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研究生:蔡泓沅
研究生(外文):Hung-Yuan Tsai
論文名稱:信用風險貼水與股票權益預期報酬率之關係
論文名稱(外文):The relation between credit risk premia and expected stock returns
指導教授:林月能林月能引用關係
指導教授(外文):Yueh-Neng Lin
口試委員:陳育成段昌文
口試日期:2019-06-21
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融學系所
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:2019
畢業學年度:107
語文別:中文
論文頁數:44
中文關鍵詞:違約迴廊深度價外賣權單位信用風險保障合約信用風險貼水股票權益預期報酬盈餘宣告股票分析師推薦修正融資買下事件研究法
外文關鍵詞:default corridorDOTMURCcredit risk premiumexpected stock returnEPS announcementstock analyst recommendation revisionsleverage buyoutevent study
相關次數:
  • 被引用被引用:0
  • 點閱點閱:70
  • 評分評分:
  • 下載下載:5
  • 收藏至我的研究室書目清單書目收藏:0
目次
摘要 i
Abstract ii
表目次 v
圖目次 v
第一章 緒論 1
第二章 文獻探討 4
2.1 違約迷思與違約機率模型 4
2.2 夏普比率跨資產連結與風險溢酬 5
2.3 信用違約交換(CDS)與深度價外選擇權賣權 7
2.4事件研究法相關文獻整理 9
2.4.1 盈餘宣告日之事件研究 9
第三章 研究方法 12
3.1單位化信用風險保障合約(URC) 12
3.2單位化信用風險貼水(RP) 12
3.3 事件研究法 16
3.3.1 盈餘宣告日之事件研究 16
3.3.2 公司股票分析師推薦修正之事件研究 17
3.3.3融資買下(Leverage Buyout )之事件研究 19
第四章 資料來源與實證結果 21
4.1單位化信用風險合約(URC) 21
4.2 單位化信用風險保障合約風險貼水(RP) 21
4.3敘述統計量 23
4.3單位化信用風險保障合約風險貼水(RPt+30)與投資組合報酬 31
4.4事件研究法之資料來源與實證結果 35
4.4.1 EPS宣告日之實證結果 36
4.4.2 股票分析推薦修正日之實證結果 38
4.4.3 融資買下事件之實證結果 40
第五章 結論 42
參考文獻 43
Altman, Edward , 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance 23, 589-609.
Altinkilic, Oya and Robert S. Hansen, 2009, On the information role of stock recommendation revisions. Journal of Accounting and Economics 48, 17–36.
Barber, Brad, Emmanuel De George, Reuven Lehavy and Brett Trueman, 2013, The earnings announcement premium around the globe, Journal of Financial Economics 108, 118–138.
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Carr, Peter and Liuren Wu, 2011, A simple robust link between American puts and credit protection, Review of Financial Studies 24 ,(2)473-505.
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Zahra, Shaker A., 1995, Corporate entrepreneurship and financial performance: the case of management leveraged buyouts, Journal of Business Venturing 10, 225-247.
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