公司债券C-T收益价差实证分析

发布时间：2018-01-01 08:39

本文关键词：公司债券C-T收益价差实证分析　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：公司债券作为企业融资的重要途径之一,在金融市场中扮演着重要的角色。近年来,我国公司债券市场正逐步规范化,发展势头良好,发行量逐年上升。作为一种投融资工具,公司债券受到了人们越来越多的关注。其中,对于投资者而言,他们最为关心的当然是投资公司债券的收益率问题,而收益率的高低则可以通过利差体现出来。本文通过研究我国公司债券利差的影响因素,确立了适合我国债券二级市场上公司债券利差的定价模型,从而为公司债券市场的参与者提供决策帮助。首先,在对国内外公司债券利差相关文献的分析基础上,本文根据信用风险定价理论和流动性溢价相关理论,提取出了影响公司债券利差的主要因素。其次,本文选取了沪深两市交易的公司债券为样本,分别从税收补偿、信用风险和流动性风险三方面,对利差的影响因素进行实证研究,这部分是本文的研究重点。其中,对信用风险的研究,本文从微观和宏观两个角度出发,梳理了债券本身情况、发债主体和宏观经济三方面的影响因素；而对流动性风险的研究,本文主要考虑了公司债券本身的特性和公司债券市场的特性两方面的因素。最后,本文利用结构模型与多因子线性回归模型,分别对信用风险与流动性风险的溢价情况进行了量化分析,得到了理论价差的结构,并对理论价差与实际价差进行差异分析。最后,本文根据研究结果对我国公司债券市场提出了若干建议。本文的创新之处在于,充分地利用日益完善有效的公司债券市场数据对价差进行了较为透彻的量化研究。不足之处在于,在选用莫顿模型进行信用风险溢价研究后,发现其仅能得到违约预期风险损失的溢价,而没有考量对风险厌恶的风险溢价,因而导致信用风险溢价在价差中占比过低,下一步可以考虑更为合理的信用风险量化模型。
[Abstract]:Corporate bonds as one of the important ways of financing, plays an important role in the financial market. In recent years, China's corporate bond market is gradually standardized, good momentum of development, the circulation increased year by year. As a financing tool, corporate bonds have attracted more and more attention. Among them, for investors of course, they are most concerned about is the rate of return of investment in corporate bonds, and the amount of rate of return can be reflected by the yield spreads.
In this paper, we studied the influencing factors of China's corporate bond spreads, establishes a pricing model suitable for China's bond market two corporate bond spreads, and corporate bond market participants provide help. First of all, based on analysis of domestic and international corporate bond spreads on the relevant literature, based on the credit risk pricing theory and flow premium theory, extracted the main factors influencing corporate bond spreads. Secondly, this paper selects the Shanghai and Shenzhen two city trading company bonds as samples, respectively from the tax compensation, credit risk and liquidity risk three aspects, conducts an empirical study on the influencing factors of interest, this part is the focus of this research. Among them, study on the credit risk, the two from the micro and macro perspective, summarizes the situation of the bond itself, issuers and macroeconomic factors in three aspects; and Research on the liquidity risk, the paper mainly consider two factors characteristic of corporate bond itself and the corporate bond market. Finally, the structure model and multi factor linear regression model, the premium of credit risk and liquidity risk are analyzed quantitatively, structure theory has been spread, and the the theory of spread and analyses the differences between the actual spread. Finally, according to the results of the research on the corporate bond market in China and puts forward some suggestions.
The innovation of this paper is to fully utilize the perfection of corporate bond market data to effectively spread the quantitative research more thoroughly. The disadvantage is that the research on credit risk premium in the selection of Modun model, which can only be found in breach of the expected risk premium, without consideration of the risk aversion risk premium so the credit risk premium in price in proportion is too low, the next step can be considered more reasonable credit risk model.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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