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題名 信用市場情緒和公司債利差
Credit Market Sentiment and Corporate Bond Yield Spreads作者 張育成
Chang, Yu-Cheng貢獻者 岳夢蘭
Yueh, Meng-Lan
張育成
Chang, Yu-Cheng關鍵詞 公司債
公司債利差
信用市場情緒
股票市場情緒
Corporate bond
Bond yield spreads
Credit market sentiment
Stock market sentiment日期 2022 上傳時間 1-Aug-2022 17:18:49 (UTC+8) 摘要 近年來，有許多學者致力於研究投資人情緒對債券市場的影響，一些針對債券市場的研究也顯示出投資人情緒對債券價格偏誤的影響確實存在。然而，過去的研究主要著重在股票市場情緒對債券價格的影響，關於信用市場情緒的部分則較少被提及，因此本文欲探討信用市場情緒對債券市場的影響。本文以美國債券市場作為研究對象，高收益債發行比例(High Yield Share)作為信用市場情緒指標，研究信用市場情緒對於公司債利差的影響。本文的研究結果發現，信用市場情緒對債券利差的影響效果與股票市場情緒的影響效果相似，在高情緒時期債券價格被高估(低利差)，在低情緒時期債券價格被低估(高利差)，長期經過債券市場修正後，價格回復至合理價格，因此高情緒時期之後會伴隨著高利差；低情緒時期之後會伴隨著低利差，並且在高情緒時期，利差受信用市場情緒影響的程度較大，而低情緒時期利差受信用市場情緒的影響較小。此外，我們發現低評級、到期期間短、極端流動性、高票面利率以及發行規模小的債券相對較容易受到信用市場情緒影響。在信用市場情緒與債券市場情緒的比較上，在全部樣本中，信用市場情緒對債券利差的影響優於股票市場情緒，在不同債券特性分組之下，兩者對債券利差的影響程度大小互有勝負。
In recent years, many scholars have devoted themselves to the impact of investor sentiment on the bond market. Some studies on the bond prices also show that investor sentiment contributes to bond mispricing. However, past research mainly focused on the impact of the stock market sentiment on bond prices, and little is known about the impact of the credit market sentiment. Therefore, in this paper, we would like to explore the impact of credit market sentiment on the corporate bond market. In this study, we use high yield share as credit market sentiment and explore the issue of how credit market sentiment affects corporate bond yield spreads in the U.S. bond market. Our results reveal that the impact of credit market sentiment on bond yield spreads is similar to the effect of stock market sentiment. Bonds appear overpriced (with low spreads) during the optimistic periods and underpriced (with high spreads) during the pessimistic periods. After the correction for the mispricing, bond prices return to the fair price. When beginning-of-period sentiment is high, subsequent yield spreads are high; low sentiment periods are followed by low spreads, and the impact of credit market sentiment is more pronounced when sentiment is high. In addition, we find that bonds with low ratings, short maturities, extreme liquidity, high coupons, and small issued size are more sensitive to credit market sentiment. In the comparison of the credit market sentiment and stock market sentiment, credit market sentiment has stronger impact on yield spreads than stock market sentiment in full sample. But under different bond characteristic groups, the impact of credit market sentiment on yield spread is weaker than stock market sentiment in some groups.參考文獻 [1] Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2019). Bonds, stocks, and sources of mispricing. George Mason University School of Business Research paper, (18-5).[2] Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), pp.1645-1680.[3] Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), pp.129-152.[4] Bao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), pp.911-946.[5] Bessembinder, H., Kahle, K. M., Maxwell, W. F., & Xu, D. (2008). Measuring abnormal bond performance. The Review of Financial Studies, 22(10), pp.4219-4258.[6] Chen, L., Collin-Dufresne, P., & Goldstein, R. S. (2009). On the relation between the credit spread puzzle and the equity premium puzzle. The Review of Financial Studies, 22(9), pp.3367-3409.[7] Chen, L., Lesmond, D. A., & Wei, J. (2007). Corporate yield spreads and bond liquidity. The Journal of Finance, 62(1), pp.119-149.[8] Collin‐Dufresne, P., & Goldstein, R. S. (2001). Do credit spreads reflect stationary leverage ratios?. The journal of finance, 56(5), pp.1929-1957.[9] De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of political Economy, 98(4), pp.703-738.[10] Dick-Nielsen, J. (2009). Liquidity biases in TRACE. The Journal of Fixed Income, 19(2), pp.43-55.[11] Douglas, A. V., Huang, A. G., & Vetzal, K. R. (2016). Cash flow volatility and corporate bond yield spreads. Review of Quantitative Finance and Accounting, 46(2), pp.417-458.