An Empirical Investigation of Corporate Bond Pricing in Taiwan ----An Application of Option Pricing Model

• Main Authors: Ko, I-Chun, 柯怡君
• Other Authors: Yu, Min-Teh
• Format: Others
• Language: zh-TW
• Published: 1994
• Online Access: http://ndltd.ncl.edu.tw/handle/99819159779615727396

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.