield spreads effectively.
Bond rating positively and significantly relates to bond yield spreads, but the result shows that the highest rating doesn’t guarantee the minimum of yield spreads, which means its credit risk may not be the lowest. Finally, relationship between Taiwanese corporates’ capital structure and bond yield spreads varies from positive to negative when the yield spreads is from low quantile to high quantile.

第一章 緒論 1.1 研究背景與動機 1.2 研究目的 1.3 研究架構 第二章 文獻回顧 2.1 公司償債能力 2.2 公司償債能力與公司債利差之關係 2.3 債券評等與公司債利差之關係 2.4 公司債利差之影響因素 第三章 研究方法 3.1 各變數衡量及定義 3.2 統計方法及實證模型 第四章 資料與基本統計量 4.1 研究對象、期間、資料來源 4.2 基本統計量 第五章 實證結果與分析 5.1 評等為連續變數下,公司債利差與公司償債能力之關係 5.2 設定債券評等虛擬變數之下,公司債利差與公司償債能力之關係 5.3 不同債券評等分組下,公司債利差與公司償債能力之關係 5.4 加入交叉相乘項下,公司債利差與公司償債能力之關係 5.5 分量迴歸之公司債利差與公司償債能力之關係 第六章 結論與建議 6.1 研究結論 6.2 研究建議與改進 參考文獻

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