[12] Elton, E. J., Gruber, M. J., Agrawal, D., & Mann, C. (2001). Explaining the rate spread on corporate bonds. the journal of finance, 56(1), pp.247-277.[13] Fons, J. S. (1994). Using default rates to model the term structure of credit risk. Financial Analysts Journal, 50(5), pp.25-32.[14] Greenwood, R. M., Hanson, S. G., & Jin, L. J. (2016). A model of credit market sentiment. Harvard Business School working paper series# 17-015.[15] Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. The Review of Financial Studies, 26(6), pp.1483-1525.[16] Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), pp.628-650.[17] Liu, S., Shi, J., Wang, J., & Wu, C. (2009). The determinants of corporate bond yields. The Quarterly Review of Economics and Finance, 49(1), pp.85-109.[18] Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. The journal of finance, 60(5), pp.2213-2253.[19] López-Salido, D., Stein, J. C., & Zakrajšek, E. (2017). Credit-market sentiment and the business cycle. The Quarterly Journal of Economics, 132(3), pp.1373-1426.[20] Nayak, S., 2010. Investor Sentiment and Corporate Bond Yield Spreads. Review of Behavioural Finance, 2(2), pp.59-80.[21] Sloane, P. E. (1963). Determinants of Bond Yield Differentials. Yale Economic Essays, 3(1), pp.3-55. 描述 碩士
國立政治大學
財務管理學系
109357019資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357019 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng-Lan en_US dc.contributor.author (Authors) 張育成 zh_TW dc.contributor.author (Authors) Chang, Yu-Cheng en_US dc.creator (作者) 張育成 zh_TW dc.creator (作者) Chang, Yu-Cheng en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:18:49 (UTC+8) - dc.date.available 1-Aug-2022 17:18:49 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:18:49 (UTC+8) - dc.identifier (Other Identifiers) G0109357019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141021 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 109357019 zh_TW dc.description.abstract (摘要) 近年來，有許多學者致力於研究投資人情緒對債券市場的影響，一些針對債券市場的研究也顯示出投資人情緒對債券價格偏誤的影響確實存在。然而，過去的研究主要著重在股票市場情緒對債券價格的影響，關於信用市場情緒的部分則較少被提及，因此本文欲探討信用市場情緒對債券市場的影響。本文以美國債券市場作為研究對象，高收益債發行比例(High Yield Share)作為信用市場情緒指標，研究信用市場情緒對於公司債利差的影響。本文的研究結果發現，信用市場情緒對債券利差的影響效果與股票市場情緒的影響效果相似，在高情緒時期債券價格被高估(低利差)，在低情緒時期債券價格被低估(高利差)，長期經過債券市場修正後，價格回復至合理價格，因此高情緒時期之後會伴隨著高利差；低情緒時期之後會伴隨著低利差，並且在高情緒時期，利差受信用市場情緒影響的程度較大，而低情緒時期利差受信用市場情緒的影響較小。此外，我們發現低評級、到期期間短、極端流動性、高票面利率以及發行規模小的債券相對較容易受到信用市場情緒影響。在信用市場情緒與債券市場情緒的比較上，在全部樣本中，信用市場情緒對債券利差的影響優於股票市場情緒，在不同債券特性分組之下，兩者對債券利差的影響程度大小互有勝負。 zh_TW dc.description.abstract (摘要) In recent years, many scholars have devoted themselves to the impact of investor sentiment on the bond market. Some studies on the bond prices also show that investor sentiment contributes to bond mispricing. However, past research mainly focused on the impact of the stock market sentiment on bond prices, and little is known about the impact of the credit market sentiment. Therefore, in this paper, we would like to explore the impact of credit market sentiment on the corporate bond market. In this study, we use high yield share as credit market sentiment and explore the issue of how credit market sentiment affects corporate bond yield spreads in the U.S. bond market. Our results reveal that the impact of credit market sentiment on bond yield spreads is similar to the effect of stock market sentiment. Bonds appear overpriced (with low spreads) during the optimistic periods and underpriced (with high spreads) during the pessimistic periods. After the correction for the mispricing, bond prices return to the fair price. When beginning-of-period sentiment is high, subsequent yield spreads are high; low sentiment periods are followed by low spreads, and the impact of credit market sentiment is more pronounced when sentiment is high. In addition, we find that bonds with low ratings, short maturities, extreme liquidity, high