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題名 中國大陸公司債券信用利差決定因素分析
the Determinants of Credit Spread in Chinese Corporate Bond Market作者 顏琪 貢獻者 廖四郎
顏琪關鍵詞 中國大陸
公司債券
信用利差
面板資料
Chinese Mainland
Corporate Bond
Credit Spread
Panel Data日期 2013 上傳時間 29-Jul-2014 16:04:33 (UTC+8) 摘要 公司債券是企業融資的重要管道，是金融市場的重要組成部分。對中國大陸公司債券信用利差的理論與實證研究，一方面是中國大陸金融市場迅速發展、風險認知水準需同步提高的客觀要求，一方面也是為完善債券市場，促進其走向成熟的重要方式。本文在對相關議題文獻的梳理與綜合的基礎上，首先從Merton(1973)結構模型出發，找出公司債券信用利差的基本影響因素，再結合目前得到較廣泛認可的信用利差分解理論，分析中國大陸債券市場發展狀況，最後綜合宏觀因素、微觀因素以及流動性因素，進一步找出公司債券信用利差的其他影響因素，進而提出了研究的模型。通過對債券市場中實際資料的認知，將研究對象定為上海證券交易所和深圳證券交易所上市的62家公司所發行的72個公司債券，選取2012年1月到2013年12月為研究期間，並以月為時間序列單位，將其放在面板(Panel)資料中進行多元回歸分析，發現模型的擬合度即解釋能力較強，並得出了一些有意義的結果。對中國大陸公司債券信用利差產生顯著影響的因素包括：公司的資產負債率，債券的到期剩餘期限，公司股票價值波動度，公司的稀釋每股收益率，無風險利率，公司總資產，公司債券的換手率，滬深300指數收益率等。其中表現為與信用利差成正相關關係的有公司的資產負債率，債券到期剩餘期限，公司股票價值波動度，無風險收益率，債券換手率。其中表現為與信用利差成負相關關係的有公司稀釋每股收益率，公司總資產，滬深300指數收益率。而在對不同期限公司債券的分類裡，一些變數的具體顯著性和影響方向也有一定差別，本文做出了自己的解釋。本文的結果顯示，信用利差的影響因素包括很多公司自身的一些特點，說明中國大陸債券市場具有一定的市場有效性，近些年中國大陸金融市場的市場化和利率自由化開始展現成效。但總的來說，這些結果還是顯示了中國大陸公司債市場定價的一些不成熟，信用利差水準較高，特別是與很多成熟的國際債券市場相比，有其特殊性。
Corporate bond is an important channel of the corporate finance, and is also an important component of the financial market. Theoretical and empirical research on the Chinese mainland corporate bond credit spread is on the one hand the objective requirement of the synchronization improvement of Chinese mainland financial market`s rapid development and the risk perception level, and on the other hand the important channel of improving the bond market and promoting it to the maturity. On the basis of sorting out and summarizing the relevant literature on the subject, this paper starts with the Merton(1973) structural model and works out the basic factors of influencing corporate bond credit spread, then combines with the decomposition theory of the credit spread which is relatively widely recognized at present, it analyses the development of the Chinese mainland bond market , and at last it integrates the macroeconomic factors, the microeconomic factors and the liquidity factors to further identify other factors of influencing the corporate bond credit spread to make a model study. According to the knowledge of the actual data of the bond market, this paper sets the 72 corporate bonds of the 62 companies in Shanghai Stock Exchange and Shenzhen Stock Exchange as the object of study, and selects January 2012 to December 2013 as the study period and makes month as the time units, all of which are conducted on panel data to make a multiple regression analysis, and then the paper finds that the fitness of the model (the explanation power) is obvious, and it also works out some meaningful results. Factors that have a significant impact on corporate bond credit spread in Chinese mainland include: the company`s asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the yield of the diluted per share for the company, the risk-free rate, the company`s total assets, the corporate bond`s turnover and the CSI 300 yield and so on, among which the company`s asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the risk-free rate and the corporate bond`s turnover showed a positive correlation with the credit spread, and the yield of the diluted per share for the company, the company`s total assets and the CSI 300 yield showed a negative correlation with the credit spread. While in the classification of different mature period corporate bonds, there are also some differences of specific significance and influence direction of the variables, which has been explained