现金持有、信用等级、债券利差  

Cash Holding,Credit Rating and the Spreads of Corporate Bonds

作　　者：刘妍[1] 吴玲玉 宫长亮 LIU Yan;WU Ling-yu;GONG Chang-liang(Dongbei University of Finance and Economic,Dalian 116023,China;Bank of DALIAN,Dalian 116025,China)

机构地区：[1]东北财经大学金融学院,辽宁大连116023 [2]大连银行风险管理部,辽宁大连116025

出　　处：《系统工程》2018年第9期41-50,共10页Systems Engineering

摘　　要：近年来,国内债券市场违约事件频发,引发投资者对于未来债券市场的担忧。本文以2012～2016年沪深两市发行上市的公司债为研究对象,采取了货币资金与(总资产-货币资金)比值和营运资本与(总资产-营运资本)比值度量企业现金资产和流动性资产水平,结合中国债券市场的发展特点,运用双向固定效应回归模型,进行了现金持有、信用等级、债券利差三者之间关系的实证分析。结果表明:第一,现金持有对公司债券利差的影响与信贷周期关系紧密;第二,发债主体信用评级越高,现金持有水平的提高越能显著降低公司债券利差。In recent years,the frequent occurrence of defaults in domestic bond market has aroused investors’concern about the future bond market.This paper takes the corporate bonds listed in Shanghai and Shenzhen for 2012-2016years as the research object,and adopts the index of monetary capital/(total assets-monetary capital),working capital/(total assets-working capital)to measure the level of cash assets and liquid assets of enterprises.Combined with the development characteristics of China’s bond market,this paper uses the two-way fixed effect regression model to analyze cash holdings,credit rating and bond spreads.The results show that:first of all,the impact of cash holdings on corporate bond spreads is closely related to the credit cycle.Secondly,the higher the credit rating of issuers,the better the cash-holding level can reduce the spreads of corporate bonds significantly.

关 键 词：公司债券 债券利差 信用等级 现金持有 

分 类 号：F832[经济管理—金融学]