本文選題：公司債券　切入點：信用利差　出處：《山東大學》2017年碩士論文　論文類型：學位論文

【摘要】：我國公司債券自2007年問世以來,發(fā)展勢頭迅猛。相關部門對于公司債券的政策也逐步放開,公司債券無論在融資規(guī)模還是發(fā)行數(shù)量上,都在我國債券市場占有不容忽視的分量。特別是2015年中國證券監(jiān)督管理委員會《公司債券發(fā)行與交易管理辦法》的出臺,公司債的債券發(fā)行人由上市公司擴展到公司制法人,同時其發(fā)行方式、發(fā)行期限、流通場所等得到了全面的放松和擴容。自2015年7月起,一級市場的發(fā)行情況堪稱火爆,2015年、2016年發(fā)行數(shù)量同比增幅均超過100%,發(fā)行規(guī)模(募集資金規(guī)模)均超過600%。但伴隨著公司債券市場的發(fā)展,債券到期兌付高潮隨之而來,債券違約頻發(fā)、信用評級虛高等相關信用風險問題也浮出水面,逐漸進入社會各界的視野。在這樣一個大背景下,本文對我國公司債券信用利差的影響因素進行研究。本文首先對信用風險度量模型的研究歷史進行了梳理,按照發(fā)展分為古典信用分類技術、多變量信用風險判別模型、現(xiàn)代信用風險判別模型,隨后梳理了在信用利差影響因素方面國內外的研究現(xiàn)狀。進而總結出本文的理論基礎,基于多變量信用風險判別模型,結合美國Altman博士 Z值線性回歸模型的線性回歸方法,全面考慮宏觀經濟環(huán)境層面的影響因素、微觀發(fā)債企業(yè)層面的影響因素及單只債券發(fā)行層面的影響因素三個層面中多個變量指標的影響來估計債券的信用利差。然后在介紹我國公司債券的發(fā)展及信用利差走勢的基礎上,結合前人的研究成果,對信用利差可能的影響因素及作用機理,按照宏觀經濟環(huán)境層面的影響因素、微觀發(fā)債企業(yè)層面的影響因素及單只債券發(fā)行層面三個維度進行指標選取。理論分析后,構建多元線性回歸模型,將理論分析的相關變量,納入實證模型,選取2008-2016年在滬深證券交易所公開發(fā)行的公司債券作為研究的原始樣本,剔除極端評級和相關財務數(shù)據(jù)不可得個券,采用多元線性回歸的方式對樣本進行回歸,回歸結果表明對于2008-2016年間滬深兩市公開發(fā)行的公司債券,宏觀經濟環(huán)境維度的存款準備金率、無風險收益率,微觀發(fā)債企業(yè)層面的公司屬性、行業(yè)、總資產回報率,單只債券發(fā)行層面的利率類型、發(fā)行額度、債券評級等因素,對于公司債券發(fā)行時的信用利差有顯著影響。而后又將樣本債券按照信用評級進行分組,進行穩(wěn)健性檢驗和對比分析,回歸結果表明,不同信用評級債券信用利差的影響因素也略有不同,但總的來說都覆蓋了宏觀、微觀、單只三大層面的影響因素。最顯著的共同點是公司屬性(國有或非國有)對所有評級債券的信用利差都有顯著影響,國有企業(yè)比非國有企業(yè)更容易取得較低的信用利差。
[Abstract]:China's corporate bonds since 2007, the momentum of rapid development. The relevant departments for corporate debt policy is gradually liberalized, both in the corporate bond financing scale or the number of issued, all can not be ignored in the component of China's bond market. Especially in 2015 China Securities Regulatory Commission management approach of corporate bond issuance and trading. "Corporate bonds issued bonds issued by listed companies to expand the corporate legal system at the same time, the issue of the way, issued for a period, circulation places have been fully relaxed and expansion. Since July 2015, issued in the primary market is hot in 2015, 2016, the number of issued an increase of more than 100%, issue size (the size of funds raised more than 600%.) but with the development of the corporate bond market, bond maturity payment climax followed, bond defaults occur frequently, unreasonably high credit rating The related credit risk problem has surfaced, gradually entering the community view. In such a background, to study the influential factors on the credit spread of our company. Firstly, the research history of credit risk measurement models are summarized, according to development is divided into classical credit classification technology, multi variable credit the risk model of modern credit risk model, then analyzes the research status of influence factors in the credit spreads at home and abroad. Then summarize the theoretical basis of this paper, multivariate discriminant model based on credit risk, with the United States Altman, Z value linear regression model regression method, considering the factors influencing the level of macro economic environment overall, the impact of a number of variables in the three dimensions of corporate bonds influence the micro level factors influencing factors and single bond issuance level to estimate Considering the credit spreads of bonds. Then based on the development of China's corporate bond and credit spreads, combined with previous research results, and effects of the factors affecting the credit spread possible mechanism, in accordance with the influence factors of macro economic environment, micro impact of the three dimensions of corporate bonds and single bond issuance level factors to select the evaluation index. After theoretical analysis, construct multiple linear regression model, the related variables of theoretical analysis, the empirical model, selected 2008-2016 years in Shanghai and Shenzhen Stock Exchange publicly issued corporate bonds as the original sample, excluding extreme ratings and related financial data can not have a ticket, using multiple linear regression method to sample by regression, the regression results show that for 2008-2016 years the Shanghai and Shenzhen two city public issuance of corporate bonds, the macroeconomic environment dimension of the deposit reserve 鐜，

本文編號：1585197