论信用等级对债券利差的解释作用
发布时间：2019-05-07 18:03
【摘要】：本文通过债券信用等级对债券利差的解释作用,研究债券信用等级的信息含量。以2010年和2011年发行的非金融企业无担保固定利率企业债券为样本,发现债券利差随信用等级的上升而下降,且不同信用等级债券的利差差异显著;根据两阶段模型,在剔除了债券信用等级与发债企业前一年度的财务数据以及企业所属行业、债券发行年度、发行期限、发行规模、是否提前偿还等解释变量之间的多重共线性后,信用等级信息对债券利差有显著解释作用,说明债券信用等级信息对提高债券市场效率有增量贡献。
[Abstract]:This paper studies the information content of bond credit grade through the explanation of bond credit grade to bond spreads. Taking the unsecured fixed-rate corporate bonds issued by non-financial enterprises in 2010 and 2011 as samples, it is found that the spreads of bonds decrease with the increase of credit rating, and the spreads of bonds with different credit grades are significantly different. According to the two-stage model, after excluding the financial data of the bond credit rating and the previous year of the issuing enterprise as well as the industry in which the enterprise belongs, the year of issuance, the duration of the issue and the size of the issue are excluded. After the multiple collinearity between the explanatory variables, such as prepayment or not, the credit grade information can explain the bond spreads significantly, indicating that the bond credit grade information has an incremental contribution to improving the efficiency of the bond market.
【作者单位】： 对外经济贸易大学国际商学院;
【分类号】：F275;F832.51;F224
[Abstract]:This paper studies the information content of bond credit grade through the explanation of bond credit grade to bond spreads. Taking the unsecured fixed-rate corporate bonds issued by non-financial enterprises in 2010 and 2011 as samples, it is found that the spreads of bonds decrease with the increase of credit rating, and the spreads of bonds with different credit grades are significantly different. According to the two-stage model, after excluding the financial data of the bond credit rating and the previous year of the issuing enterprise as well as the industry in which the enterprise belongs, the year of issuance, the duration of the issue and the size of the issue are excluded. After the multiple collinearity between the explanatory variables, such as prepayment or not, the credit grade information can explain the bond spreads significantly, indicating that the bond credit grade information has an incremental contribution to improving the efficiency of the bond market.
【作者单位】： 对外经济贸易大学国际商学院;
【分类号】：F275;F832.51;F224
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