|摘要: ||本論文旨在探討兩個有關美國地方政府債券議題: (1) 債券承保風險與地方政府債券殖利率之關係：(2) 影響地方政府債券評價之因子。|
在債券評價議題中，本研究利用Fama and French (1993)三因子、債券流動性、違約風險、期間結構風險貼水與保險狀態來評價地方政府債券。實證結果指出，流動性與到期風險顯著影響債券報酬，其結果與公司債一致，且低品質債券與個別投資人持有之特性對於此兩個因素影響更加顯著。另外，本研究亦發現保險狀態(有保險債券報酬與沒有保險債券報酬之差異)對於債券報酬有顯著影響。
This dissertation works on two issues related to municipal bonds: (1) how the counterparty risk of the municipal bond insurer affects bond yield and (2) factors that influence municipal bond returns.
On the first issue, I find that municipal bond yields are positively associated with insurers’ credit risk. This positive relation is robust when considering various related factors, including bond-market liquidity and bond-specific characteristics (tax, coupon, rating, age, and maturity), and when using alternatives measures of counterparty risk and liquidity. I also find that counterparty risk (1) tends to be more important for low-quality (i.e, low-rating) bond yields than high-quality bond yields, and (2) had a greater impact on bond yields during the 2008 subprime crisis period.
On the second issue, I employ Fama and French (1993) three factors, liquidity, default risk, term structure risk, and insurance status to price municipal bonds. The results show that in general liquidity and maturity risk significantly affect municipal bond returns, which are similar to corporate bonds. None the less, low quality and individual-holding bonds tend to be more sensitive to these two factors. My additional finding is that the insurance status (the premium between insured and uninsured bonds) also has a significant effect on bond returns.
This dissertation contributes the bond literature by showing that (1) insurer counterparty credit risk significantly affect municipal bond yields, and (2) bond specific characteristics including liquidity and maturity risk, and insurance status are significantly associated with bond returns. These two results indicate that municipal bond buyers do care about insurers’ credit and require greater premia for low-liquidity, long-lived, and uninsured bonds.