公司治理與公司債殖利率價差之實證研究

The Effects of Corporate Governance on Corporate Bond Yield Spreads

陳雅慧(Ya-Hui Chen)

指導教授 ： 吳儀玲

國立清華大學/科技管理學院/計量財務金融系/碩士(2009年)

摘要

公司治理良窊與否關乎到公司是否能永續經營，但過去文獻卻顯少探討公司治理與公司債殖利率價差之間的關係，本研究同時採用兩種公司治理替代變數(Governance Index及Entrenchment Index)，探討公司債初級市場債券投資人對發行公司面臨被接管威脅高低之反應，並且進一步探討公司的現金多寡及低成長機會公司的自由現金流量高低是否亦為債券投資人所關注的議題。

我們以2000年至2006年432間公司所發行之2076筆不可轉讓公司債為研究樣本，並且在研究模型中控制住產業及公司之影響；其實證結果顯示，次順位受償債券投資人遠較優先受償債券投資人更為關注發行公司是否暴露於被接管風險中，而公司現金多寡及低成長機會公司的自由現金流量高低則不會影響債券投資人所要求之報酬率，其實證結果與公司債殖利率價差並無顯著相關。

關鍵字

公司治理 ； 殖利率價差 ； 接管 ； 自由現金流量

並列摘要

The quality of corporate governance is essential for enterprises’ sustainable management. However, there are only a few documents probe into the relationship between corporate governance and corporate bond yield spreads. The research utilizes two proxies, Governance Index and Entrenchment Index, to explore bondholders’ reactions to the firms which face different levels of possibility of being taken over, and further recognizes the amount of cash in companies and the quantity of free cash flows in low growth companies. We use 2076 sums of non-convertible corporate bond issued by 432 companies from the year 2000 to the year 2006 as models, and control the impacts of industries and companies. As the result, subordinated bondholders are much more concerned than senior bondholders about if the bond issued firms are encountering the threat of taking over. The amount of cash in companies and the quantity of free cash flows in low growth companies are not subjects to bondholders. The resultant evidence shows no significant correlation to corporate bond yield spreads.

並列關鍵字

corporate governance ； corporate bond yield spreads ； taken over ； free cash flows

參考文獻

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