An Empirical Investigation of Corporate Bond Pricing in Taiwan ----An Application of Option Pricing Model
碩士 === 國立中央大學 === 財務管理學系 === 82 === The study adopts the option pricing approach of Black and Scholes(1973) and Merton(1974) to investigate the pricing of corporate bonds. Data of nine corporate bonds issued in Taiwan during the period of June 1993 to...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
1994
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Online Access: | http://ndltd.ncl.edu.tw/handle/99819159779615727396 |
Summary: | 碩士 === 國立中央大學 === 財務管理學系 === 82 === The study adopts the option pricing approach of Black and
Scholes(1973) and Merton(1974) to investigate the pricing of
corporate bonds. Data of nine corporate bonds issued in Taiwan
during the period of June 1993 to March 1994 are used in the
empirical analysis. The empirical results show that the
estimated credit spreads from the model are smaller than
the actual credit spreads. The average difference of these two
spreads is 87.66 basis points. This may attribute to the fact
that bondholders may not immediately get the market value of
asset as it falls into insolvency. It is reasonable for
bondholders to require higher yield than implied in the
model. Neverthless, the results indicate that odrder
correlation between estimated and actral credit spreads is
0.5667 which is statistically signi- ficant at the 88.22%
level. The study also finds that firm size and actual
credit spread are negatively correlated. However, the negative
rela- tion between firm size and estimated credit spread is not
sig- nificant. The debt-to-asset ratio is found to be
positive related to both actual and estimated spreads. The
estimated spread and asset return standard deviation is also
found to be positive correlated but not significant. And
the estimated spread term structure is found to be upward
sloping.
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