coupons, and small issued size are more sensitive to credit market sentiment. In the comparison of the credit market sentiment and stock market sentiment, credit market sentiment has stronger impact on yield spreads than stock market sentiment in full sample. But under different bond characteristic groups, the impact of credit market sentiment on yield spread is weaker than stock market sentiment in some groups. en_US dc.description.tableofcontents 摘要 iAbstract ii目錄 iii表目錄 v圖目錄 vi第一章 緒論 11.1 研究背景與動機 11.2 研究目的 2第二章 文獻回顧與研究假說 32.1 文獻回顧 32.2 假說建立 6第三章 資料來源與研究方法 93.1 資料來源 93.2 研究方法 14第四章 實證研究結果 164.1 樣本分組 164.2 不同情緒時期下的債券利差 184.3 迴歸分析 204.4 信用市場投資人情緒與股票市場投資人情緒之比較 26第五章 結論 315.1 結論 315.2 未來研究建議 32參考文獻 33附錄 36 zh_TW dc.format.extent 2125569 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357019 en_US dc.subject (關鍵詞) 公司債 zh_TW dc.subject (關鍵詞) 公司債利差 zh_TW dc.subject (關鍵詞) 信用市場情緒 zh_TW dc.subject (關鍵詞) 股票市場情緒 zh_TW dc.subject (關鍵詞) Corporate bond en_US dc.subject (關鍵詞) Bond yield spreads en_US dc.subject (關鍵詞) Credit market sentiment en_US dc.subject (關鍵詞) Stock market sentiment en_US dc.title (題名) 信用市場情緒和公司債利差 zh_TW dc.title (題名) Credit Market Sentiment and Corporate Bond Yield Spreads en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2019). Bonds, stocks, and sources of mispricing. George Mason University School of Business Research paper, (18-5).[2] Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), pp.1645-1680.[3] Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), pp.129-152.[4] Bao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), pp.911-946.[5] Bessembinder, H., Kahle, K. M., Maxwell, W. F., & Xu, D. (2008). Measuring abnormal bond performance. The Review of Financial Studies, 22(10), pp.4219-4258.[6] Chen, L., Collin-Dufresne, P., & Goldstein, R. S. (2009). On the relation between the credit spread puzzle and the equity premium puzzle. The Review of Financial Studies, 22(9), pp.3367-3409.[7] Chen, L., Lesmond, D. A., & Wei, J. (2007). Corporate yield spreads and bond liquidity. The Journal of Finance, 62(1), pp.119-149.[8] Collin‐Dufresne, P., & Goldstein, R. S. (2001). Do credit spreads reflect stationary leverage ratios?. The journal of finance, 56(5), pp.1929-1957.[9] De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of political Economy, 98(4), pp.703-738.[10] Dick-Nielsen, J. (2009). Liquidity biases in TRACE. The Journal of Fixed Income, 19(2), pp.43-55.[11] Douglas, A. V., Huang, A. G., & Vetzal, K. R. (2016). Cash flow volatility and corporate bond yield spreads. Review of Quantitative Finance and Accounting, 46(2), pp.417-458.[12] Elton, E. J., Gruber, M. J., Agrawal, D., & Mann, C. (2001). Explaining the rate spread on corporate bonds. the journal of finance, 56(1), pp.247-277.[13] Fons, J. S. (1994). Using default rates to model the term structure of credit risk. Financial Analysts Journal, 50(5), pp.25-32.[14] Greenwood, R. M., Hanson, S. G., & Jin, L. J. (2016). A model of credit market sentiment. Harvard Business School working paper series# 17-015.[15] Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. The Review of Financial Studies, 26(6), pp.1483-1525.[16] Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), pp.628-650.[17] Liu, S., Shi, J., Wang, J., & Wu, C. (2009). The determinants of corporate bond yields. The Quarterly Review of Economics and Finance, 49(1), pp.85-109.[18] Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. The journal of finance, 60(5), pp.2213-2253.[19] López-Salido, D., Stein, J. C., & Zakrajšek, E. (2017). Credit-market sentiment and the business cycle. The Quarterly Journal of Economics, 132(3), pp.1373-1426.[20] Nayak, S., 2010. Investor Sentiment and Corporate Bond Yield Spreads. Review of Behavioural Finance, 2(2), pp.59-80.[21] Sloane, P. E. (1963). Determinants of Bond Yield Differentials. Yale Economic Essays, 3(1), pp.3-55. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200935 en_US
