本研究採用2002年至2015年美國公司債年資料，探討公司股票崩盤風險與信用利差之關係。過去研究指出公司股票崩盤代表公司具有資訊不對稱的現象，且過去所隱藏的負面資訊一次釋放，進而造成股票暴跌。又有相關文獻指出當公司資訊不對稱程度愈高，其公司信用利差愈大。因此本研究針對公司股票崩盤風險與公司債信用利差進行一個直接的探討。 本研究採用三個股票崩盤風險的衡量指標，並以最小平方法與兩階段最小平方進行迴歸分析。主要結果顯示當公司股票崩盤風險愈高，其公司債信用利差愈大。而這個結果與過去文獻的理論相符，亦表示公司股票崩盤風險與信用利差有直接關聯性。 ;The purpose of this research is to investigate the impact of stock price crash risk on credit spread. The sample is adopted by American corporate bond with yearly data from 2002 to 2015. According to the previous research, the existence of information asymmetries between corporate insiders and external stakeholders could lead to crash risk. In addition, the information asymmetry is positively related to credit spread. Therefore, we focus on the relationship between stock price crash risk and credit spread. We use the OLS and 2SLS regressions. The results show that firms with higher stock price crash risk contribute to higher credit spread .
