Empirical Study of The Affecting Factors on The Pricing of Straight Bonds and Bank Debentures

• Main Authors: Chih-Ching Huang, 黃志青
• Other Authors: Dar-Hsin Chen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/90991419809065479322

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 98 === Due to the money market rate staying at the low level these years, corporate obtained the lower funding cost and also boomed the primary and secondary bond market. Since the most important factor affects the bond pricing is the credit rating level. We use the corporate bond reference rate raw data which was established by Gre Tai Securities from Nov.01, 2005 to Dec.31, 2009 as my analyzing database. After the more reliable data is chosen, the Unit Root Test is proceed first to confirm those data is chosen and the numbers of the variables are on stationary status. Based on the analysis above, cooperating with our corporate bond credit risk premium model which derived from Duffee (1988). We analyze the correlation among the variation of local bond credit risk premium and the term structure of risk free rate, the term structure of TWD IRS rate, 90 days CP rate and other interest rate benchmarks. Based on the study above, when issuing corporate bond or bank debenture, we can conclude short-term CP rate, long-term government bond yield and TWD IRS rate which will influence pricing level significantly.