中国公司债价差的影响因素分析  

Analysis of the Factors Affecting the Credit Spreads of Chinese Corporate Bonds

作　　者：王晓彦[1] 方胜[2] 胡德宝[3] Wang Xiaoyan Fang Sheng Hu Debao(Suzhou University of Scinece and Technology, Suzhou 215009, China 1ndustrial and Commercial Bank of China, Beijing 100032, China Renmin University, Beijing 100872, China)

机构地区：[1]苏州科技大学,苏州215009 [2]中国工商银行总行,北京100032 [3]中国人民大学,北京100872

出　　处：《金融理论探索》2017年第2期3-9,共7页Exploration of Financial Theory

基　　金：教育部人文社会科学重点研究基地重大项目(11JJD790009)

摘　　要：影响我国公司债券收益率价差的因素包括宏观、微观和资本市场因素三大类。通过建立实证模型,选取89只公司债到期收益率利差的横截面数据,对我国公司债券收益率利差相关的影响因素进行实证研究,结果表明,剩余到期时间、评级及主体总资产回报率与收益率价差显著相关。换手率、担保情况、资产负债率及资产周转率与收益率价差没有显著的相关关系。据此,提出了推动市场化改革、完善信用评级制度、提升信息披露质量等政策建议。Reasons affecting the credit spreads of Chinese corporate bonds include macro factor, micro factor and capital market factors. By establishing empirical study model, the paper selected cross-section data of credit spreads of 89 Chinese corporate to analyze factors affecting the credit spreads of Chinese corporate bonds. The result shows that time limit and total asset return rate are significantly correlated with the bond spreads. Turnover rate, guarantee status, asset-liability ratio and asset turnover are not significantly correlated with the bond spreads. Based on the analysis, the paper proposes suggestions on how to promote the market-oriented reform, improve credit ratings system, and boost financial information disclosure quality.

关 键 词：公司债 利差 信用风险 流动性风险 

分 类 号：F832.51[经济管理—金融学]