本文主要探討資訊不確定性與公司債信用利差以及公司債流動性的關係。其選用公司年齡以及應計項目品質這兩個資訊不確定性變數，並以五種債券流2動性指標分別進行迴歸檢測。資訊不確定性代表著投資者進行投資時所需承擔之資訊風險，故當發行公司之資訊不確定性越嚴重，投資者選擇投資實會要求較高的風險貼水，而使公司債信用利差擴大。除此之外，因投資者對於資訊風險的考量，影響投資人對該公司債的投資策略，進而影響債券流動性，本文預期資訊風險較大的公司債，其流動性越差。而經過迴歸檢測後發現，資訊風險較大的公司債，其信用利差確實會擴大，但因為資訊不確定性與流動性的關係產生間接抵銷的狀況。而資訊不確定性與流動性之間的迴歸結果並不如本文所預期之方向，故資訊風險並不會使的債券流動性變差。

This paper tries to investigate the effect of information uncertainty on credit spread and bond liquidity. We use two variables, firms age and accrual quality, to be the proxy variable for information uncertainty. Then we choose five variables to be the proxy variables for bond liquidity. We expect that higher firms age and better accrual quality can make credit spread be smaller and improve bond liquidity. The result show that information uncertainty should affect the credit spread, but this effect is reduced by the relationship between information uncertainty and bond liquidity. And we find that firms age and accrual quality can’t affect two variables of bond liquidity. The result of others can’t accord with our predicate. So we can’t say better accrual quality can reduce credit spread and improve bond liquidity in this paper.

【1】 Alexandera J. Gordon, Amy K. Edwardsb, Michael G. Ferric, 2000, The determinants of trading volume of high-yield corporate bonds, Journal of Financial Markets Vol 3, Issue 2, Pages 177–204

【2】 Bao Jack, Jun Pan, and Jiang Wang, 2011, The Illiquidity of Corporate Bonds, The Journal of Finance, Vol. Lvvi, No. 3

【3】 Chen Long, David A. Lesmond, and Jason Wei, 2007, Corporate Yield Spreads and Bond Liquidity, The Journal of Finance, Vol. Lvii, No. 1

【4】 Collin-Dufresne Pierre, Robert S. Goldstein, and J. Spencer Martin, 2001, The Determinants of Credit Spread Changes, The Journal of Finance, Vol. Lvi, No. 6

【5】 Crabbe E. Leland and Christopher M. Turner, 1995, Does the Liquidity of a Debt Issue Increase with its Size? Evidence from the Corporate Bond and Medium-Term Note Markets, Journal of Finance, Vol. L, No. 5

【6】 Duffee R. Gregory, 1998, The Relation Between Treasury Yields and Corporate Bond Yield Spreads, The Journal of Finance, Vol. Liii, No.6

【7】 Elton J. Edwin, Martin J. Gruber, Deepak Arawal, and Christopher Mann, 2001, Explaining the Rate Spread on Corporate Bonds, The Journal of Finance, Vol. Lvi, No. 1

【8】 Francis Jennifer, Ryan Lafond, Per Olsson, and Katherine Schipper, 2005. The market pricing of accruals quality, Journal of Accounting and Economics 39, 295–327.

【9】 Goldstein A Michael., Edith S. Hotchkiss, 2012. Dealer Behavior and the Trading of Newly Issued Corporate Bonds, Working Paper, Boston College

【10】 Helwege Jean, Jing-Zhi Huang and Yuan Wang, 2014, Liquidity effects in corporate bond spreads, Journal of Banking & Finance 45, 105–116

【11】 Jiang Guohua, Charles M. C. Lee, and Yi Zhang, 2005, Information uncertainty and expected returns, Review of Accounting Studies 10, 185–221

【12】 Longstaff A. Francis, Sanjay Mithal, and Eric Neis, 2005, Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market, The Journal of Finance, Vol. Lx, No. 5

【13】 Lu Chia-Wu a, Tsung-Kang Chen, and Hsien-Hsing Liao, 2010, Information uncertainty, information asymmetry and corporate bond yield spreads, Journal of Banking & Finance 34 ,2265–2279

【14】 Nejadmalayeri Ali, Ike Mathur, and Manohar Singh, 2013, Product market advertising and corporate bonds, Journal of Corporate Finance 19, 78–94

【15】 Qi Claudia Zhen, K.R. Subramanyam, and Jieying Zhang, 2010, Accrual quality, bond liquidity, and cost of debt, Working Paper, Southern California University

【16】 Ronen Tavy, Xing Zhou, 2010. Where did All the Information Go? Trade in the Corporate Bond Market, Working Paper, Rutgers University.

【17】 Zhang X. Frank, 2006, Information Uncertainty and Stock Returns, The Journal of Finance, Vol. Lxi, No. 1