資訊競爭，資訊不對稱與債券殖利率利差

本研究以結構型信用風險模型的角度，探討資訊交易者之間的資訊競爭程度對於因資訊不對稱導致之債券殖利率利差的影響。本研究的實證分析驗證了在固定的資訊不對稱水準之下，越激烈的資訊交易者競爭，將顯著降低由資訊不對稱所引起的債券殖利率利差。而且此效果對於到期期間較短的債券尤其明顯。本研究的結果意味著，藉由增強其投資人之間的資訊競爭程度（例如引進更多機構投資人，或是分散化公司股權結構），公司不止能夠如同現有文獻指出的降低權益成本，更能同時降低債務成本。

關鍵字

資訊不對稱；資訊交易者；資訊競爭；債券殖利率利差； ADJPIN ；機構投資人

並列摘要

This study investigates how the competition over information affects the information asymmetry effects on bond yield spreads from structural credit model perspectives. Empirical examinations show that for a given level of information asymmetry, information competition weakens the effects of information asymmetry on bond yield spreads, especially on those of short-term bonds. The results implying that with more intensive competition among informed investors (e.g. by introducing more institutional investors or diversifying the ownership), companies can not only reduce the cost of equity as suggested by existing studies, but also reduce the cost of deb.

並列關鍵字

Information asymmetry ； information competition ； bond yield spread ； information premium ； ADJPIN ； institutional investor

參考文獻

[1] Akins, B. K., Ng, J. and Verdi, R. S., 2012, “Investor Competition over Information and the Pricing of Information Asymmetry”, The Accounting Review 87, 35-58.

[2] Ashbaugh-Skaifea, H., Collins, D. W. and LaFond, R., 2006, “The effects of corporate governance on firms’ credit ratings”, The Journal of Accounting & Economics 42, 203-243.

[3] Bebchuk, L., Cohen, A. and Ferrell, A., 2009, “What Matters in Corporate Governance?”, Review of Financial Studies 22, 783-827.

[4] Bhojraj, S. and Sengupta, P., 2003, “Effect of Corporate Governance on Bond Ratings and Yields: The Role of Institutional Investors and Outside Directors”, Journal of Business 76, 455-475.

[5] Bushee, B., 1998, “The influence of institutional investors on myopic R&D investment behavior”, The Accounting Review 73, 305-333.

國際替代計量

資訊競爭，資訊不對稱與債券殖利率利差

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