Determinants of High-Yield Bond Fund''s Return

• Main Authors: Miaw-tze Lin, 林妙姿
• Other Authors: Vincent Y. Chang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/52191795652265844336

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === Under the low interest rate economic environment, high-yield bond funds are popular to investors. In Taiwan, many investment advisory companies always cater to investors by changing dividend payout policy from yearly to monthly. Most of the investors are interested in high yield rate but ignored the risk that might be incurred. The purpose in this study is trying to identify the determinants of high-yield bond fund’s return by analyzing the relationship between high-yield bond fund’s return and macroeconomic variables with a regression analysis. The empirical results indicate that High Yield Bond index, U.S. real GDP, U.S. ISM manufacturing index (PMI), U.S. consumer confidence index and 10 U.S. bond yield are positively related to high-yield bonds fund’s return, whereas the VIX panic index, the US dollar index, and U.S. CPI annual rate perform an opposite relations.