基于水平和风险双重效应的公司债券流动性溢价研究  

Liquidity Premium of Corporate Bond Based upn Liquidity Level and Liquidity Risk

作　　者：闵晓平[1] 罗华兴[2] 

机构地区：[1]北京交通大学中国产业安全研究中心博士后科研工作站,北京100044 [2]江西财经大学金融学院,江西南昌330013

出　　处：《证券市场导报》2016年第6期27-32,47,共7页Securities Market Herald

基　　金：国家自然科学基金<基于水平和风险双重效应的公司债券流动性溢价研究>(项目批准号:71161012)资助

摘　　要：基于Fama-French股票三因子和债券两因子的线性多因子定价模型,用Fama-Mac Beth方法对公司债流动性溢价进行了分析。结果表明,除违约溢价和期限溢价外,公司债收益内含流动性水平及其风险也导致流动性溢价。在正常时期,流动性风险导致的溢价较小,但在流动性和/或信用危机期间,流动性风险会引致违约溢价,信用风险也会引致流动性溢价。流动性效应和违约效应之间存在正反馈环。Basing on linear multifactor pricing model that considers both Fama-French stock three factor and bond two factor conditions, Fama-MacBeth method is used to analyze the corporate bond market liquidity premium. Studies show that in addition to the default premium and term premium, the corporate bond yields incorporate liquidity premium induced by liquidity level and liquidity risk. In normal time, liquidity premium induced by liquidity risk is smaller. But during liquidity and/or credit crisis, credit risk can lead to liquidity premium and liquidity risk will lead to default premium. There is a positive feedback loop between liquidity effects and default effects.

关 键 词：公司债券 流动性溢价 违约溢价 

分 类 号：F830.9[经济管理—金融学]