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研究生:曾梓豪
研究生(外文):Tzu-Hao Tseng
論文名稱:流動性、市場選時與債期結構
論文名稱(外文):Liquidity, Market Timing, and Debt Maturity Structure
指導教授:廖咸興廖咸興引用關係
口試委員:陳聖賢陳宗岡
口試日期:2014-06-23
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2014
畢業學年度:102
語文別:中文
論文頁數:41
中文關鍵詞:期間利差債券期限結構市場選時展期風險市場流動性權衡關係股票報酬
外文關鍵詞:Term spreadMarket timingMarket liquidityRollover riskTrade-offDebt maturity structureStock return
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過去Baker, Greenwood, and Wurgler (2003)的研究發現,期間利差(Term Spread)與未來債券額外報酬息息相關,公司因而進行債券期限結構(Debt Maturity Structure)調整,即為債券的市場選時(Market Timing)行為。He and Xiong (2012)的研究則指出,短債容易在市場流動性(Market Liquidity)差時,必須承擔巨大的展期風險(Rollover Risk)。本研究將期間利差作為發行長債時相對於短債的額外成本,同時考量市場資金流動性差時,短債必須頻繁再融資而付出大量展期成本,故長、短債的發行將形成債期結構的權衡關係(Trade-off),公司因此能夠決定一個最佳債期結構。根據實證結果,可知期間利差、市場流動性將與公司短債比例呈現正向關係。此外,在上述基礎下,再考量公司資本結構中的股權,利用股票報酬(Stock Return)對代理問題及違約風險的影響,探討債期結構與股權融資的關係,實證結果發現股權報酬將與公司短債比例呈現負向關係。

Baker, Greenwood, and Wurgler (2003) found that they can use term spread to predict future excess bond returns, and the maturity of new debt issues of firms is connected to the excess bond returns. This is an action of debt market timing. Moreover, He and Xiong (2012) demonstrated that when the market’s liquidity deteriorates, firms financing with more short-term debts will suffer more losses in rolling over their maturing debts. In this paper, I consider term spread as the long-term debt’s additional issuance cost and rollover losses as the short-term debt’s one. Hence, we can form a trade-off between the issuance of long-term debt and short-term debt and determine an optimal debt maturity structure. Furthermore, we examine the stock return’s impact on firm’s debt maturity structure through default risk and agency problem between bondholders and stockholders, and try to figure out their complex relationship.

摘要 i
Abstract ii
第一章 緒論 1
第二章 研究假說 5
2.1 期間利差與市場資金流動性的權衡關係 5
2.2 股票對債期結構之影響 7
第三章 資料來源、定義及研究方法 9
3.1 資料來源及定義 9
3.1.1 總體經濟變數 9
3.1.2 公司財務變數 10
3.1.3 敘述統計量 12
3.2 研究方法 13
第四章 實證結果分析 16
4.1 假說實證結果分析 16
4.2 Robustness分析 17
4.2.1 將市場資金流動性的變數由M2換為M1 17
4.2.2 將樣本期間重新區隔 18
第五章 結論 20
參考文獻 21

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