in this paper. The results of this paper shows that, the factors of influencing the credit spread include the company`s own characteristics, which shows that the Chinese mainland bond market has certain validity, and in recent years , the Chinese mainland financial market begins to show some effectiveness in marketization and interest rate liberalization. But in general, these results still show some immaturity of Chinese mainland corporate bond market pricing and its higher level of credit spread, especially compared with many established international bond market, it has some peculiarities.參考文獻 [1]Altman, E., Measuring Corporate Bond Mortality and Performance [J].Journal of finance, 1989, (44):909-922[2]Anderson, Ronald W. and Suresh Sundaresan, 1996, Design and Valuation of Debt Contracts [J].The Review of Financial Studies, Vol.9, No.1:37-68[3]Amato, Jeffery D. and Eli Remolona.2005.The Pricing of Unexpected Credit Losses, BIS working paper No.190[4]Black, F. and Scholes, M. The Pricing of Options and Corporate Liabilities [J].Journal of Political Economy,1973 ,(81):399-418[5]Black, F. and Cox J.C. Valuing Corporate Securities: Some Effects of Bond Indenture Provision [J].The Journal of Finance,1976,31(2):449-470[6]Collin-Dufresne Pierre, Robert S. Goldstein and J. Spencer Martin, 2001, The Determinants of Credit Spread Changes [J].Journal of Finance,56(6):2177-2207[7]Collin-Dufresne P. and R. Goldstein, Do Credit Spreads Reflect Stationary Leverage Ratios? [J].Journal of Finance, 2001,56:1929-1958[8]Collin-Dufresne P., Robert S. Goldstein and J. Spencer Martin. The Determinants of Credit Spread Changes, Journal of Finance, 2001,56(6):2177-2207[9]Duffie D, Singleton K. Modeling Term Structure of Defaultable Bonds [J].Rev Finance Stud, 1999,12 :687-720[10]Eom, Y.H., Helwege, J. and Huang, J. Z. Structural Models of Corporate Bond Pricing: An Empirical Analysis [J] .Review of Financial Studies, 2004, 17(2):499-544 [11]Fleming, M.J Measuring Treasury Market Liquidity [J].Economic Policy Reviews, 2003,9(3):83-108[12]Geske, R. The Valuation of Corporate Liabilities as Compound Options [J].Journal of Financial and Quantitative Analysis, 1997, 12:541-552[13]Houweling,P., Mentink, A.and Vorst,T. Comparing Possible Proxies Of Corporate Bond Liquidity [J].Journal of Banking and Finance,2005,29(6):1331-1358[14]Jonathan, H. Wright. Term Premums and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset. 2011(04)[15]Jarrow,R. A.,Lando,D. and Tumbull S.M. A Markov Model for the Term Structure of Credit Risk Spread [J].Review of Financial Studies,1997 ,10(2):481-523[16]Jones P., Mason, S. and Rosenfeld. Contingent Claim Analysis of Corporate Capital Structure: An Empirical Investigation [J].Journal of Finance,1984,39:611-625[17]Leland, H. and Toft, K.B. Optimal Capital Structure, Endogenous Bankruptcy and the Term Structure of Credit Spreads[J].Journal of Finance,1996,51(3):987-1019[18]Lando, D. Three Essays on Contingent Claims Pricing [D].USA:Cornell University,1994[19]Longstaff,F. and Schwartz,E. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt [J].Journal of Finance,1995 , 50(3):789-819[20]Merton,R.C. On the Pricing of Corporate Debt [J].The Journal of Finance, 1974,29 (2):449-470[21]Ohlson,J.A. Financial Ratios and the Probabilistic Prediction of Bankruptcy[J].Journal of Accounting Research,1980,18(1):109-131[22]Wassim Dbouk.Lawrece Kryzanowski. Determinants of Credit Spread Changes. Studies in Economics and Finance,2010,27(1):67-82[23]Zhou, C. The Term Structure of Credit Spreads with Jump Risk [J].Journal of Banking and Finance,2001,25(11):2015-2040[24]孫克，馮宗憲.