資訊不確定性對公司債利差之影響

The Effect of Information Uncertainty on Corporate Bond Yield Spreads

吳宜潔(Yi-Chieh Wu)

指導教授 ： 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.10426

摘要

基於Duffie and Lando (2001)之理論模型並延伸Yu (2005)的實證研究，本文將探討資訊不確定性對公司債利差之影響。跟據2001年到2006年的實證資料，我們發現在控制許多重要的解釋變數之下，公司資訊不確定性的程度對其所發行之公司債利差將有著正向的影響。此結果也代表著投資人的確會利用提高風險貼水以懲罰資訊不確定性較高之公司，除此之外，本文也發現資訊不確定性可以增強結構型模型對即將到期之公司債利差的解釋力。最後，我們將信用評等納入考量後，發現非會計資訊所導致的不確定性仍然對公司債利差提供可貴的資訊。

關鍵字

資訊不確定性 ； 公司債利差

並列摘要

Motivated by the theoretical results of Duffie and Lando (2001), we extend the empirical analysis of Yu (2005) to test the effects of information uncertainty on corporate bond yield spreads. Empirically investigating the data from year 2001 to 2006, we find the uncertain information has significant positive impacts on corporate bond yield spreads after controlling determinant variables stated in literature. That is to say, the investors will penalize for uncertain information by charging a higher risk premium. Additionally, after taking information uncertainty into consideration, it can help traditional structural model to enhance its explanatory power for bonds with very short maturity. Our results also suggest that non-accounting based information uncertainty is also an important determinant for bond spreads even after considering the information contained in credit ratings.

並列關鍵字

Information uncertainty ； Yield spreads

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