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研究生:呂明鐘
研究生(外文):Ming-chung Leu
論文名稱:投資高收益債券模糊多準則評估模式之研究
論文名稱(外文):Investing High-Yield Bonds by Fuzzy Multiple Criterion Methods
指導教授:陳昭宏陳昭宏引用關係
指導教授(外文):Jao-Hong Cheng
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:資訊管理系碩士班
學門:電算機學門
學類:電算機一般學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:117
中文關鍵詞:高收益債券垃圾債券模糊德菲法模糊層級分析法
外文關鍵詞:High-Yield BondsJunk BondFuzzy Delphi MethodFuzzy Analytic Hierarchy Process
相關次數:
  • 被引用被引用:44
  • 點閱點閱:718
  • 評分評分:
  • 下載下載:124
  • 收藏至我的研究室書目清單書目收藏:5
高收益債券(High-Yield Bond)的報酬與風險是介於股市與債券間的一種投資標的,因其具有「較低波動風險」與「較高配息收益」的雙重優勢,故已成為投資者的重要資產配置之一。由於高收益債券市場規模不斷成長與擴大,如何藉由客觀地評選具有投資價值的高收益債券來提高投資報酬,已成為現階段實務界和學術界的重要課題之一。
本研究將高收益債券評估、財務危機預警模式、信用評等模式等與高收益債券評選相關理論與研究加以綜合分析後,將影響的變數區分為債券特徵、公司非財務因素、財務因素及經濟環境因素等四大評估項目共四十七項準則。透過專家問卷,分二階段方式,求算出準則與權重;第一階段以模糊德菲法(Fuzzy Delphi)採用模糊語意量表建立高收益債券投資之主要評選準則共計十七項。第二階段則將主要準則兩兩比較,再以模糊分級層級程序法(Fuzzy Analytic Hierarchy Process ,FAHP)來求算各準則權重值。
本研究結果發現在評估構面中,以經濟環境因素所佔權重最高,達40.44%;其次是債券特徵35.21%、公司財務因素24.36%,而評估準則則以與國庫券價差(15.12%)、債券贖回能力(13.85)、違約率指標(13.80%)等三項為投資高收益債券時最主要考量依據。
The benefit and risk of High-Yield Bond are between the stock market and Bonds . The advantages of High-Yield Bond are both low risk and high shares. Therefore, High-Yield Bond is becoming one of the most important investments in the portfolios . Because the High-Yield Bond market scale unceasingly grows and the expansion, how does the affiliation by objectively evaluate has the investment value the High-Yield Bond to enhance the investment benefit, has become the present stage one of the important topics on the Practical and academic circle.
The purpose of this study is to find High-Yield Bond evaluation factors by the correlation theory survey of the High-Yield Bond evaluate,the financial crisis prediction model,the Credit Ratings and so on, we classify the affect variable for bond characteristic, company non- finance factors, financial factors and economic environment factors .We apply two stages Questionnaire survey to find the relevant criteria variables. In the first stage, We uses the fuzzy meaning meter by the Fuzzy Delphi Method to establish main evaluation criterion. Second stage , We set up the main criterion arranged in two rows comparison, then apply Fuzzy Analytic Hierarchy Process to calculate the criteria weight value.
The experiment results present that major three evaluation layer are economic environment factors (40.44%), bond characteristics (35.21%), the corporate finance factors(24.36%) and that impacting High-Yield Bond investment performance the highest three evaluation criteria are With the treasury bill price difference(15.12%) , the bond recall ability(13.85), the default index(13.80%) . These factors can help the investors in the decision process of investing High-Yield Bond to reach better decision.
