中国式高收益债券发行定价分析

发布时间：2018-01-05 13:01

本文关键词：中国式高收益债券发行定价分析　出处：《对外经济贸易大学》2015年硕士论文　论文类型：学位论文

【摘要】：随着中国经济进入下行通道,融资难成为中小企业的致命伤,开拓直接融资途径成为拯救中小企业最直接有效的途径。中小企业由于其体量小,信用评级不高,其发行的债券大多为高收益债券。本文中国式高收益债券主要是指主体评级按“孰高原则”不高于AA-且债项评级按“孰高原则”不高于AA+的债券,期限不低于1年且不高于10年,发行票面利率高于发行当日相同期限国债收益率曲线500bp以上的非次级信用债券。本文根据无套利原理,采用基准利率利差法和锚定利率利差法,根据中国特色的债券市场的基本情况对高收益债券的发行定价进行分析。本文认为影响高收益债券发行定价的因素除了市场利率波动、债券发行期限、债券流动性因素外,还受债券的主体评级、债项评级、发行时市场资金价格、CPI、PMI、M1和中小板指数的影响。基准利率(锚定利率)、流动性溢价补偿、CPI、PMI、M1和中小板指数与其他影响高收益债券发行定价的因素相关性较高,不参与回归分析。其他因素通过多元回归分析发现,在基准利率利差法下,高收益债券发行定价与债券的债项评级及发行日市场资金价格在显著水平为5%的水平上显著,主体评级在接近5%的显著水平上显著;在锚定利率利差法下,高收益债券发行定价与债券的主体评级及发行人的市场资金价格在显著水平1%的水平上显著。
[Abstract]:As China's economy enters the downward channel, the difficulty of financing has become the fatal injury of SMEs, and the development of direct financing has become the most direct and effective way to save SMEs. Because of their small size, the credit rating of SMEs is not high. Most of the bonds issued are high-yield bonds. This article mainly refers to the main rating according to the "which of the higher principle" not higher than AA- and the debt rating according to the "which of the principles" is not higher than the AA bond. The term is not less than one year and not more than 10 years, the coupon interest rate is higher than 500 BP of the yield curve of the same maturity national debt on the day of issue. This paper is based on the principle of no arbitrage. The benchmark interest rate spread method and the anchor interest rate spread method are adopted. According to the basic situation of the bond market with Chinese characteristics, this paper analyzes the issue pricing of high-yield bonds. This paper considers that the factors that affect the pricing of high-yield bonds are not only market interest rate fluctuations, but also the duration of bond issuance. Besides the liquidity factors of bonds, it is also affected by the main rating of bonds, the rating of debt items, the market capital price of CPI / PMIM 1 and the index of small and medium board when issued. The benchmark interest rate (anchor interest rate). CPI PMIM 1 and small and medium board index have a high correlation with other factors that affect the pricing of high yield bond issuance, and do not participate in regression analysis. Other factors are found by multiple regression analysis. Under the benchmark interest rate spread method, the pricing of high-yield bonds and the bond rating and the market capital price on the date of issue are significant at the level of 5%, and the main rating is significant at the significant level of close to 5%; Under the method of anchoring interest rate spread, the pricing of high yield bonds and the main rating of bonds and the market capital price of issuers are significant at the level of 1%.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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