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研究生:周建元
研究生(外文):Chou,Chien-Yuan
論文名稱:報酬震盪、資訊透明度與信用利差期間結構分析:理論與實證研究
論文名稱(外文):Return Shocks, Accounting Transparency, and Term Structure of Credit Spread: A Theoretical and Empirical Analysis
指導教授:郭家豪郭家豪引用關係
指導教授(外文):Guo,Jia-Hau
口試委員:郭家豪梁婉麗王之彥張龍福
口試委員(外文):Guo,Jia-HauLiang,Woan-lihWang,Jr-YanChang,Lung-fu
口試日期:2015-7-20
學位類別:碩士
校院名稱:國立交通大學
系所名稱:財務金融研究所
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:2015
畢業學年度:103
語文別:中文
論文頁數:41
中文關鍵詞:信用風險不完全資訊報酬震盪信用利差期間結構
外文關鍵詞:Credit RiskNoisy InformationReturn ShocksCredit SpreadTerm Structure
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  • 下載下載:8
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本篇論文除了探討資訊透明和跳躍擴散模型的差異,並且將跳躍擴散與資訊透明度結合在同一模型,研究其信用利差的變化。對於此兩種模型都可以對Merton(1974)和Black and Cox(1976)在短期信用利差為零的狀況有所解釋,不過資訊透明度跟跳躍擴散模型除了在短期信用利差有所解釋外,兩者之間的差異性令人好奇。實證研究說明報酬震盪和資訊透明度都對信用利差有顯著的解釋能力,並且發現資訊透明度有反轉的特性,證實與報酬震盪不同。
This paper explores the impacts of return shocks and accounting transparency on the term structure of credit spread. We incorporate these two risk factors into one model, and examine their impacts on the credit spread in different scenarios. Although return shocks and accounting transparency both aid to explain the nonzero short-term credit spreads observed in the bond markets (Merton.1974 and Black and Cox.1976), their features have not been well investigated. Our empirical analysis indicates these two factors may play different roles in explaining credit spreads.
Content
摘要 i
ABSTRACT ii
致謝 iii
Content iv
List of Figures v
List of Tables vi
1. Introduction 1
2. The model 4
3. Data 13
4. Empirical Analysis 25
5. Conclusion 36
6. Appendix 38
7. References 39


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Lambert, R., C. Leuz, and R. E. Verrecchia, 2007, Accounting Information, Disclosure, and the Cost of Capital, Journal of Accounting Research 45, 385-420.

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Zhou, C., 2001, The term structure of credit spreads with jump risk, Journal of Banking of Finance 25, 2015–2040.



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