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研究生:郭慧如
研究生(外文):Hui-Ju Kuo
論文名稱:資訊不對稱的不確定性與公司債利差
論文名稱(外文):Uncertainty in Information Asymmetry and Corporate Bond Yield Spreads
指導教授:廖咸興廖咸興引用關係
指導教授(外文):Hsien-Hsing Liao
口試委員:胡星陽陳彥行陳宗岡盧嘉梧
口試委員(外文):Shing-Yang HuYan-Shing ChenTsung-Kang ChenChia-Wu Lu
口試日期:2015-06-29
學位類別:博士
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:英文
論文頁數:46
中文關鍵詞:不完全資訊的不確定性不完全資訊資訊不對稱的不確定性資訊不對稱公司債券利差
外文關鍵詞:Uncertainty in incomplete informationIncomplete informationUncertainty in information asymmetryInformation asymmetryCorporate bond yield spreads
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本研究利用1997年到2010年的美國債券資料來探討資訊不對稱的不確定性如何影響公司債券利差,同時考慮期間結構與總體環境因素對此效果的影響。實證結果顯示,在控制文獻中影響公司債券利差重要的解釋變數後,資訊不對稱的不確定性對公司債券利差有顯著正向的影響,表示債券資訊不對稱的不確定性越高時,債券利差會越大。研究結果亦發現此資訊不對稱的不確定性效果特別對短期債券有顯著的影響。此外,總體環境也會影響資訊不對稱的不確定性對公司債券利差的效果,在經濟景氣較好時,資訊不對稱的不確定性對公司債券利差的正向效果會被削弱。

The study examines how uncertainty in information asymmetry influences corporate bond yield spreads using American data from 1997 to 2010, and considers the effects of term structure and macroeconomic conditions on that. Empirical results show that the effect of uncertainty in information asymmetry significantly explains corporate bond yield spreads when controlling for variables well known in the literature. Bonds with higher uncertainty in information asymmetry tend to have higher yield spreads. In addition, this uncertainty in information asymmetry effect is especially noticeable among short-term bonds. Macroeconomic conditions also affect the uncertainty in information asymmetry effect on bond yield spreads. The positive relationship between a firm’s bond yield spreads and uncertainty in information asymmetry becomes weaker when economic growth rate is higher.

口試委員會審定書 i
誌謝 ii
摘要 iii
Abstract iv
Contents v
Tables vi
I. Introduction 1
II. Hypotheses 5
III. Data and Methodology 10
III.1. Sample selection 10
III.2. Uncertainty in information asymmetry 11
III.2.1. Proxies for information asymmetry 12
III.2.2. Estimation of the ADJPIN model 16
III.2.3. Variables for uncertainty in information asymmetry 19
III.3. Bond yield spreads and control variables 19
III.4. Summary statistics 23
IV. Empirical Analyses 25
IV.1. Univariate tests 25
IV.2. Analyses of uncertainty in information asymmetry effects 27
IV.2.1. Bond yield spreads and uncertainty in information asymmetry 27
IV.2.2. Bond yield spreads and term structure 28
IV.2.3. Bond yield spreads and economic growth rate 29
V. Conclusions 31
References 33


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