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研究生:曾嘉俊
研究生(外文):Jia-Jun Zeng
論文名稱:負債比率的理論價值
論文名稱(外文):Theoretical Value of Debt Ratio
指導教授:呂進瑞呂進瑞引用關係
指導教授(外文):Jin-Ray Lu
口試委員:蕭義龍吳韻玲
口試委員(外文):Yi-Long HsiaoYun-Ling Wu
口試日期:2020-06-14
學位類別:碩士
校院名稱:國立東華大學
系所名稱:財務金融學系
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:2020
畢業學年度:108
語文別:中文
論文頁數:50
中文關鍵詞:負債比率違約風險違約機率
外文關鍵詞:debt ratiodefault riskprobability of default
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本研究提出負債比率理論價值的決定公式,用以確認負債比率的合理數值及其影響因子。本文發現負債比率的合理價值可由公司資產價值、負債面值、利率、資產價值報酬波動率、及負債到期期間予以決定。而且除了負債面值,其他四項決定因子造成負債比率下降。另外,本文支持高負債比率不必然導致公司違約機率及違約價差較大的結果。
This study proposes a formula for determining the theoretical value of the debt ratio to identify the fair value of the debt ratio and its influencing factors. Debt ratio’s determinants includes the underlying firm values of asset, corporate debt’s face value and the expiration date, risk free rate of interest, and return volatility of firm values. Specifically, except for the face value, other factors decrease the value of debt ratio. We also find that a firm with higher debt ratio may not always have higher probability on defaults and greater spreads in defaults.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究貢獻 4
第四節 研究架構 5
第貳章 文獻回顧 7
第一節 資本結構理論及負債比率決定因素 7
第二節 廠商價值模型與違約風險 9
第參章 模型設定與推導 13
第一節 基本假設 13
第二節 負債比率理論價值與風險參數 15
第三節 違約價差 17
第四節 違約機率 18
第五節 問題討論 18
第肆章 數值案例 21
第一節 負債比率、違約價差及違約機率 21
第二節 負債比率的敏感性 24
第三節 負債比率與還本充足性 (sufficiency) 26
第四節 負債比率與違約機率 27
第五節 負債比率與違約價差 28
第伍章 結論與限制 31
第一節 結論 31
第二節 研究限制 32
參考文獻 33
附錄 45
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