個人稅與市場流動性對公司債信用價差的影響

Personal Taxes, Market Liquidity and Corporate Bond Credit Spreads

顏菀平(Wan-ping Yan)

指導教授 ： 黃泓人

國立中央大學/管理學院/財務金融學系/碩士(2012年)

摘要

Liu, Qi, and Wu (2006)發現將個人稅率加入信用價差期間結構模型後，稅率
溢酬可以大大解釋公司債殖利率價差。He and Xiong (2011)也發現債券市場的惡化不僅會導致公司債的流動性溢酬增加，也會使公司的信用風險增加，故公司債殖利率價差就會增加。本研究欲探討，以Leland and Toft (1996) 文獻中的信用價差期間結構模型為模型基礎下，同時將個人稅率與債券市場流動性兩個因素考慮入模型中時，對公司債殖利率價差、違約邊界、股東展期損失等會造成什麼影響。我們將流動性溢酬與違約溢酬間的相互關係以及稅率溢酬與違約溢酬間的相互
關係，同時考慮入信用價差期間結構模型中。而本研究發現當債券市場流動性惡化時，公司股東展期損失大小、違約邊界、公司債殖利率價差皆會增加；當個人稅率上升時，公司股東展期損失大小會增加、違約邊界會減少、公司債殖利率價差會增加。所以研究指出將信用價差期間結構模型加入個人稅率與債券市場流動性兩因素後，可更正確的預測公司債殖利率價差，且也發現此兩因素皆為預測違約的重要因子。

關鍵字

個人稅 ； 公司債殖利率價差 ； 債券市場流動性

並列摘要

Liu, Qi, and Wu (2006) find that if they propose the term structure model of credit spreads to incorporate the effects of personal taxes, tax premium explains a substantial portion of bond’s yield spreads. He and Xiong (2011) also find that deterioration of debt market liquidity not only leads to an increase in liquidity premium of corporate bonds but also firm’s credit risk, and also leads bond’s yield
spreads to increase. We build on the term structure model of Leland and Toft (1996) by adding the effects of personal taxes and the effects of debt market liquidity, and assess their impact on corporate bond yield spreads, default boundary and rollover losses. Our model not only points an interaction between liquidity premium and default premium but also extends an interaction between tax premium and default premium. Our model shows that the magnitude of rollover loss increases with bond holder’s liquidity shock intensity, the firm’s default boundary increases with bond
holder’s liquidity shock intensity, and credit spread of the firm’s newly issued bond increases with bond holder’s liquidity shock intensity. Our model also shows that the
magnitude of rollover loss increases with the personal income tax rate, the firm’s default boundary decreases with the personal income tax rate, and credit spread of the
firm’s newly issued bond increases with the personal income tax rate. So we represents that the predictive ability of the model for bond’s yield spreads is much improved when personal tax effects and bond market liquidity effects are accounted for., and also justifies personal tax and debt market liquidity as predictors of firm defaults.

並列關鍵字

corporate bond credit spreads ； personal taxes ； bond market liquidity

參考文獻

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