公司个体特征、经济状态变量与公司债利差  

Firm Specific Factors, Economic State Variables and Corporate Bond Yield Spreads

作　　者：解文增[1] 王安兴[2] 

机构地区：[1]复旦大学管理学院 [2]上海财经大学金融学院

出　　处：《投资研究》2014年第1期86-104,共19页Review of Investment Studies

基　　金：教育部科技创新工程重大项目培育资金项目资助(708040);上海财经大学"211工程"三期重点学科建设项目资助

摘　　要：本文实证研究了公司个体特征和宏观经济变量对公司债利差的影响。结果发现公司债利差与杠杆比率、资产回报率、公司债的换手率和零交易天数比率以及利率曲线斜率显著正相关,而与公司资产规模和利率水平显著负相关;高信用等级公司债利差与上证综合指数收益波动率显著负相关,而低信用等级公司债利差与股票超额收益波动率显著正相关;实际消费增速上升,公司债利差倾向下降。货币供给增速和物价水平上升倾向导致公司债利差下降。The paper studies the influence of firm specific factors and economic state variables on credit spreads. The empirical results show that Credit spreads is significantly positive with market leverage ratio, return on assets, Treasury bond yield slope, turnover and zero-ratio of corporate bond and significantly negative correlated with assets and lyear Treasury bond yields. Yield spreads for high credit rating is significantly negative with index volatility while low credit rating corporate bond spreads is positively correlated with excess stock returns volatility. Lastly but important, Yield spreads tend to go down when the real consumption growth rises. A rise in the money supply growth rate and inflation tend to yield spreads decline.

关 键 词：公司债利差 结构化模型 会计信息 宏观经济 

分 类 号：F832.51[经济管理—金融学] F275F224