廖咸興臺灣大學:財務金融學研究所吳宜潔Wu, Yi-ChiehYi-ChiehWu2010-05-112018-07-092010-05-112018-07-092008U0001-2506200817485400http://ntur.lib.ntu.edu.tw//handle/246246/182639基於Duffie and Lando (2001)之理論模型並延伸Yu (2005)的實證研究，本文將探討資訊不確定性對公司債利差之影響。跟據2001年到2006年的實證資料，我們發現在控制許多重要的解釋變數之下，公司資訊不確定性的程度對其所發行之公司債利差將有著正向的影響。此結果也代表著投資人的確會利用提高風險貼水以懲罰資訊不確定性較高之公司，除此之外，本文也發現資訊不確定性可以增強結構型模型對即將到期之公司債利差的解釋力。最後，我們將信用評等納入考量後，發現非會計資訊所導致的不確定性仍然對公司債利差提供可貴的資訊。Motivated by the theoretical results of Duffie and Lando (2001), we extend the empirical analysis of Yu (2005) to test the effects of information uncertainty on corporate bond yield spreads. Empirically investigating the data from year 2001 to 2006, we find the uncertain information has significant positive impacts on corporate bond yield spreads after controlling determinant variables stated in literature. That is to say, the investors will penalize for uncertain information by charging a higher risk premium. Additionally, after taking information uncertainty into consideration, it can help traditional structural model to enhance its explanatory power for bonds with very short maturity. Our results also suggest that non-accounting based information uncertainty is also an important determinant for bond spreads even after considering the information contained in credit ratings.摘要 iiibstract ivontents vontents of Tables vi. Introduction 1I. Information Uncertainty 4II. Data 7V. Empirical Analysis 11V-1. Evidence from cross-sectional and panel data regressions 12V-2. Information uncertainty effect after leverage and volatility controlled 14V-3. Information uncertainty effect on term structure of yield spread 15V-4. Factor analysis 17V-5. Credit rating 19. Concluding Remarks 21eference 25ppendix 25able 1 The Accounting Items Used in Equation (1) 25able 2 Information Uncertainty Proxies 25able 3 Summary Statistics of Information Uncertainty Proxies 26able 4 Sample Size 26able 5 Summary Statistics of Major Variables 27able 6 Correlation Coefficient Matrix among Yield Spreads and Controlled Variables 28able 7 Correlation Coefficient Matrix among Information Uncertainty Proxies and Other Controlled Variables 29able 8 Multiple Regressions of Yield Spreads 30able 9 Multiple Regressions of Yield Spreads 31able 10 Information uncertainty Effect Controlled by Leverage 32able 11 Information Uncertainty Effect Controlled by Volatility 33able 12 Information Uncertainty Effect on Short-Maturity and Long-Maturity Observations 34able 13 Information Uncertainty Effect on Term Structure of Yield spreads……...35able 14 Rotated Component Matrix 35able 15 The Effect of Non-Accounting Related Uncertainty on Yield Spread 36able 16 The Effect of Accounting Related Uncertainty on Yield Spread 37able 17 The Effect of Information Uncertainty on Credit Rating 38able 18 Information Uncertainty Effect Controlled by Credit Rating……………....39application/pdf402368 bytesapplication/pdfen-US資訊不確定性公司債利差Information uncertaintyYield spreadsthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182639/1/ntu-97-R95723012-1.pdf