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研究生:張雅婷
研究生(外文):Ya-Ting Chang
論文名稱:部門間風險差異對公司債利差與營運績效之影響
論文名稱(外文):The Effect of Division Relative Risk on Corporate Bond Yield Spread and Operating Performance
指導教授:廖咸興廖咸興引用關係
口試委員:陳彥行陳宗岡
口試日期:2016-07-01
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:2016
畢業學年度:104
語文別:中文
論文頁數:24
中文關鍵詞:WACC FallacyBetaspread多角化公司債利差資產報酬率
外文關鍵詞:WACC FallacyBetaspreadDiversificationYield SpreadReturn on Assets
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本論文探討部門間相對風險差異與其所造成公司債利差/資產報酬率之影響的關係。採用Kruger, Landier, Thesmar(2015)計算方法去評估核心部門與非核心部門間的相對風險。研究實證結果顯示,部門間相對風險與公司債利差呈正相關,與資產報酬率呈負相關。意味著公司在評估專案時,若忽略部門間相對風險的差異而採用錯誤資金成本,將會損害債權人的價值及公司的營運績效。

This study examines the relationship between firms’ division relative risk and their bond yield spreads/return on assets. We employ the method developed in Kruger, Landier, Thesmar(2015) to evaluate the relative risk between core division and non-core division. The empirical results of the study show that division relative risk is positively correlated with bond yield spreads and negatively correlated with return on assets. The results suggest that firms ignoring division relative risk and evaluating projects with wrong capital costs will harm the value of their bondholders and operating performance.

誌謝………………………………………………………………………………….i
摘要………………………………………………………………………………….ii
英文摘要…………………………………………………………………………….iii
目錄………………………………………………………………………………….iv
表目錄……………………………………………………………………………….v
第一章、概述……………………………………………………………………….1
第二章、研究假說…………………………………………………………………5
2-1. 假說一、公司部門間資金成本差異度與公司債利差呈正相關………5
2-2. 假說二、公司部門間資金成本差異度與資產報酬率呈負相關………5
第三章、研究樣本與研究方法……………………………………………………6
3-1-1. 假說一被解釋變數:公司債利差……………………………………6
3-1-2. 假說二被解釋變數:資產報酬率(ROA)………………………………6
3-2. 主要解釋變數:Betaspread………………………………………………6
3-3. 債券特徵控制變數………………………………………………………8
3-4. 公司特徵控制變數…………………………………………………………9
第四章、研究結果與分析…………………………………………………………11
4-1.假說一、公司部門間資金成本差異度與公司債利差呈正相關………11
4-2.假說二、公司部門間資金成本差異度與資產報酬率呈負相關………12
第五章、結論…………………………………………………………………….…13
參考文獻…………………………………………………………………………….14
附錄…………………………………………………………………………….……18


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