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A Study on Credit Spreads of Corporate Bonds in Taiwan Using the Stepwise Regression Method

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dc.contributor呂育道zh-TW
dc.contributor臺灣大學:財務金融學研究所zh-TW
dc.contributor.authorChi, Shao-Chunen
dc.creatorChi, Shao-Chunen
dc.date2009en
dc.date.accessioned2010-05-11T06:00:10Z
dc.date.accessioned2018-07-09T15:47:46Z
dc.date.available2010-05-11T06:00:10Z
dc.date.available2018-07-09T15:47:46Z
dc.date.issued2009
dc.description.abstractThis thesis attempts to find the key determinants of credit spreads in Taiwanese bond market. Liquidity risk, time to maturity, stock market information, interest rate, and the financial ratios are considered in the model. The stepwise regression method is used to analyze credit spreads.n this thesis, the regression results for each variable show that time to maturity and interest are significantly correlated to credit spreads for most of the companies. The stepwise regression results in this thesis also show that liquidity risk, time to maturity, and interest rate are selected in the models of most companies.oth regression results and stepwise regression results in this thesis show that the stock market information is not important in explaining credit spreads.en
dc.description.tableofcontentsContents Introduction …………………………………………… 1 Methodology …………………………………………… 7 2.1 Methodology ……………………………………… 7 2.2 Determinants ……………………………………… 8 Data ………………………………………………………… 14 Result ……………………………………………………… 16 4.1 The regression result for all companies…… 16 4.2 The stepwise regression result for all companies …………………………………………… 19 4.3 The stepwise regression results for each industry …………………………………………… 22 Conclusion …………………………………………… 67ibliography …………………………………………… 68ppendix 1 Company list …………………………………… 70ppendix 2 Regression result for each companies …… 74ppendix 3 Stepwise regression result for each companies ……………………………………… 97en
dc.formatapplication/pdfen
dc.format.extent550143 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.otherU0001-0807200923591600en
dc.identifier.urihttp://ntur.lib.ntu.edu.tw//handle/246246/182769
dc.identifier.uri.fulltexthttp://ntur.lib.ntu.edu.tw/bitstream/246246/182769/1/ntu-98-R96723028-1.pdf
dc.languageenen
dc.language.isoen_US
dc.subjectcorporate bonden
dc.subjectcredit spreaden
dc.subjectstepwise regressionen
dc.subjectliquidity risken
dc.subjecttime to maturityen
dc.subjectinterest rateen
dc.titleA Study on Credit Spreads of Corporate Bonds in Taiwan Using the Stepwise Regression Methoden
dc.typethesisen
dspace.entity.typePublication

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