财务信息、市场信息与公司债券信用利差  

Accounting Information, Market Information and Credit Spreads of Corporate Bonds

作　　者：张戡[1] 李飞鹏[1] ZHANG Kan;LI Fei-peng(School of Finance,Zhongnan University of Economics and Law,Wuhan 43007)

机构地区：[1]中南财经政法大学金融学院

出　　处：《财务与金融》2018年第5期35-41,共7页Accounting and Finance

基　　金：中央高校教育教学改革项目"微观金融核心课程教育教学改革建设项目"(201812);中南财经政法大学金融学院"并购重组监管研究团队项目"(201709)

摘　　要：基于上海证券交易所公司债券的面板数据,对影响公司债券信用利差的财务因素和市场因素进行实证研究。研究结果表明,发债公司财务数据中的盈利指标和财务杠杆对信用利差影响显著,发债公司收益率越高、财务杠杆越小,公司债券信用利差越小;市场风险因素中的违约距离、债券波动率和夏普比率对公司债券信用利差有显著影响,公司违约距离和夏普比率越小、债券波动率越大,公司债券信用利差越大。Based on the panel data of corporate bonds of Shanghai Stock Exchange, this paper conducts an empirical study on the accounting factors and market factors that affect credit spreads of corporate bonds. According to the results, accounting data such as profit indicators and financial leverage of the issuers has a significant effect on the credit spreads, which means that higher rate of return and smaller financial leverage will lead to smaller credit spreads of corporate bond. On the other hand, the results about market risk factors such as distance-to-default, bond volatility and Sharpe ratio show that smaller corporate distance-to-default and Sharpe ratio as well as larger bond volatility will lead to larger credit spreads of corporate bonds.

关 键 词：公司债券 信用利差 财务数据 违约距离 

分 类 号：F230[经济管理—会计学]