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博碩士論文 etd-1207109-131432 詳細資訊
Title page for etd-1207109-131432
論文名稱
Title
信用評等轉移如何影響最適化資本結構決策?
How does credit rating migration impacts an optimal capital structure decision?
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
70
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-10-02
繳交日期
Date of Submission
2009-12-07
關鍵字
Keywords
最適資本結構、目標最小評等政策、信評相依浮動票息條款、信用評等
credit rating, optimal capital structure, target minimum rating policy, rating-linked coupon scheme
統計
Statistics
本論文已被瀏覽 6004 次,被下載 29
The thesis/dissertation has been browsed 6004 times, has been downloaded 29 times.
中文摘要
本文旨在研究信用評等轉移對最適化資本結構決策之影響。本文提出之模型考量兩種信評管理相關之實證行為:信評相依浮動票息條款、目標最小評等政策。其研究結果呈現:在常態的發行評等情況下,相較於標準附息債券而言,公司發行信評相依浮動附息債券可獲取較多的稅盾利益且相對應之最適槓桿比率也較高。再者,本文還發現目標最小評等政策導致公司槓桿產生均數復歸現象。當公司被迫降等到目標最小評等之下,經理人為將其調升回期初目標評等會產生過度附買回之行為。
Abstract
This paper examines the impact of credit rating migration in determining optimal capital structure. The models we propose capture empirical behavior in two ways; the behavior of linking firm’s rating to the promised coupons and the behavior of targeting minimum rating. We find that as long as the rating at issuing time is not too low, tax shields of the rating-linked coupon debt are larger than those of standard debt with the same par, and hence, optimal leverage usage of the firm with the rating- linked coupon scheme is greater. Further, we also show that the behavior of targeting a minimum rating causes mean-reverting leverage dynamics. Managers are appeared to make over-repurchase choices for adjusting the current rating back to the initial target following a downgrade from target minimum rating.
目次 Table of Contents
Contents
1. Introduction 1
2. A Firm-Value-Based Framework of Credit Migration 6
2.1. The Model 9
2.2. A Numerical Example 13
2.3. An Application of Capital Structure Problem (the base case)
17
3. Debt with Rating-Linked Coupon Scheme 21
3.1. The Model 22
3.2 The impact of linking credit rating to the promised coupons on optimal capital structure decision 24
4. Debt with Rating-Dependent Callable Option 31
4.1. The Model 31
4.2. The impact of target minimum rating policy on optimal capital structure decision 36
5. Conclusion 42
Appendix 57
References 60
參考文獻 References
References
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