An Empirical Study of the Determinates of Credit Spread on Corporate Bonds

• Main Authors: Yang Ke Fang, 楊可帆
• Other Authors: Huang Yan Sheng
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/38787437299885667661

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 93 === Credit risk plays a very important role in the valuation of corporate bonds. This research extends Longstaff and Schwarts (1995) multi-factor model and adopt Generalized Method of Moments (GMM) to probe into the influence factor of the credit spread, including the credit spread in the earlier stage, interest rate, stock return, the government bond outstanding, trade balance, the proportion of new issue of corporate bonds and government bonds, and medium and long-term spread of interest rate; Furthermore, this research distinguishes different industries, credit rating and the maturity of corporate bonds to analyze in order to assay the influence factor of credit spread can be more effective. Based on the finding of the empirical study of Taiwan corporate bonds, 10-year bonds interest rate, trade balance, the proportion of new issue of corporate bonds and government bonds, the government bond outstanding and the credit spread in the earlier stage have a significantly relationship with the credit spread of the corporate bonds that is consistent with the expectation hypothesis; stock return and the change of interest differential of long-middle period for government bonds have no significant influence on the change of the credit spread. In addition, the lag one period’s variation of credit spread between different categories of sample have a consistent result; different industries, credit rating and the maturity of corporate bonds have differential sensitivity in other variables.