中国债券市场私募利差研究  

Research on Private Placement Spreads in China's Bond Market

作　　者：程昊 周竞宇 Cheng Hao;Zhou Jingyu(Fixed Income Division,Essence Securities Co.,Ltd.,Beijing 100032,China)

机构地区：[1]安信证券股份有限公司固定收益部,北京100034

出　　处：《金融理论探索》2021年第1期37-50,共14页Exploration of Financial Theory

摘　　要：在信用债绝对收益率低、风险偏好回落的市场环境下,投资者可以在私募债市场上挖掘机会。相较于公募债券,私募债券因为流动性差和信用风险高,可以给投资者提供一个风险溢价。通过计算主体点差对主体的私募利差进行分析发现,受债券信用评级、品种和发债主体所有制属性影响,私募利差分布呈现出正偏态和聚集性;私募利差的时间序列非连续,可能与中债估值调整有关。由于私募利差序列波动较小,投资者可以利用私募利差对私募债进行定价,作为制定私募债交易策略的基准。In a market with low absolute returns of credit bonds and fallen risk preferences,investors can explore opportunities in the private placement bond market.Compared with public placement bonds,private placement bonds can provide investors with a premium due to poorer liquidity and higher credit risk.By calculation point difference of the issuer,its private placement spread can be stripped out,whose properties thus can be studied.The distribution of private placement spreads shows positive skewness and clustering,which are affected by credit ratings,varieties,and the ownership of bond issuers.The private placement spread time series is discontinuous,which may attribute to some valuation adjustment of Chinabond.Due to the tiny fluctuations,investors can use spreads to price private bonds as a benchmark for developing private placement bond trading strategies.

关 键 词：私募债券 风险溢价 利差 债券定价 

分 类 号：F830.9[经济管理—金融学]