本文選題：信用利差　切入點(diǎn)：公司債　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2012年債券市場迅速擴(kuò)容,公司類信用債券的發(fā)展尤其令人矚目。然而,隨著發(fā)行人評級中樞的下移,違約風(fēng)險(xiǎn)隱現(xiàn)。信用利差作為信用債券收益率與無風(fēng)險(xiǎn)債券收益率的差,是度量信用債券相對風(fēng)險(xiǎn)的最佳指標(biāo)。 本文在指數(shù)和個(gè)券兩個(gè)層面來研究信用利差的影響因素,指數(shù)層面包括中國債券市場上AAA、AA+、AA和AA-四個(gè)信用級別,1年、3年、5年和7年四個(gè)期限,共16組數(shù)據(jù),個(gè)券層面包括從中國債券市場2007年公司債發(fā)行開始至2012年之前全部未到期共162只交易所公司債。通過時(shí)間序列分析和面板數(shù)據(jù)分析,研究表明,第一,利率因素是影響信用利差的重要因素,債券市場與股票市場之間存在避險(xiǎn)效應(yīng),當(dāng)股價(jià)波動(dòng)率上升時(shí),公司債信用利差下降；第二,投資者關(guān)注公司價(jià)值和公司資產(chǎn)結(jié)構(gòu),公司價(jià)值波動(dòng)越大、負(fù)債比率越高,信用價(jià)差越大。然而投資者將流動(dòng)比率理解為公司的經(jīng)營能力和產(chǎn)業(yè)鏈中的話語權(quán)的指標(biāo),因此出現(xiàn)流動(dòng)比率越低,信用利差越低的現(xiàn)象；第三,在中國債券市場無違約的特殊狀況下,投資者存在追捧低評級高收益?zhèn)默F(xiàn)象,換手率高與債券質(zhì)量并不掛鉤。 本文建議政府不再為公司違約兜底,改變中國債券市場“零違約”的扭曲狀態(tài)；逐步消除銀行間市場和交易所市場的分割狀態(tài),在充分監(jiān)管的狀態(tài)下準(zhǔn)許更多銀行機(jī)構(gòu)進(jìn)入交易所債券市場,從而提高交易所債券市場的活躍程度。
[Abstract]:In 2012, with the rapid expansion of the bond market, the development of corporate credit bonds was particularly remarkable. However, as the issuer's rating center moved down, default risk loomed. The credit spread was used as the difference between the credit bond yield and the risk-free bond yield. Is a measure of the relative risk of credit bonds the best indicator. This paper studies the influencing factors of credit spreads at the two levels of index and security. The index level includes four credit grades, one year, three years, five years and seven years, in China's bond market. There are 16 groups of data, and the index level includes four credit grades, one year, three years, five years and seven years. Through time series analysis and panel data analysis, the study shows that, first, The interest rate factor is an important factor affecting credit spreads. There is a risk-averse effect between the bond market and the stock market. When the stock price volatility increases, the corporate bond credit spreads decrease. Second, investors pay attention to the company value and the structure of corporate assets. The greater the fluctuation of company value, the higher the debt ratio and the greater the credit spread. However, the investors understand the liquidity ratio as the index of the company's management ability and the right to speak in the industrial chain, so the lower the current ratio, the lower the credit spread; Third, in the special situation of no default in China's bond market, investors have the phenomenon of pursuing low-rated high-yield bonds, and the high turnover rate is not related to the quality of bonds. This paper suggests that the government should stop covering corporate defaults and change the distorted state of "zero default" in China's bond market, and gradually eliminate the segmentation of the interbank market and the exchange market. To increase the activity of the exchange bond market by allowing more banks to enter the exchange bond market with adequate supervision.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1640552