轉換交易所對公司信用價差的影響

Abstract

本篇論文主要做實証研究，分析當公司轉換交易所後，信用價差的變化，是變大或變小此一現象，信用價差也就是公司債和政府公債之間殖利率的差。我也放入了幾個其他可能會影響信用價差的變數，來看看它們和信用價差之間的關係。樣本期間是1998到2003年從AMEX(美國證券交易所)轉到NYSE(紐約證券交易所)和NASDAQ(證券處理人自動報價系統全國協會)轉到NYSE(紐約證券交易所)的34家公司共235張債券。實證結果有一個最重要的發現，當公司從AMEX轉到NYSE和NASDAQ轉到NYSE均會使信用價差減少。另外一個主要的發現，不論是從AMEX轉到NYSE和NASDAQ轉到NYSE，兩者是沒有差異的。

The main purpose of this thesis is to report on the empirical results of an analysis of how credit spreads, the spreads between yields on corporate and government bonds, respond when a firm switches to another exchange. The relationship between credit spreads and several economic and financial variables were also analyzed. Data was collected from a sample of 235 bonds from 34 different issuers (firms) that moved from the American Stock Exchange (AMEX) to the New York Stock Exchange (NYSE) and from the National Association of Securities Dealers’ Automated Quotations system (NASDAQ) to the NYSE during the period between 1998 - 2003. A key finding is that credit spreads decreased when firms switch from the AMEX to the NYSE and from the NASDAQ to the NYSE. The evidence is also conclusive and proves that whether a company moves from the NASDAQ to the NYSE or from the AMEX to the NYSE, the effects on credit spreads are similar. These results are consistent with intuition because switching will conduce to lower credit risk.