企业债券信用风险与现金持有的关系研究

发布时间：2018-08-04 09:50

【摘要】：近年来,中国信用债券市场快速发展,在债券市场中的比重日渐提高。虽然债券市场尚未发生实际违约事件,但也出现了一系列违约信号,随着债券市场的日趋成熟,债券违约必将成为现实。信用风险与发债公司整个经营过程中每个环节的流动性息息相关,因此对债券主体的信用风险与流动性进行研究,对于投资者及时进行风险管理具有十分重要的意义。一般认为持有较多现金的公司更安全,且其信用利差更低。然而一些公司的流动性与信用风险却表现出正相关关系,这该如何与“更多现金更安全”的经济学常理共存呢?针对这一现象,本文使用保存现金的预防性动机来解释,并建立了一个模型说明现金持有与信用利差之间如何产生正相关关系和负相关关系,最后对信用风险的另一个重要方面—违约概率进行研究,结果发现较高的现金持有减少了短期违约概率,增加了长期违约率概率。实证分析中以发行债券的上市公司为研究对象,使用杠杆系数、波动性、债务到期时间及公司财务数据作为控制变量,运用IV回归解决现金持有的内生性问题,结果表明流动性资产持有与债券利差显著负相关,而在OLS回归中利差和流动性呈正相关关系；流动性与预期违约率在短期内负相关,长期内正相关。实证分析证明了理论部分的预测,指出了预防性的现金持有主要是意识到了在面临信用风险时现金的重大作用。该分析表明,在信用风险的研究中应该更加关注一些视为固定的因素的内生性作用。另外基于本文对债券信用风险与现金持有间关系的讨论,使得投资者在对债券市场进行投资时,应该更加关注公司层面的信息,而不仅仅关注宏观经济方面的因素,另外尤其应当关注公司的现金持有对其信用风险的影响。
[Abstract]:In recent years, China's credit bond market has developed rapidly and its proportion in the bond market has been increasing day by day. Although the bond market has not yet actually defaulted, there are also a series of default signals. With the maturity of the bond market, bond default will become a reality. The credit risk is closely related to the liquidity of every link in the whole process of the bond issuing company. Therefore, the study of the credit risk and the liquidity of the main body of the bond is of great significance for the investors to carry out the risk management in time. Companies with more cash are generally thought to be safer and have lower credit spreads. Yet some firms have a positive correlation between liquidity and credit risk. How does this co-exist with the economics of "more cash and safer"? In view of this phenomenon, this paper uses the precautionary motivation to save cash to explain, and establishes a model to explain how the cash holding and credit spreads have a positive and negative correlation. Finally, another important aspect of credit risk, the probability of default, is studied. It is found that high cash holding reduces the probability of short-term default and increases the probability of long-term default. In the empirical analysis, taking the listed companies issuing bonds as the research object, using leverage coefficient, volatility, debt maturity time and corporate financial data as control variables, IV regression is used to solve the endogenous problem of cash holding. The results show that there is a significant negative correlation between the holding of liquid assets and bond interest margin, but a positive correlation between interest rate and liquidity in OLS regression, and a negative correlation between liquidity and expected default rate in the short term and a positive correlation in the long term. The empirical analysis proves the theory part of the prediction and points out that the precautionary cash holding is mainly aware of the important role of cash in the face of credit risk. The analysis shows that more attention should be paid to the endogenous role of some fixed factors in the study of credit risk. In addition, based on the discussion of the relationship between bond credit risk and cash holding, investors should pay more attention to corporate information, not only macroeconomic factors, when investing in the bond market. In addition, special attention should be paid to the impact of cash holdings on the credit risk of the company.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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