公司债券利差影响因素的实证研究
发布时间：2019-04-18 14:46
【摘要】：资本市场发展迅猛的今天,如何利用资本市场壮大公司规模和提升公司价值成为了国内公司的一项重要课题。公司债券作为直接融资的一种重要方式,在债券市场上的地位日益彰显。由于在发行制度和发行方式上受市场影响因素较大,公司债券利差作为衡量债券风险和价值的重要指标越来越受到国内外学者的关注。 本文首先对中外学者关于利差影响因素研究的文献进行了回顾,从宏观和微观两个角度分析了影响利差的重要因素,认为宏观因素中包括利率因素和经济周期变化对利差影响较大,而微观因素中公司价值、流动性以及其他一些债券本身的性质对利差也都有较大影响。 在对公司债券利差进行实证研究前,本文首先对利差进行了测算。由于我国国债到期收益率曲线期限结构的不完整,无法找到任意期限下的到期收益率与公司债券匹配,因此,本文利用了Nelson-Siegel模型对我国国债到期收益率曲线进行了拟合。拟合结果显示,该模型对我国国债到期收益率曲线拟合效果较好,平均拟合度达到0.9030。 根据拟合得到的国债到期收益率曲线,本文将18只样本公司债券2009年2月到2012年11月间每月最后一个交易日的到期收益率在期限结构一致的条件下与之相减,得到实证检验所需的公司债券利差。在通过对样本公司债券的面板数据进行实证检验后发现,无风险利率、收益率斜率、股票指数收益率、信用等级以及剩余期限等与利差都为负相关,公司的杠杆比率与利差关系为正,合同中的回售条款与利差相关性为正但并不稳健。另外,股票市场波动率指标和发行规模与利差关系不显著,代表流动性因素的换手率虽然影响显著但方向相反。最后,根据实证结果本文提出了一些政策建议,对未来公司债券市场的发展具有一定的指导和借鉴意义。
[Abstract]:With the rapid development of the capital market, how to use the capital market to strengthen the company size and enhance the value of the company has become an important topic for domestic companies. As an important way of direct financing, corporate bonds play an increasingly important role in the bond market. As a result of the large market impact on the issuance system and the way of issuance, corporate bond spreads, as an important indicator to measure the risk and value of bonds, have been paid more and more attention by scholars at home and abroad. First of all, this paper reviews the literatures of Chinese and foreign scholars on the influencing factors of interest margin, and analyzes the important factors that affect the spread from the macro and micro perspectives. It is considered that the macro factors include interest rate factors and economic cycle changes have a great impact on the spread, while the microcosmic factors, such as corporate value, liquidity and the nature of some other bonds, also have a great impact on the spread. Before the empirical study on the spread of corporate bonds, this paper first calculates the spread of interest rates. Due to the incomplete maturity structure of the maturity yield curve of Chinese national debt, it is impossible to find a match between the maturity yield and the corporate bond under any maturity. Therefore, this paper uses the Nelson-Siegel model to fit the maturity yield curve of Chinese national debt. The fitting results show that the model has a good fitting effect on the maturity yield curve of Chinese national debt, and the average fitting degree is 0.9030. According to the curve of bond maturity yield, the maturity yield of 18 sample corporate bonds on the last trading day of each month between February 2009 and November 2012 is reduced under the condition that the maturity structure is the same. Get the corporate bond spreads required for empirical testing. It is found that risk-free interest rate, yield slope, stock index yield, credit rating and residual maturity are negatively correlated with the spread after empirical test on the panel data of sample corporate bonds. The relationship between leverage ratio and spread is positive, and the relationship between resale terms and spread is positive but not robust. In addition, the volatility index and issue size of stock market have no significant relationship with interest rate spread, and the turnover rate, which represents liquidity factor, is significant, but the direction is opposite. Finally, according to the empirical results, this paper puts forward some policy suggestions, which have certain guidance and reference significance for the future development of corporate bond market.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275
[Abstract]:With the rapid development of the capital market, how to use the capital market to strengthen the company size and enhance the value of the company has become an important topic for domestic companies. As an important way of direct financing, corporate bonds play an increasingly important role in the bond market. As a result of the large market impact on the issuance system and the way of issuance, corporate bond spreads, as an important indicator to measure the risk and value of bonds, have been paid more and more attention by scholars at home and abroad. First of all, this paper reviews the literatures of Chinese and foreign scholars on the influencing factors of interest margin, and analyzes the important factors that affect the spread from the macro and micro perspectives. It is considered that the macro factors include interest rate factors and economic cycle changes have a great impact on the spread, while the microcosmic factors, such as corporate value, liquidity and the nature of some other bonds, also have a great impact on the spread. Before the empirical study on the spread of corporate bonds, this paper first calculates the spread of interest rates. Due to the incomplete maturity structure of the maturity yield curve of Chinese national debt, it is impossible to find a match between the maturity yield and the corporate bond under any maturity. Therefore, this paper uses the Nelson-Siegel model to fit the maturity yield curve of Chinese national debt. The fitting results show that the model has a good fitting effect on the maturity yield curve of Chinese national debt, and the average fitting degree is 0.9030. According to the curve of bond maturity yield, the maturity yield of 18 sample corporate bonds on the last trading day of each month between February 2009 and November 2012 is reduced under the condition that the maturity structure is the same. Get the corporate bond spreads required for empirical testing. It is found that risk-free interest rate, yield slope, stock index yield, credit rating and residual maturity are negatively correlated with the spread after empirical test on the panel data of sample corporate bonds. The relationship between leverage ratio and spread is positive, and the relationship between resale terms and spread is positive but not robust. In addition, the volatility index and issue size of stock market have no significant relationship with interest rate spread, and the turnover rate, which represents liquidity factor, is significant, but the direction is opposite. Finally, according to the empirical results, this paper puts forward some policy suggestions, which have certain guidance and reference significance for the future development of corporate bond market.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275
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