呂育道臺灣大學:財務金融學研究所紀少淳Chi, Shao-ChunShao-ChunChi2010-05-112018-07-092010-05-112018-07-092009U0001-0807200923591600http://ntur.lib.ntu.edu.tw//handle/246246/182769本文旨在找出台灣公司債信用價差之關鍵決定因素。而本文利用逐步迴歸分析法分析來分析公司債信用價差與下列各類因素之關係: (1)流動性風險，(2)剩餘期限，(3)股市資訊，(4)利率，(5)財報比率。篇論文首先探討各因子與信用價差之迴歸分析，結果顯示，對大部份公司而言，剩餘期限、利率與信用價差顯著地有關。本篇論文再以逐步迴歸分析法分析公司債信用價差，結果顯示，多數公司之迴歸模型將流動性風險、剩餘期限及利率納入其中。本篇論文中，迴歸分析與逐步迴歸分析法之結果皆顯示股市資訊對於信用價差之分析不如其他因素重要。This 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.Contents 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 ……………………………………… 97application/pdf550143 bytesapplication/pdfen-US公司債信用價差逐步迴歸分析法流動性風險剩餘期限利率corporate bondcredit spreadstepwise regressionliquidity risktime to maturityinterest rate台灣公司債信用價差之研究–利用逐步迴歸分析A Study on Credit Spreads of Corporate Bonds in Taiwan Using the Stepwise Regression Methodthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182769/1/ntu-98-R96723028-1.pdf