基于投资者视角的中小企业债券风险溢价研究  

作　　者：吴庆念[1] 钱一鹤[2] 

机构地区：[1]浙江经济职业技术学院财会金融学院 [2]浙江大学经济学院

出　　处：《企业经济》2014年第12期167-171,共5页Enterprise Economy

基　　金：2013年浙江省软科学研究计划"发展科技型中小企业债券融资对策研究"(批准号批准号:2103C25126);浙江省教育厅科研项目"中小企业债券融资创新及其流动性研究"(批准号批准号:Y201327808)

摘　　要：以中小企业债券的风险溢价为主要研究对象象,通过对比持有期收益率和到期收益率,发现中小企业债券投资者的风险溢价要求并没有得到满足。同时,构造了5个主要的风险因子,并用这些风险因子对风险溢价进行回归。结果显示,其中4个风险因子对风险溢价的影响是显著的,而流动性风险因子变化的影响不显著,源于代理变量的构造过程。分析认为为,投资者对中小企业债券的中长期信用风险最为敏感。在此基础上提出了相应政策建议,以缩小投资者现实收益和期望收益的差距。This paper uses the small and medium-sized enterprise bond risk premiums as the main research objects, by comparing the holding period yield and the yield to maturity, and finds that the risk premiums for bond investors in small and medium - sized enterprises have not been met. We construct five major risk factors to reunify the risk premiums. The results show that the influence of four risk factors on the risk premiums is significant, the impact on liquidity risk factor change is not significant due to the construction process of proxy variables. This paper explains that investors are the most sensitive to the mid - and long - term credit risk of the bonds of small and medium - sized enterprises, and puts forward the corresponding policy recommendations, in order to reduce the gap between investors＇ real incomes and expected incomes.

关 键 词：中小企业债券 风险溢价 到期收益率 持有期收益率 

分 类 号：F830.91[经济管理—金融学] F224.9