信用風險高低與持有期間長短對債券投資組合實現報酬之影響

How realized returns of bonds portfolios are affected by credit rating and holding period.

林正平(Lin Cheng Ping)

指導教授 ： 薛立言

國立中正大學/管理學院/財務金融學系/碩士(2013年)

摘要

摘要

本文利用公債指數、投資等級公司債指數與高收益債指數探討信用風險高低與持有期間長短對實現報酬之影響，比較三種債劵指數的累計總報酬，計算投資等級公司債指數以及高收益債指數相對於公債指數實現報酬差異的均值、波動與Sharpe ratio，並利用模型預測實現報酬差異的長期值。

由累計總報酬與實現報酬差異的平均值可得知，相對於公債指數，信用風險最高的高收益債指數提供最高的累計總報酬與平均報酬，投資等級公司債指數則次之。

當控制持有期間長短，而比較投資等級公司債指數以及高收益債指數對公債指數實的實現報酬差異時，高收益債指數對公債指數實現報酬差異的波動皆比投資等級公司債指數高，但是Sharpe ratio卻比投資等級公司債指數低，這說明投資於高收益債指數比投資於投資等級公司債指數承擔更高的超額報酬風險。

當控制信用風險高低而觀察持有期間改變時，持有期間越長則投資等級公司債指數與高收益債指數實現報酬差異的波動就越低，且投資等級公司債指數與高收益債指數擊敗公債指數的機率亦隨之提升。

當檢驗實現報酬差異是否發生結構轉變時，投資等級公司債指數與高收益債指數發生結構轉變的時間與重大經濟事件發生的時間吻合，2008年的金融危機對兩者皆有影響，而1998年亞洲金融風暴或2000年網路泡沫似乎只對信用風險更高的高收益債指數產生影響。

利用ARMA-GARCH模型預測實現報酬差異的長期值皆向“零“收斂，但模型需要花費很長的時間才會收斂至零。“零”代表長期而言，信用風險高低不同投資組合的實現報酬差異是零，亦即預期兩者實現報酬會相等。

關鍵字：實現報酬，信用信用風險，持有期間，結構轉變點，ARMA-GARCH

關鍵字

結構轉變點 ； 持有期間 ； 信用信用風險 ； 實現報酬 ； ARMA-GARCH

並列摘要

Abstract

This paper examines how realized returns of bonds portfolios are affected by credit rating and holding period. Government bond index, Investment Grade bond index and High-Yield bond index are used as proxies to estimated realized returns. At the end of each period, the difference of realized returns between Investment Grade bond index and Government bond index, CORnY, is calculated. And the difference of realized returns between High-Yield bond index and Government bond index, HYnY ,is calculated, too. They are used to evaluate whether higher risk bond index outperforms lower risk bond index.

High-Yield bond index provides the highest accumulated returns and averaged returns. Investment Grade bond index also performs better than Government bond index. No matter how long the holding period is, the standard deviation of HYnY is higher than that of CORnY. And Sharpe ratio of HYnY is lower than that of CORnY. The longer the holding period is, the less the standard deviation is for both CORnY and HYnY.

Structure break points can be detected in each CORnY and HYnY. The financial crisis in 2008 has a significant impact to each CORnY and HYnY . On the other hand, Asia financial crisis in 1998 and financial crisis in 2000 seems to have an unexpected impact only to HYnY.

ARMA-GARCH model is used to forecast the long term equilibrium value of each CORnY and HYnY. The forecasted long term equilibrium value converges to zero. It implicates three kinds of bonds indices provide the same realized returns in the long run. But it will take a long time to reach the equilibrium situation.

Keywords︰realized returns, credit rating, holding period, structure break point, ARMA-GARCH model

並列關鍵字

structure break point ； holding period ； credit rating ； realized returns ； ARMA-GARCH model

參考文獻

Fons, Jerome S, “Using default rates to model the term structure of credit risk”, Financial Analysts Journal; Sep/Oct 1994; 50, 5; ABI/INFORM Global pg. 25

McCallum, John S. , “ On Portfolio Theory, Holding Period Assumptions, and Bond Maturity Diversification: Comment “, FINANCIAL MANAGEMENT/AUTUMN 1980, pg. 74-76

Campbell, John Y, “Some Lessons from the Yield Curve”,The Journal of Economic Perspectives (1986-1998); Summer 1995; 9, 3; ABI/INFORM Global , pg.129-152

Alderson, Michael J. and Terry L. Zivney, ” On computing bond returns: the evaluation of low-grade debt”; The journal of financial research. Vol. XVII, No.3, pg. 402-415, Fall 1944.

參考文獻