簡易檢索 / 詳目顯示
| 研究生： |
黃鈺婷 Yu-Ting Huang |
|---|---|
| 論文名稱： |
公司仰賴技能勞工之程度與信用利差和債券流動性之關係 The relationship between the reliance of skilled labor, credit spread and bond liquidity |
| 指導教授： | 黃泓人 |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融學系 Department of Finance |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 56 |
| 中文關鍵詞： | 技能勞工 、勞工變動成本 、信用利差 、債券流動性 |
| 外文關鍵詞： | Skilled labor, Labor Adjustment cost, Credit Spread, Bond liquidity |
| 相關次數： | 點閱：15 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究採用2002年至2015年共3289筆美國公司債年資料，進行公司仰賴技能勞工的程度、信用利差與債券流動性相關性之研究。從過去文獻發現，公司仰賴技能勞工的程度越高，公司面對勞動力的變動時，勞工變動成本會增加，兩者呈現正相關。又有相關研究指出，當公司勞工變動成本越高，公司的營運風險會隨之提升，進而導致公司債的信用利差增加。而信用利差又與債券流動性呈現反向關係，因此本研究針對公司仰賴技能勞工的程度對公司債信用利差與債券流動性的影響進行探討。
本研究主要採用最小平方法和兩階段最小平方法進行迴歸分析，而主要結果顯示當公司仰賴技能勞工的程度越高，其信用利差越大，且買賣價差與四分位數間距皆變大，表示流動性變差。而這個結果與過去文獻的理論相符，亦表示公司仰賴技能勞工的程度與信用利差、債券流動性有直接關聯性。
This paper investigates the impact of firm’s reliance on skilled labor on credit spread and bond liquidity. The sample is adopted from American corporate bond with yearly data from 2002 to 2015. According to previous research, the firm with higher share of skilled workers would face the increase of substantial labor adjustment cost. In addition, firm with higher labor adjustment cost would decrease firm’s profit and increase the credit risk. Then, the relationship between credit risk and bond liquidity is negative. Therefore, we focus on the relationship between dependence on skilled labor, credit spread and bond liquidity. We use the OLS and 2SLS regressions. The result shows that firms with a higher share of skilled workers will increase LACs and lead to higher credit risk and less bond liquidity.
1. Alimov, Azizjon. "Labor protection laws and bank loan contracting." The Journal of Law and Economics 58.1 (2015): 37-74.
2. Campbell, John Y., and Glen B. Taksler. "Equity volatility and corporate bond yields." The Journal of Finance 58.6 (2003): 2321-2350.
3. Chacko, George. "Liquidity risk in the corporate bond markets." Working paper, Harvard Business School. (2005).
4. Chen, Long, David A. Lesmond, and Jason Wei. "Corporate yield spreads and bond liquidity." The Journal of Finance 62.1 (2007): 119-149.
5. Chen, Tsung-Kang, Yan-Shing Chen, and Hsien-Hsing Liao. "Labor unions, bargaining power and corporate bond yield spreads: Structural credit model perspectives." Journal of Banking & Finance 35.8 (2011): 2084-2098.
6. Covitz, Dan, and Chris Downing. "Liquidity or credit risk? The determinants of very short‐term corporate yield spreads." The Journal of Finance 62.5 (2007): 2303-2328.
7. Dixit, Avinash. "Investment and employment dynamics in the short run and the long run." Oxford Economic Papers 49.1 (1997): 1-20.
8. Elton, Edwin J., et al. "Explaining the rate spread on corporate bonds." the journal of finance 56.1 (2001): 247-277.
9. Ghaly, Mohamed, Viet Anh Dang, and Konstantinos Stathopoulos. "Cash holdings and labor heterogeneity: the role of skilled labor." The Review of Financial Studies 30.10 (2017): 3636-3668.
10. Huang, Jing-Zhi, and Ming Huang. "How much of the corporate-treasury yield spread is due to credit risk?." The Review of Asset Pricing Studies 2.2 (2012): 153-202.
11. Lu, Chia-Wu, Tsung-Kang Chen, and Hsien-Hsing Liao. "Information uncertainty, information asymmetry and corporate bond yield spreads." Journal of Banking & Finance 34.9 (2010): 2265-2279.
12. Qiu, Yue, and Tracy Yue Wang. "Skilled Labor Risk and Compensation Policies." (2017).
13. Rossi, Marco. "Realized volatility, liquidity, and corporate yield spreads." The Quarterly Journal of Finance 4.01 (2014): 1450004.
14. Serfling, MATTHEW A. "Labor adjustment costs and capital structure decisions." University of Arizona Working Paper. 2013.
