流动性风险对我国公司债收益率的影响研究  

Research on the Impact of Liquidity Risk on Corporate Bond Returns in China

作　　者：王冠英[1] 韩璐 苏畅 Wang Guanying;Han Lu;Su Chang(College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《天津大学学报（社会科学版）》2022年第5期410-419,共10页Journal of Tianjin University：Social Sciences

基　　金：国家自然科学基金(72171164);天津市社科应用合作调研课题(TJSKLZK2204008).

摘　　要：文章使用我国2008至2019年的公司债市场数据,基于Fama和French(1993)债券二因子定价模型框架,以零交易天数比率构建流动性风险测度,研究我国公司债定价问题。研究发现,我国公司债券存在着显著的流动性风险溢价,且在控制市场风险、到期期限和信用风险因素后结果保持稳健。提出了包含流动性因子、债券市场因子、期限因子、违约因子的四因子定价模型。实证结果显示,债券四因子定价模型较好解释了我国公司债收益率,相较于已有文献的定价模型有显著的边际贡献和预测能力。Based on the two-factor bond pricing model of Fama and French(1993),this paper investigates the pricing issue of corporate bond in China from 2008 to 2019.Using the ratio of zero trading days to measure liquidity risk,this paper finds that there is a significant liquidity risk premium in Chinese corporate bond,which remains robust after controlling the market factor,maturity factor and default factor.This paper constructs a four-factor bond pricing model including liquidity factor,bond market factor,maturity factor and default factor.The empirical results show that the four-factor bond pricing model shows a high applicability in China’s corporate bond market and has significant marginal contributions and forecasting ability compared to the pricing models in the existing literature.

关 键 词：资产定价 公司债 流动性风险 

分 类 号：F832[经济管理—金融学]