固定收益债券信用等级迁移的影响因素分析:基于财务指标的实证研究  

An Empirical Study on the Financial Indicators of Credit Rating Transitions for Corporate Bonds with Fixed-income

作　　者：孙克[1,2] 蒋岳祥[2] 

机构地区：[1]嘉兴学院商学院,浙江嘉兴314001 [2]浙江大学经济学院,浙江杭州310027

出　　处：《浙江大学学报（人文社会科学版）》2014年第5期188-200,共13页Journal of Zhejiang University:Humanities and Social Sciences

基　　金：浙江省自然科学基金项目(LQ12G01003);浙江省访问学者专业发展项目(FX2013106)

摘　　要：固定收益债券的信用等级迁移问题日益引起投资者和监管者的关注,预测信用等级迁移需要找到关键指标。财务数据对企业未来业绩具有显著影响,可以反映运营企业的信用质量。当前信用等级发生迁移债券存在发行期限集中、行业特征明显、发债目的差异化等特点,通过构建Logistic模型对影响债券信用等级迁移的财务指标进行实证分析发现:偿债能力和盈利能力都对企业债的信用等级迁移具有显著影响,但是信用升级和信用降级分别对不同的财务指标敏感。发债企业要想提高债券信用等级,需提高盈利能力;投资者要想降低信用风险,应考虑减少甚至剔除投资组合中偿债能力发生显著负面变化的债券;监管者要想对发债企业进行更有效监管,需关注偿债能力指标以及主营业务利润率的变化。In recent years, China＇s bond market has achieved rapid development. At the same time, with the robust increase of bond offering, especially the growing offering of bonds without credit guarantee, the credit rating of corporate bonds changes at times and the downgrading of some corporate bonds did result in certain negative disturbance in the financial market. For this reason, more and more investors＇ and supervisors＇ attention has been focused on the credit risk of corporate bonds and the transitions of credit rating. How to predict the migration of credit rating is a central concern of investors and supervisors, and the most important point here is to find out the key indicators for such prediction. Current financial information may indicate the creditworthiness of an on-going firm because of its significant influence on the future performance of a firm. Current literature mainly focuses on foreign bond markets but in China, little discussion can be found in this aspect, not to mention systematic research. There are many differences between foreign bond markets and domestic bond markets, so whether the existing research conclusions based on foreign bond markets can be applied to Chinese markets deserves deep exploration.

关 键 词：固定收益债券 信用等级迁移 LOGISTIC模型 盈利能力 偿债能力 

分 类 号：F275[经济管理—企业管理] F224[经济管理—国民经济]