【摘要】：近年來(lái),中國(guó)信用債券市場(chǎng)快速發(fā)展,在債券市場(chǎng)中的比重日漸提高。雖然債券市場(chǎng)尚未發(fā)生實(shí)際違約事件,但也出現(xiàn)了一系列違約信號(hào),隨著債券市場(chǎng)的日趨成熟,債券違約必將成為現(xiàn)實(shí)。信用風(fēng)險(xiǎn)與發(fā)債公司整個(gè)經(jīng)營(yíng)過(guò)程中每個(gè)環(huán)節(jié)的流動(dòng)性息息相關(guān),因此對(duì)債券主體的信用風(fēng)險(xiǎn)與流動(dòng)性進(jìn)行研究,對(duì)于投資者及時(shí)進(jìn)行風(fēng)險(xiǎn)管理具有十分重要的意義。 一般認(rèn)為持有較多現(xiàn)金的公司更安全,且其信用利差更低。然而一些公司的流動(dòng)性與信用風(fēng)險(xiǎn)卻表現(xiàn)出正相關(guān)關(guān)系,這該如何與“更多現(xiàn)金更安全”的經(jīng)濟(jì)學(xué)常理共存呢?針對(duì)這一現(xiàn)象,本文使用保存現(xiàn)金的預(yù)防性動(dòng)機(jī)來(lái)解釋,并建立了一個(gè)模型說(shuō)明現(xiàn)金持有與信用利差之間如何產(chǎn)生正相關(guān)關(guān)系和負(fù)相關(guān)關(guān)系,最后對(duì)信用風(fēng)險(xiǎn)的另一個(gè)重要方面—違約概率進(jìn)行研究,結(jié)果發(fā)現(xiàn)較高的現(xiàn)金持有減少了短期違約概率,增加了長(zhǎng)期違約率概率。 實(shí)證分析中以發(fā)行債券的上市公司為研究對(duì)象,使用杠桿系數(shù)、波動(dòng)性、債務(wù)到期時(shí)間及公司財(cái)務(wù)數(shù)據(jù)作為控制變量,運(yùn)用IV回歸解決現(xiàn)金持有的內(nèi)生性問(wèn)題,結(jié)果表明流動(dòng)性資產(chǎn)持有與債券利差顯著負(fù)相關(guān),而在OLS回歸中利差和流動(dòng)性呈正相關(guān)關(guān)系；流動(dòng)性與預(yù)期違約率在短期內(nèi)負(fù)相關(guān),長(zhǎng)期內(nèi)正相關(guān)。實(shí)證分析證明了理論部分的預(yù)測(cè),指出了預(yù)防性的現(xiàn)金持有主要是意識(shí)到了在面臨信用風(fēng)險(xiǎn)時(shí)現(xiàn)金的重大作用。 該分析表明,在信用風(fēng)險(xiǎn)的研究中應(yīng)該更加關(guān)注一些視為固定的因素的內(nèi)生性作用。另外基于本文對(duì)債券信用風(fēng)險(xiǎn)與現(xiàn)金持有間關(guān)系的討論,使得投資者在對(duì)債券市場(chǎng)進(jìn)行投資時(shí),應(yīng)該更加關(guān)注公司層面的信息,而不僅僅關(guān)注宏觀經(jīng)濟(jì)方面的因素,另外尤其應(yīng)當(dāng)關(guān)注公司的現(xiàn)金持有對(duì)其信用風(fēng)險(xiǎn)的影響。
[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.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F275;F832.51

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本文編號(hào)：2163482