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研究生:李昇隆
研究生(外文):Sheng-Lung Li
論文名稱:資本結構套利之實證-以台灣市場為例
論文名稱(外文):The Empirical Study of Capital Structure Arbitrage-A Perspective of Taiwan Market
指導教授:葉仕國葉仕國引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:48
中文關鍵詞:資本結構套利信用違約交換價差多期結構式模型違約機率
外文關鍵詞:Capital Structure ArbitrageCredit Default Swaps SpreadStructural ModelDefault Probability
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資本結構套利或稱為『股債交易』(debt-equity trading),這類型的套利交易已經在國際間避險基金(Hedge fund)或銀行的交易室裡流行起來,有些交易員甚至認為資本結構套利將是套利圈中最熱門的作法,但是到目前為止只有少量的文獻仔細地去驗證這種套利是否可行。本文根據中華信用評等所提供的等級資料,使用多期結構式模型對台灣有發行公司債的上市櫃公司進行不同信用評等的違約機率估計並計算出理論價差,當理論價差與市場價差有ㄧ定差異時則進行套利。本研究利用公司債與公債的利差取代信用違約交換價差對資本結構套利的報酬率進行分析,並且探討資本結構套利使用在台灣市場上是否有效。而在實證結果發現資本結構套利的方法,使用在台灣市場大多是損失居多,並未能如預期一樣可從中獲利。
Capital structure arbitrage, also called debt-equity trading. This kind of arbitrage has become popular in hedge fund and bank proprietary trading desk. Some traders have even believed that the capital structure arbitrage is the most popular method in arbitrage community. But up to present, there are only few literature carefully confirm this kind of arbitrage to be whether feasible. This thesis is based on the rating data provided by Taiwan Ratings and uses structural model to estimate the default probabilities. And we calculate its theoretical spread for those Taiwan companies which issue corporate bond. When there are difference between theoretical spread and market spread, we will make arbitrage. In this research, we will utilize corporate bond spread to replace CDS spread and analyse the return of capital structure arbitrage. And we also survey whether the capital structure arbitrage works in Taiwan market. From the experimental result of capital structure arbitrage, we can find that will make property loss while using it in the Taiwan market, and it is not as expected to make a profit from it.
第一章 緒論 1
第一節 研究背景 1
第二節 研究目的 1
第二章 文獻探討 3
第一節 結構式模型之文獻回顧 3
第二節 結構式模型實證之文獻回顧 4
第三節 資本結構套利之文獻回顧 5
第三章 研究方法 7
第一節 研究方法介紹 7
第二節 研究樣本與資料來源 14
第四章 實證結果與分析 15
第一節 各信用評等公司的套利結果與分析 15
第二節 綜合各公司與分散風險策略下的套利分析 19
第三節 公司債利差與股價的相關性分析 21
第五章 結論與建議 23
第一節 研究結論 23
第二節 研究建議 23
參考書目 25
附錄 28
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