發(fā)布時(shí)間：2018-01-01 08:39

  本文關(guān)鍵詞：公司債券C-T收益價(jià)差實(shí)證分析　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： C-T收益價(jià)差 公司債券 信用風(fēng)險(xiǎn)溢價(jià) 流動(dòng)性風(fēng)險(xiǎn)溢價(jià)

【摘要】：公司債券作為企業(yè)融資的重要途徑之一,在金融市場中扮演著重要的角色。近年來,我國公司債券市場正逐步規(guī)范化,發(fā)展勢頭良好,發(fā)行量逐年上升。作為一種投融資工具,公司債券受到了人們越來越多的關(guān)注。其中,對于投資者而言,他們最為關(guān)心的當(dāng)然是投資公司債券的收益率問題,而收益率的高低則可以通過利差體現(xiàn)出來。 本文通過研究我國公司債券利差的影響因素,確立了適合我國債券二級市場上公司債券利差的定價(jià)模型,從而為公司債券市場的參與者提供決策幫助。首先,在對國內(nèi)外公司債券利差相關(guān)文獻(xiàn)的分析基礎(chǔ)上,本文根據(jù)信用風(fēng)險(xiǎn)定價(jià)理論和流動(dòng)性溢價(jià)相關(guān)理論,提取出了影響公司債券利差的主要因素。其次,本文選取了滬深兩市交易的公司債券為樣本,分別從稅收補(bǔ)償、信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)三方面,對利差的影響因素進(jìn)行實(shí)證研究,這部分是本文的研究重點(diǎn)。其中,對信用風(fēng)險(xiǎn)的研究,本文從微觀和宏觀兩個(gè)角度出發(fā),梳理了債券本身情況、發(fā)債主體和宏觀經(jīng)濟(jì)三方面的影響因素；而對流動(dòng)性風(fēng)險(xiǎn)的研究,本文主要考慮了公司債券本身的特性和公司債券市場的特性兩方面的因素。最后,本文利用結(jié)構(gòu)模型與多因子線性回歸模型,分別對信用風(fēng)險(xiǎn)與流動(dòng)性風(fēng)險(xiǎn)的溢價(jià)情況進(jìn)行了量化分析,得到了理論價(jià)差的結(jié)構(gòu),并對理論價(jià)差與實(shí)際價(jià)差進(jìn)行差異分析。最后,本文根據(jù)研究結(jié)果對我國公司債券市場提出了若干建議。 本文的創(chuàng)新之處在于,充分地利用日益完善有效的公司債券市場數(shù)據(jù)對價(jià)差進(jìn)行了較為透徹的量化研究。不足之處在于,在選用莫頓模型進(jìn)行信用風(fēng)險(xiǎn)溢價(jià)研究后,發(fā)現(xiàn)其僅能得到違約預(yù)期風(fēng)險(xiǎn)損失的溢價(jià),而沒有考量對風(fēng)險(xiǎn)厭惡的風(fēng)險(xiǎn)溢價(jià),因而導(dǎo)致信用風(fēng)險(xiǎn)溢價(jià)在價(jià)差中占比過低,下一步可以考慮更為合理的信用風(fēng)險(xiǎn)量化模型。
[Abstract]:Corporate bonds as one of the important ways of financing, plays an important role in the financial market. In recent years, China's corporate bond market is gradually standardized, good momentum of development, the circulation increased year by year. As a financing tool, corporate bonds have attracted more and more attention. Among them, for investors of course, they are most concerned about is the rate of return of investment in corporate bonds, and the amount of rate of return can be reflected by the yield spreads.
In this paper, we studied the influencing factors of China's corporate bond spreads, establishes a pricing model suitable for China's bond market two corporate bond spreads, and corporate bond market participants provide help. First of all, based on analysis of domestic and international corporate bond spreads on the relevant literature, based on the credit risk pricing theory and flow premium theory, extracted the main factors influencing corporate bond spreads. Secondly, this paper selects the Shanghai and Shenzhen two city trading company bonds as samples, respectively from the tax compensation, credit risk and liquidity risk three aspects, conducts an empirical study on the influencing factors of interest, this part is the focus of this research. Among them, study on the credit risk, the two from the micro and macro perspective, summarizes the situation of the bond itself, issuers and macroeconomic factors in three aspects; and Research on the liquidity risk, the paper mainly consider two factors characteristic of corporate bond itself and the corporate bond market. Finally, the structure model and multi factor linear regression model, the premium of credit risk and liquidity risk are analyzed quantitatively, structure theory has been spread, and the the theory of spread and analyses the differences between the actual spread. Finally, according to the results of the research on the corporate bond market in China and puts forward some suggestions.
The innovation of this paper is to fully utilize the perfection of corporate bond market data to effectively spread the quantitative research more thoroughly. The disadvantage is that the research on credit risk premium in the selection of Modun model, which can only be found in breach of the expected risk premium, without consideration of the risk aversion risk premium so the credit risk premium in price in proportion is too low, the next step can be considered more reasonable credit risk model.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F275;F832.51;F224

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本文編號：1363768