关于我国公司债价差影响因素的研究

发布时间：2018-01-24 16:32

本文关键词： 公司债券无风险利率公司债利差信用风险流动性效应　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：公司债作为重要的企业融资渠道,发挥着优化公司资本结构、优化资源配置、分散市场风险、提高市场效率的积极作用。我国公司债起步较晚,2007年长电债的发行标志着我国公司债的正式起航。截至2011年底我国A股上市公司公司债债发行规模约为3000亿元,占我国GDP比重0.52%,远低于发达国家的163%。这说明我国公司债市场发债潜力巨大。由于长期以来我国公司债的定价缺乏一个统一规范的市场化标准,如何确定公司债券的风险,如何给公司债券合理地定价,如何正确评估公司债券与无风险债券利差以及这种利差受哪些因素的影响,越来越多地受到学者和金融从业人员的关注。本文在参考相关文献的基础上,结合我国公司债券市场的实际情况,研究了影响我国公司债与国债利率价差的一些因素。通过建立多元回归模型和实证研究,发现了一些有意义的结论。公司债券与国债利率差价受宏观经济环境的影响显著,当经济处于繁荣时期,企业价值增加,违约风险下降,信用利差减少。一些宏观经济指标例如无风险利率、汇率等,通过反应宏观经济的走势而影响公司债券信用利差。并且我国的中期公司债存在着流动性效应。我国的公司债存在流动性效应很大程度上是因为我国公司债市场不发达,债券存量和交易量远远小于发达金融市场。
[Abstract]:As an important financing channel, corporate bonds play an active role in optimizing the capital structure, optimizing the allocation of resources, dispersing market risks and improving market efficiency. In 2007, the issuance of long electric bonds marked the official departure of corporate bonds in China. As of end of 2011, the issuance scale of bonds of listed companies in China is about 300 billion yuan. The proportion of GDP in China is 0.52%, which is far lower than that in developed countries. For a long time, the pricing of corporate bonds in our country lacks a unified and standardized market-oriented standard, how to determine the risk of corporate bonds and how to reasonably price corporate bonds. More and more scholars and financial practitioners pay more and more attention to how to correctly evaluate the spread between corporate bonds and risk-free bonds and what factors affect the spread. On the basis of reference to relevant literature, combined with the actual situation of our country's corporate bond market, this paper studies some factors that affect the spread of interest rate between corporate bonds and treasury bonds. Through the establishment of multiple regression model and empirical research. Some meaningful conclusions have been found. The difference between corporate bonds and national debt interest rates is significantly affected by the macroeconomic environment. When the economy is in the boom period, the enterprise value increases and the default risk decreases. Reduced credit spreads. Some macroeconomic indicators such as risk-free interest rates, exchange rates, etc. By reflecting the trend of the macro economy, the credit spreads of corporate bonds are affected. Moreover, there is a liquidity effect in the medium term corporate bonds in China. The liquidity effect of corporate bonds in China is largely due to the market of corporate bonds in China. Underdeveloped. Bond stocks and trading volumes are much smaller than developed financial markets.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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