摘要................................................. iv
ABSTRACT ............................................... v
誌謝................................................. vi
圖目錄................................................ ix
表目錄................................................. x
第一章緒論........................................... 1
1.1 研究背景與動機................................................................................. 1
1.2 研究目的............................................................................................ 2
1.3 研究方法............................................................................................ 3
1.4 研究流程............................................................................................ 3
第二章相關理論與文獻回顧.............................. 6
2.1 高收益債券理論................................................................................. 7
2.1.1 高收益債券定義...................................... 7
2.1.2 高收益債券市場發展.................................. 8
2.1.3 高收益債券之風險.................................... 8
2.2 高收益債券評估文獻回顧................................................................ 10
2.3 信用評等因素相關文獻.................................................................... 16
2.3.1 信用評等制度簡介................................... 16
2.3.2 信用評等公司評等方法............................... 17
2.3.3 信用評等相關文獻................................... 18
2.4 財務危機公司評估因素相關文獻...................................................... 25
2.5 模糊德菲法和模糊分析層級程序法.................................................. 37
2.5.1 模糊德菲法......................................... 37
2.5.2 模糊分析層級程序法................................. 43
2.5.3 模糊多準則評估模式之相關文獻........................ 48
第三章研究設計與分析................................. 50
3.1 研究設計.......................................................................................... 50
3.1.1 研究變數的選取..................................... 50
3.1.2 專家挑選原則與限制................................. 55
3.1.3 問卷設計與調查..................................... 56
3.2 專家名單篩選與決定........................................................................ 58
3.3 評選準則之確定............................................................................... 59
步驟二:收集專家意見.................................. 59
3.4 模糊AHP 調查結果分析.................................................................. 64
3.4.1 模糊層級分析程序法研究過程.......................... 64
3.4.2 模糊層級分析程序法之實證結果........................ 74
第四章結論與建議..................................... 79
4.1 結論................................................................................................. 79
4.2 貢獻................................................................................................. 80
4.3 研究限制.......................................................................................... 80
4.4 建議................................................................................................. 81
參考文獻.............................................. 82
中文部份............................................................................................... 82
英文部分............................................................................................... 84
附錄A 變數之衡量方法與意義............................ 89
附錄B 第一次問卷...................................... 96
附錄C 第二次問卷..................................... 101
圖目錄
圖表1 研究架構圖……………………………………………………………..5
圖表2 信用評等機構評估架構………………………………………………17
圖表3 Max-Min 預測值表…………………………………………………..38
圖表4 問卷項目之隸屬函數…………………………………………..…….39
圖表5 決策群體共識三角模糊函數圖……………………………………...40
圖表6 最樂觀與最保守認知的三角模糊數…………………………….…..42
圖表7 AHP法決策層級架構圖……………………………………………...44
圖表8 最樂觀與最保守認知的三角模糊數…………………………….…..60
圖表9 高收益債券評選準則層級架構圖…………………………………...65
表目錄
表1 債券評等等級表……………………………………………………………7
表2 高收益債券評估指標文獻整理…………………………...……………..14
表3 國內、外主要信用評等機構…………………………………………….16
表4 信用評等相關文獻整理…………………………………………………..21
表5 關於信用評等影響因素指標文獻整理………………………………….23
表6 財務危機公司預警評估相關文獻整理………………………………….30
表7 財務危機公司預測影響因素文獻整理(國外)…………………………..33
表8 財務危機公司預測影響因素文獻整理(國內)…………………………..34
表9 隨機指標表………………………………………………………………..45
表10 模糊德爾菲法與模糊層級分析法之相關文獻彙整表……………......48
表11 國內外相關文獻所列重要比率及評估因素…………………….…......51
表12 評選構面及準則分類表……………………………………………........54
表13 問卷之受訪專家名單…………………………………………………….58
表14投資高收益債券評估準則之三角模糊函數…………………………....61
表15 投資高收益債券構面成對比較矩陣……………………………….......65
表16債券特徵構面成對比較矩陣………………………………………….....66
表17財務因素構面成對比較矩陣………………………………………….....66
表18償債能力構面成對比較矩陣………………………………………….....67
表19獲利能力構面成對比較矩陣………………………………………….....67
表20財務結構構面成對比較矩陣………………………………………….....67
表21經濟環境構面成對比較矩陣………………………………………….....67
表22 投資高收益債券評估構面模糊正倒值矩陣……………………….......68
表23債券特徵模糊正倒值矩陣…………………………………………….....68
表24財務因素模糊正倒值矩陣…………………………………………….....68
表25 償債能力模糊正倒值矩陣…………………………………………........69
表26 獲利能力模糊正倒值矩陣…………………………………………........69
表27 財務結構模糊正倒值矩陣…………………………………………........69
表28 經濟環境因素模糊正倒值矩陣………………………………………....69
表29高收益債券投資構面模糊權重與解模糊化表………………………....70
表30 債券特徵模糊權重與解模糊化表……………………………………....70
表31 財務因素模糊權重與解模糊化表……………………………………....71
表32 償債能力模糊權重與解模糊化表……………………………………....71
表33 獲利能力模糊權重與解模糊化表……………………………………....71
表34 財務結構模糊權重與解模糊化表……………………………………....71
表35 經濟環境模糊權重與解模糊化表……………………………………....72
表36 債券特徵層級串聯後之權重表………………………………………....72
表37 財務因素層級串聯後之權重表………………………………………....72
表38 償債能力層級串聯後之權重表………………………………………....73
表39 獲利能力層級串聯後之權重表………………………………………....73
表40 財務結構層級串聯後之權重表………………………………………....73
表41經濟環境因素層級串聯後之權重表…………………………………....73
表42評選投資高收益債券之構面與評估準則之權重表……………….......74
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