An Empirical Analysis of Corporate Bond Abnornal Return with The Change of It's Liability Structure

• Main Authors: Chen, Kuo-Huei, 陳國輝
• Other Authors: Dai, Tian-Shyr
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/02074391053593130118

碩士 === 國立交通大學 === 管理學院財務金融學程 === 99 === Prior studies have examined the impact of announcement of Merge & Acquisition or repurchase programs upon the equity value and stake shareholders and have less focused on the impact of various corporate events on bond values. According to Merton’s structural form, the equity can be viewed as a call option on the firm asset value with the strike price being equal to the firm’s liability. If the firm asset value is higher than it’s liablilties at debt maturity, the shareholder would exercise this call option and repaid the liabilities. Following researches have also focued on the impact upon interest rates follow correlated stochastic processes and company reorganization events while less reaearch has discussed the inference of the change of corporate liablilty’s value when corporate issues new bonds. This study analyzes the abnormal return for corporate’s ourstanding bonds when corporate issue a new bond with a longer maturity than outstanding bonds. We also examined the bonds risk premium by using credit risk model based on structural form model and evaluated it’s predict ability toward investors around corporate events. We find the strongest support for the hypothesis of if any abnormal return for others ourstanding bonds when corporate issue a new bond which it’s maturity longer than others outstanding bonds. Also, our credit risk model based on structural form model simulate daily bond risk premium of KFT company better than the reference of Bloomberg bond rating data and can provide a better predict tool for investors.