本文針對台灣地區的公司債券評價進行實證分析。根據無風險評價模型、延伸的Merton模型及LT模型，在相同的基本假設下，考慮有無信用風險對債券價格的影響，使用樣本內資料估計模型參數，再以樣本外資料預測債券。並討論各個信用評級在模型中與預測債券價格的精準度。進一步探討不同信用評級殖利率曲線的變化。研究結果顯示，LT模型是所有模型中預測能力最佳的，而無風險評價模型卻是三者模型中預測能力較差的。在不同評級的殖利率中，資級債券與中度風險債券，在一樣的持有期間中，無風險評價模型的殖利率是最高的，殖利率最低的為LT模型。

This study provides evidence to price the corporate bonds in Taiwan. Applying to the default-free pricing model, the Extended Merton model, and the LT model, we investigate the effects of the credit risk on the bond price. Next, we use the in-sample prices to estimate the model parameters and further to use the out-of-sample to forecast the bond while taking the same based hypothesis. Moreover, this study examines the accuracy of the forecasting bond prices in various credit ratings. Furthermore, we investigate the yield curve tendency in different credit ratings. The empirical results show that the LT model has the best forecasting ability to all pricing models, and the default-free pricing model is the worst one. In the same holding periods, the yield of the LT model is higher than that of the default-free pricing model for the investment bonds and the moderate risk bond.

中文摘要 i
英文摘要 ii
誌謝 iii
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究流程與架構 5
第二章 文獻回顧 7
第一節 信用風險模型 7
第二節 評價模型 9
第三章 研究方法 12
第一節 評價模型 12
第二節 利率模型 17
第三節 績效評估 18
第四章 實證結果與分析 20
第一節 樣本選取與資料來源 20
第二節 實證研究 24
第五章 結論與建議 33
第一節 結論 33
第二節 建議 35
參考文獻 36

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