公司債券利差影響因素的實證研究
發(fā)布時間：2019-04-18 14:46
【摘要】：資本市場發(fā)展迅猛的今天,如何利用資本市場壯大公司規(guī)模和提升公司價值成為了國內公司的一項重要課題。公司債券作為直接融資的一種重要方式,在債券市場上的地位日益彰顯。由于在發(fā)行制度和發(fā)行方式上受市場影響因素較大,公司債券利差作為衡量債券風險和價值的重要指標越來越受到國內外學者的關注。 本文首先對中外學者關于利差影響因素研究的文獻進行了回顧,從宏觀和微觀兩個角度分析了影響利差的重要因素,認為宏觀因素中包括利率因素和經(jīng)濟周期變化對利差影響較大,而微觀因素中公司價值、流動性以及其他一些債券本身的性質對利差也都有較大影響。 在對公司債券利差進行實證研究前,本文首先對利差進行了測算。由于我國國債到期收益率曲線期限結構的不完整,無法找到任意期限下的到期收益率與公司債券匹配,因此,本文利用了Nelson-Siegel模型對我國國債到期收益率曲線進行了擬合。擬合結果顯示,該模型對我國國債到期收益率曲線擬合效果較好,平均擬合度達到0.9030。 根據(jù)擬合得到的國債到期收益率曲線,本文將18只樣本公司債券2009年2月到2012年11月間每月最后一個交易日的到期收益率在期限結構一致的條件下與之相減,得到實證檢驗所需的公司債券利差。在通過對樣本公司債券的面板數(shù)據(jù)進行實證檢驗后發(fā)現(xiàn),無風險利率、收益率斜率、股票指數(shù)收益率、信用等級以及剩余期限等與利差都為負相關,公司的杠桿比率與利差關系為正,合同中的回售條款與利差相關性為正但并不穩(wěn)健。另外,股票市場波動率指標和發(fā)行規(guī)模與利差關系不顯著,代表流動性因素的換手率雖然影響顯著但方向相反。最后,根據(jù)實證結果本文提出了一些政策建議,對未來公司債券市場的發(fā)展具有一定的指導和借鑒意義。
[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.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：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.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275
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