本研究採用2003年4月至2011年12月共3860筆美國公司債月資料，進行盈餘變動、信用利差與債券流動性相關性之研究。從以往的文獻結果發現，盈餘變動與私人訊息相關，擁有私人資訊的管理者會調整盈餘被報導出來的結果，而使得盈餘波動度有所改變，又當盈餘相較於現金流量的變異程度越為平緩或更為劇烈時，會混淆資訊而使得資訊不對稱情形增加。又相關研究指出，當資訊不對稱程度越高時會使得公司價值的評估分布越大，反應在債券的利差程度亦越大。而信用利差又與債券流動性為一個反向關係，因此本研究即針對盈餘變動對信用利差與債券流動性的影響做一個直接的探討。
本研究主要採用最小平方法與兩階段最小平方進行回歸分析，而主要的研究結果顯示，當盈餘相較於現金流量的變異程度越為平緩時，其公司債年齡越大，即代表公司債流動性較差。又當盈餘相較於現金流量的變異程度越為劇烈時，信用利差較大，且公司債券年齡較大、公司債發行規模較小、全距較大、四分位數間距較大以及公司債交易量較小，皆表示其公司債流動性較差，這部分的結果與過去文獻的理論相符，亦表示盈餘變動、信用利差與債券流動性之間確實有一直接的關聯性。

This paper is about the relationship between earning volatility, credit spread and bond liquidity. The sample is adopted by American corporate bond with monthly data from 2003 to 2011. According to the previous research, if earnings are smoother or more volatile than cash flow, the information asymmetry is higher. What’s more, the information asymmetry is positively related to credit spread. Finally, there is a negative relationship between credit spread and bond liquidity. Therefore, we focus on the relationship between earning volatility, credit spread and bond liquidity directly. We adopt OLS and 2SLS regressions. The main result is that the credit spread is higher and less liquidity when earning is more volatile than cash flow.

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