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研究生:翁潔瑩
研究生(外文):Chieh-Ying Weng
論文名稱:中國公開發行公司債違約事件研究─以佳兆業集團為例
論文名稱(外文):Default Events of China Public Offering Corporate Bonds: An Empirical Study on Kaisa Group Holdings Ltd
指導教授:李賢源李賢源引用關係
口試委員:石百達謝承熹邱嘉洲
口試日期:2015-06-30
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:2015
畢業學年度:103
語文別:中文
論文頁數:42
中文關鍵詞:佳兆業中國公司債策略性違約信用違約交換債務重組
外文關鍵詞:Kaisa Group Holdings Ltd.China Corporate BondsStrategic DefaultCredit Default SwapDebt Restructuring
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中國公開發行公司債的違約事件中,佳兆業違約為中國首次美元債務違約案例,對於境外投資人而言意義重大。本篇論文主要探討,佳兆業違約事件是否有策略性違約的可能,以及是否有適當措施可加強對於債權人的保障。實證研究包含財務危機預測、債務重組方案分析、估算違約門檻三個部分。結果顯示,佳兆業財務狀況長期惡化,並且債務重組方案將使得境內及境外債權人產生重大損失, 因此股東具有策略性違約的疑慮;經本研究估算的違約門檻檢驗,亦顯示股東具有策略性違約的誘因。因此本文認為,佳兆業違約事件中,股東具有策略性違約的誘因。關於債權人的保障措施,本文認為,在中國市場針對個別公司發行信用違約交換,可有效加強債權人的保護。

Among the default events of China public offering corporate bonds, Kaisa Group is the first Chinese company that defaults on US dollar corporate bonds, therefore has an important meaning to offshore investors. This paper discusses that if there is any possibility of strategic default in Kaisa’s default event, and if there are any measures to enhance the protection of debt holders. In the empirical study, there are three parts: financial distress prediction, debt restructuring plan analysis, and default boundary calculations. The results of empirical study show that the financial situation of Kaisa has a long-term deterioration, and the debt restructuring plan will result in big loss for both onshore and offshore debt holders, therefore the shareholders have the possibility of strategic default. Moreover, the default boundary calculations show that the shareholders have the incentive of strategic default. Therefore, this paper considers that in the Kaisa’s default event, there are incentives for shareholders to choose to strategically default. About the protection measures of debt holders, this paper regards the introduction of credit default swaps for individual companies as an effective measure to enhance the protection of debt holders.

口試委員會審定書........................................................................................i
誌謝...........................................................................................................ii
中文摘要....................................................................................................iii
英文摘要....................................................................................................iv
第一章 緒論................................................................................................1
第一節 研究動機與目的................................................................................1
第二節 論文架構..........................................................................................7
第二章 佳兆業違約事件................................................................................7
第一節 佳兆業集團簡介與違約事件經過.........................................................7
第二節 交叉違約條款..................................................................................13
第三節 債務重組方案..................................................................................15
第三章 文獻回顧........................................................................................20
第一節 財務危機預測模型...........................................................................20
第二節 策略性違約模型..............................................................................22
第四章 樣本及資料來源..............................................................................25
第五章 實證結果與分析..............................................................................30
第一節 財務危機預測.................................................................................30
第二節 債務重組方案分析...........................................................................32
第三節 策略性違約門檻..............................................................................34
第六章 結論與建議.....................................................................................41
參考文獻...................................................................................................42


戴楚文 (2011), 「試論中國語境下國際商業貸款合同交叉違約條款的法律基礎」,《商品與品質:理論研究》,2011 年第7 期: 192-192.

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Altman, E. I., Iwanicz-Drozdowska, M., Laitinen, E. K., and Suvas, A. (2014), Distressed Firm and Bankruptcy Prediction in an International Context: A Review and Empirical Analysis of Altman’s Z-Score Model. Working Paper, New York University.

Almeida, H., and Campello. M. (2007), Financial Constraints, Asset Tangibility, and Corporate Investment, Review of Financial Studies 20:1429-60.

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Zmijewski, M. (1984), Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting Research 22:59–82.

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