| 中国公司债利差的构成及影响因素实证分析 |
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| 引用本文： | 王安兴,解文增,余文龙. 中国公司债利差的构成及影响因素实证分析[J]. 管理科学学报, 2012, 15(5): 32-41. DOI: 10.3969/j.issn.1007-9807.2012.05.004 |
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| 作者姓名： | 王安兴 解文增 余文龙 |
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| 作者单位： | 1.上海财经大学金融学院,上海200433;上海市金融信息化技术研究重点实验室,上海200433;2.复旦大学管理学院,上海,200433;3.上海财经大学金融学院,上海,200433 |
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| 基金项目： | 教育部科技创新工程重大项目培育资金资助项目,上海财经大学“211工程”3期重点学科建设资助项目 |
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| 摘 要： | 文章研究了公司债与国债的利差及利差变化的影响因素.研究发现税后利差在公司债市场初始阶段和金融危机时期为负.时间序列回归分析结果显示:公司债利差与无风险利率水平、利率期限结构斜率、公司杠杆比率的变化方向相反,而与股票收益波动率变化方向相同;公司债利差的变化主要受利率水平变化、换手率变化、零交易天数比率变化的影响,并且与他们的方向相反.横截面回归分析结果表明:信用评级越高、利差越小;剩余期限越长,利差也越小.
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| 关 键 词： | 信用利差 杠杆比率 波动率 NS模型 |
Empirical research on China's corporate bond yield spread |
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| WANG An-xing , XIE Wen-zeng , YU Wen-long. Empirical research on China's corporate bond yield spread[J]. Journal of Management Sciences in China, 2012, 15(5): 32-41. DOI: 10.3969/j.issn.1007-9807.2012.05.004 |
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| Authors: | WANG An-xing XIE Wen-zeng YU Wen-long |
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| Affiliation: | 1.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China; 2.School of Management,Fudan University,Shanghai 200433,China; 3.Shanghai Key Laboratory of Financial Information Technology,Shanghai 200433,China |
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| Abstract: | The paper investigates the yield spread between Chinese corporate bond and government bond.It is found that after-tax yield spread is negative during the subprime crisis and at the beginning of the China’s corporate bond markets.The yield spread is negatively correlated with the level of interest rates,the slope of term structure and corporate leverage,while positively correlated with equity volatility.The change of yield spread is negatively correlated with the change of the level of interest rate,turnover ratio,and zero-trading date ratio.Yield spread tends to be small when credit rating is high and bond maturity is long. |
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| Keywords: | credit spreads leverage volatility NS model |
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