基于远期无风险利率的公司债收益率研究  

Research on corporate bond yield based on forward risk-free interest rate

作　　者：王建文[1] 王香香 WANG Jianwen;WANG Xiangxiang(School of Management, Hefei University of Technology, Hefei 230009, China)

机构地区：[1]合肥工业大学管理学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2020年第11期1563-1569,共7页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(71871082)。

摘　　要：以内部收益率(internal rate of return,IRR)为基础的公司债到期收益率的计算隐含着债息再投资利率为IRR的假设,即假定所有时点再投资利率相同并有相同风险补偿,是一种偏离市场预期变化的主观假定;而外部收益率(external rate of return,ERR)和修正内部收益率(modified internal rate of return,MIRR)将债息再投资利率固化为即期无风险利率,也无法反映未来利率变化。文章以隐含远期无风险利率为再投资利率的修正外部收益率(modified external rate of return,MERR)法,在去债息再投资风险补偿的同时,将未来利率预期变化嵌入模型,且根据远期利率的特征能够判断MERR对IRR的修正方向与幅度,以使投资者对债券到期收益的分析更加理性客观。The calculation of corporate bond yield to maturity based on internal rate of return(IRR)implies the assumption that the reinvestment rate of bond interest is still IRR,assuming that all reinvestment rates are the same and have the same risk compensation,which is a subjective assumption that does not meet market expectations.The external rate of return(ERR)and the modified internal rate of return(MIRR)solidifies the reinvestment rate as the current risk-free rate,which also fails to reflect future interest rate changes.This paper proposes a modified external rate of return(MERR)method based on implicit forward risk-free interest rate,while having the de-risk compensation,it can embed the change of future interest rate expectation into the model.And according to the characteristics of the forward interest rate,the direction and magnitude of the correction of the MERR can be judged,in this way,investors’analysis of bond yield to maturity is more rational and objective.

关 键 词：内部收益率(IRR) 外部收益率(ERR) 修正外部收益率(MERR) 再投资利率 远期利率 

分 类 号：F830.91[经济管理—金融学]