本文選題：企業(yè)債　切入點(diǎn)：信用價(jià)差　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：在金融市場(chǎng)中,企業(yè)債扮演著融資和資本配置媒介等重要職能。近年來(lái)我國(guó)債券市場(chǎng)發(fā)展迅速,但是相比較于國(guó)債和金融債的飛速發(fā)展,企業(yè)債始終止步不前。究其原因,企業(yè)債除了面臨利率風(fēng)險(xiǎn)外,還面臨信用風(fēng)險(xiǎn)。在二級(jí)市場(chǎng)上,通�？梢杂眯庞脙r(jià)差來(lái)代替企業(yè)債的信用風(fēng)險(xiǎn)。那么,企業(yè)債信用價(jià)差的影響因素包括哪些呢?在這些影響因素中,又有哪些因素是顯著性影響因素呢?最后,這些影響因素究竟是通過(guò)何種路徑和機(jī)制作用于信用價(jià)差呢?本文將對(duì)此展開(kāi)研究。 本文首先從理論模型出發(fā),闡述了信用價(jià)差決定理論中的結(jié)構(gòu)化模型、簡(jiǎn)化模型和混合模型,并從中得出企業(yè)債券信用價(jià)差的影響因素；緊接著,本文結(jié)合國(guó)內(nèi)外關(guān)于信用價(jià)差影響因素的實(shí)證研究出發(fā),進(jìn)一步發(fā)掘出利率期限結(jié)構(gòu)和債券評(píng)級(jí)等影響因素,并從宏觀經(jīng)濟(jì)層面、企業(yè)債發(fā)行主體自身狀況因素和企業(yè)債自身特征因素這三個(gè)層面,對(duì)我國(guó)企業(yè)債信用價(jià)差的影響因素進(jìn)行了系統(tǒng)歸類(lèi)；之后,本文以我國(guó)85家上市公司發(fā)行的企業(yè)債的相關(guān)數(shù)據(jù)信息為基礎(chǔ),采用多元線性回歸和相關(guān)性分析法考察了上述三個(gè)層面的因素對(duì)我國(guó)企業(yè)債券信用價(jià)差的影響,并得出了以下結(jié)論： (1)在宏觀經(jīng)濟(jì)因素層面,無(wú)風(fēng)險(xiǎn)利率和匯率與企業(yè)債信用價(jià)差負(fù)相關(guān)；在發(fā)債主體自身狀況因素層面,企業(yè)的盈利能力和償債能力與企業(yè)債的信用價(jià)差顯著相關(guān),企業(yè)的盈利能力和償債能力越強(qiáng),則企業(yè)債的信用價(jià)差越��；在企業(yè)債自身特征因素層面,發(fā)債企業(yè)的信用評(píng)級(jí)是影響企業(yè)債信用價(jià)差的關(guān)鍵因素,發(fā)債企業(yè)的信用評(píng)級(jí)越高,相應(yīng)的企業(yè)債的信用價(jià)差越小。 (2)股票價(jià)格波動(dòng)率因?yàn)槠鋵?duì)信用價(jià)差的解釋力度不大而被剔除出最終的回歸模型,與發(fā)債企業(yè)所處行業(yè)和發(fā)債企業(yè)的主體性質(zhì)相關(guān)的指標(biāo)也均被排除在了回歸模型之外。 (3)作用機(jī)制分析顯示,上述影響因素都是通過(guò)作用于企業(yè)債違約概率或者企業(yè)債市場(chǎng)的供需而影響企業(yè)債的信用價(jià)差。
[Abstract]:In the financial market, corporate bonds play an important role in financing and capital allocation. In recent years, China's bond market has developed rapidly, but compared with the rapid development of national debt and financial debt, corporate bonds have been stagnant. In the secondary market, the credit spread can be used to replace the credit risk of corporate debt. Among these factors, what are the significant factors? Finally, through what path and mechanism do these factors affect credit spreads? This article will carry out the research to this. In this paper, the structural model, simplified model and mixed model of the credit spread decision theory are expounded from the theoretical model, and the influencing factors of the corporate bond credit spread are obtained. Based on the empirical research on the factors affecting credit spreads at home and abroad, this paper explores the influence factors such as the term structure of interest rates and bond ratings, and from the macroeconomic level, This paper systematically classifies the factors affecting the credit spreads of corporate bonds in China from the three aspects of the main body of corporate debt issuance and the characteristics of corporate bonds. After that, the factors affecting the credit spreads of corporate bonds in China are systematically classified. Based on the relevant data of corporate bonds issued by 85 listed companies in China, this paper uses multiple linear regression and correlation analysis to investigate the influence of the above three factors on the credit spreads of corporate bonds in China. The conclusions are as follows:. At the level of macroeconomic factors, the risk-free interest rate and exchange rate are negatively correlated with the credit spreads of corporate bonds, and the profitability and solvency of enterprises are significantly related to the credit spreads of corporate bonds. The stronger the profitability and solvency of enterprises, the smaller the credit spread of corporate bonds, and the higher the credit rating of bond issuing enterprises, the more the credit rating of bond issuing enterprises is the key factor affecting the credit spreads of corporate bonds. The credit spread of the corresponding corporate debt is smaller. 2) the stock price volatility is eliminated from the final regression model because of its weak explanation of credit spreads, and the indexes related to the industry and the main nature of the bond issuing enterprises are also excluded from the regression model. 3) the analysis of the action mechanism shows that the above factors affect the credit spread of the enterprise debt by acting on the probability of default or the supply and demand of the enterprise bond market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F275

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 王麗芳;劉興革;;我國(guó)企業(yè)債券信用價(jià)差分析[J];學(xué)術(shù)交流;2007年06期

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本文編號(hào)：1626371