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研究生:陳昌志
研究生(外文):Chang-chih Chen
論文名稱:信用評等轉移如何影響最適化資本結構決策?
論文名稱(外文):How does credit rating migration impacts an optimal capital structure decision?
指導教授:徐守德徐守德引用關係王昭文王昭文引用關係
指導教授(外文):So-De ShyuChou-Wen Wang
學位類別:博士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:98
語文別:英文
論文頁數:70
中文關鍵詞:最適資本結構目標最小評等政策信評相依浮動票息條款信用評等
外文關鍵詞:credit ratingoptimal capital structuretarget minimum rating policyrating-linked coupon scheme
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本文旨在研究信用評等轉移對最適化資本結構決策之影響。本文提出之模型考量兩種信評管理相關之實證行為:信評相依浮動票息條款、目標最小評等政策。其研究結果呈現:在常態的發行評等情況下,相較於標準附息債券而言,公司發行信評相依浮動附息債券可獲取較多的稅盾利益且相對應之最適槓桿比率也較高。再者,本文還發現目標最小評等政策導致公司槓桿產生均數復歸現象。當公司被迫降等到目標最小評等之下,經理人為將其調升回期初目標評等會產生過度附買回之行為。
This paper examines the impact of credit rating migration in determining optimal capital structure. The models we propose capture empirical behavior in two ways; the behavior of linking firm’s rating to the promised coupons and the behavior of targeting minimum rating. We find that as long as the rating at issuing time is not too low, tax shields of the rating-linked coupon debt are larger than those of standard debt with the same par, and hence, optimal leverage usage of the firm with the rating- linked coupon scheme is greater. Further, we also show that the behavior of targeting a minimum rating causes mean-reverting leverage dynamics. Managers are appeared to make over-repurchase choices for adjusting the current rating back to the initial target following a downgrade from target minimum rating.
Contents
1. Introduction 1
2. A Firm-Value-Based Framework of Credit Migration 6
2.1. The Model 9
2.2. A Numerical Example 13
2.3. An Application of Capital Structure Problem (the base case)
17
3. Debt with Rating-Linked Coupon Scheme 21
3.1. The Model 22
3.2 The impact of linking credit rating to the promised coupons on optimal capital structure decision 24
4. Debt with Rating-Dependent Callable Option 31
4.1. The Model 31
4.2. The impact of target minimum rating policy on optimal capital structure decision 36
5. Conclusion 42
Appendix 57
References 60
References
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