本文選題：公司債　切入點：信用價差　出處：《華僑大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：公司債因其低融資成本的優(yōu)勢已經(jīng)成為直接融資的一個重要方式,它的風(fēng)險中性以及收益穩(wěn)定性備受機構(gòu)投資者的青睞。而信用價差則是公司債的定價基礎(chǔ),能有效的衡量公司債的相對價值和風(fēng)險收益水平。基于我國公司債發(fā)行實情,受其發(fā)行時間晚、早期發(fā)行數(shù)量少等因素的影響,國內(nèi)關(guān)于公司債信用價差的研究相對較少,信用風(fēng)險的度量和控制技術(shù)相對滯后。因此,在借鑒國外成熟債券市場研究成果的基礎(chǔ)上,結(jié)合我國公司債市場的特點來研究公司債信用價差影響因素,對公司債的定價以及信用風(fēng)險的控制至關(guān)重要。本文結(jié)合中國公司債券市場發(fā)展實際,從“信用價差之謎”出發(fā),以信用價差分解理論為基礎(chǔ),從違約風(fēng)險、流動性風(fēng)險、宏觀經(jīng)濟指標(biāo)以及市場風(fēng)險四方面來研究公司債券信用價差。通過層層篩選,最終從滬深交易所選取91支樣本公司債券,截取2013年1月至2015年12月36個月度交易數(shù)據(jù)。在實證分析部分,為了研究違約風(fēng)險、流動性風(fēng)險、宏觀經(jīng)濟指標(biāo)以及市場風(fēng)險對公司債券信用價差的影響,本文使用面板數(shù)據(jù)分析方法,經(jīng)過兩個步驟的模型篩選,最終選定固定效應(yīng)模型來進行分析。同時對樣本數(shù)據(jù)從行業(yè)、期限和信用等級三個維度進行分組來研究各因素對信用價差的影響程度。在對樣本進行整體和分組面板數(shù)據(jù)固定效應(yīng)模型分析后,利用固定效應(yīng)變換法對各因素進行分位數(shù)回歸分析,從各個分位點上更為細致深入的分析各因素對信用價差的影響過程。由實證分析結(jié)果可得到如下結(jié)論:(1)在固定效應(yīng)模型分析中,假設(shè)1H、2H、4H、5H、6H、7H、8H均得到了實證數(shù)據(jù)結(jié)果支持,其中假設(shè)2H中杠桿比率與信用價差顯著負相關(guān),這與Merton模型預(yù)期不一樣。假設(shè)3H中流動性指標(biāo)換手率和零交易天數(shù)比率與信用價差顯著正相關(guān),這與預(yù)期假設(shè)相反,而非流動性指標(biāo)Amihud與信用價差相關(guān)性不顯著。(2)在樣本分組回歸結(jié)果中發(fā)現(xiàn),不同行業(yè)、不同期限和不同信用等級信用價差的影響因素有差異。(3)在分位數(shù)回歸分析中,發(fā)現(xiàn)有些因素在整體回歸中與信用價差顯著相關(guān),但在分位數(shù)回歸中這些因素并非在所有分位點上都與價差相關(guān)性顯著。同時除無風(fēng)險利率和杠桿比率外,其他變量與信用價差之間的關(guān)系與整體回歸模型中一致,說明這些變量對公司債信用價差的影響是穩(wěn)健的。
[Abstract]:Corporate debt has become an important way of direct financing because of its advantages of low financing cost. Its risk neutrality and income stability are favored by institutional investors. Credit spreads are the pricing basis of corporate bonds. The relative value and risk return level of corporate bonds can be effectively measured. Based on the fact of corporate bond issuance in China, due to the factors such as late issuance time and low amount of early issuance, the domestic research on credit spreads of corporate bonds is relatively rare. The measurement and control technology of credit risk is lagging behind. Therefore, based on the research results of foreign mature bond market and the characteristics of our country's corporate bond market, this paper studies the influencing factors of corporate bond credit spread. The pricing of corporate bonds and the control of credit risk are very important. This paper, based on the theory of credit spread decomposition, combines with the development of Chinese corporate bond market, starts from the "mystery of credit spread", from default risk, liquidity risk, etc. Macroeconomic indicators and market risks are four aspects to study the credit spreads of corporate bonds. Through layers of screening, 91 sample corporate bonds are selected from the Shanghai and Shenzhen Stock Exchange. From January 2013 to December 2015, 36 monthly trading data were intercepted. In the empirical analysis, the effects of default risk, liquidity risk, macroeconomic indicators and market risk on the credit spreads of corporate bonds were studied. This paper uses panel data analysis method, after two steps of model screening, finally select a fixed effect model to analyze. At the same time, the sample data from the industry, Three dimensions of duration and credit rating were grouped to study the impact of various factors on credit spreads. The quantile regression analysis of each factor was carried out by using the fixed effect transformation method. The effects of various factors on credit spreads are analyzed more carefully and deeply from each locus. From the empirical results, the following conclusions can be drawn: 1) in the fixed effect model analysis, we assume that 1H ~ (2) H ~ (2) H ~ (2) H ~ (4) H ~ (5) H ~ (5) H ~ (6) H ~ (6) H ~ (6) H ~ (7) H ~ (8) H is supported by the empirical data. It is assumed that the leverage ratio in 2H is significantly negatively correlated with the credit spread, which is different from the Merton model. Assuming that the liquidity index turnover rate and the zero trading days ratio in 3H are significantly positively correlated with the credit spread, this is contrary to the expected assumption. However, the correlation between Amihud and credit spread was not significant. (2) in the sample grouping regression results, there were differences in the influencing factors of credit spreads between different industries, different periods and different credit grades. 3) in the quantile regression analysis, there were significant differences in the credit spreads between different industries, different periods and different credit grades. It was found that some factors were significantly correlated with credit spreads in overall regression, but not at all loci in quantile regression. In addition to risk-free interest rates and leverage ratios, The relationship between other variables and credit spreads is consistent with the overall regression model, which shows that the influence of these variables on corporate bond credit spreads is robust.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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