企業債“信用價差之謎”的最新研究與未來展望[J].證券市場導報，2007(1)：73-77[25]劉國光，王慧敏.公司債券信用利差和國債收益率動態關係研究[J].山西財經大學學報，2005,27(5):117-122[26]張燃.信用價差變化的決定因素：一個宏觀視角[J].當代財經，2008(9)：62-67、83[27]程文衛.我國交易所市場企業主體債券利差的影響因素研究[J].生產力研究，2009:56-71[28]周宏，徐兆銘，彭麗華，楊萌萌.宏觀經濟不確定性對中國企業債券信用風險的影響——基於2007-2009年月度面板資料[J]。《會計研究》，2011(12)[29]任兆璋，李鵬.中國企業債券價差個體性影響因素實證分析[J].華南理工大學學報：社會科學版，2006，8(1)：52-55[30]王麗芳，劉興革.我國企業債券信用價差分析[J].學術交流，2007(6)：84-88[31]陸文磊.我國信用價差與基準利率關係實證研究[J].價格月刊，2008(10)：61-64[32]郭泓、武康平.債券市場流動性及其相關問題研究[J].西南民族大學學報，2005,26(12)：139-143 描述 碩士
國立政治大學
金融研究所
101352038
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352038 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.author (Authors) 顏琪 zh_TW dc.creator (作者) 顏琪 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 29-Jul-2014 16:04:33 (UTC+8) - dc.date.available 29-Jul-2014 16:04:33 (UTC+8) - dc.date.issued (上傳時間) 29-Jul-2014 16:04:33 (UTC+8) - dc.identifier (Other Identifiers) G0101352038 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67867 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 101352038 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 公司債券是企業融資的重要管道，是金融市場的重要組成部分。對中國大陸公司債券信用利差的理論與實證研究，一方面是中國大陸金融市場迅速發展、風險認知水準需同步提高的客觀要求，一方面也是為完善債券市場，促進其走向成熟的重要方式。本文在對相關議題文獻的梳理與綜合的基礎上，首先從Merton(1973)結構模型出發，找出公司債券信用利差的基本影響因素，再結合目前得到較廣泛認可的信用利差分解理論，分析中國大陸債券市場發展狀況，最後綜合宏觀因素、微觀因素以及流動性因素，進一步找出公司債券信用利差的其他影響因素，進而提出了研究的模型。通過對債券市場中實際資料的認知，將研究對象定為上海證券交易所和深圳證券交易所上市的62家公司所發行的72個公司債券，選取2012年1月到2013年12月為研究期間，並以月為時間序列單位，將其放在面板(Panel)資料中進行多元回歸分析，發現模型的擬合度即解釋能力較強，並得出了一些有意義的結果。對中國大陸公司債券信用利差產生顯著影響的因素包括：公司的資產負債率，債券的到期剩餘期限，公司股票價值波動度，公司的稀釋每股收益率，無風險利率，公司總資產，公司債券的換手率，滬深300指數收益率等。其中表現為與信用利差成正相關關係的有公司的資產負債率，債券到期剩餘期限，公司股票價值波動度，無風險收益率，債券換手率。其中表現為與信用利差成負相關關係的有公司稀釋每股收益率，公司總資產，滬深300指數收益率。而在對不同期限公司債券的分類裡，一些變數的具體顯著性和影響方向也有一定差別，本文做出了自己的解釋。本文的結果顯示，信用利差的影響因素包括很多公司自身的一些特點，說明中國大陸債券市場具有一定的市場有效性，近些年中國大陸金融市場的市場化和利率自由化開始展現成效。但總的來說，這些結果還是顯示了中國大陸公司債市場定價的一些不成熟，信用利差水準較高，特別是與很多成熟的國際債券市場相比，有其特殊性。 zh_TW dc.description.abstract (摘要) Corporate bond is an important channel of the corporate finance, and is also an important component of the financial market. Theoretical and empirical research on the Chinese mainland corporate bond credit spread is on the one hand the objective requirement of the synchronization improvement of Chinese mainland financial market`s rapid development and the risk perception level, and on the other hand the important channel of improving the bond market and promoting it to the maturity. On the basis of sorting out and summarizing the relevant literature on the subject, this paper starts with the Merton(1973) structural model and works out the basic factors of influencing corporate bond credit spread, then combines with the decomposition theory of the credit spread which is relatively widely recognized at present, it analyses the development of the Chinese mainland bond market , and at last it integrates the macroeconomic factors, the microeconomic factors and the liquidity factors to further identify other factors of influencing the corporate bond credit spread to make a model study. According to the knowledge of the actual data of the bond market, this paper sets the 72 corporate bonds of the 62 companies in Shanghai Stock Exchange and Shenzhen Stock Exchange as the object of study, and selects January 2012 to December 2013 as the study period and makes month as the time units, all of which are conducted on panel data to make a multiple regression analysis, and then the paper finds that the fitness of the model (the explanation power) is obvious, and it also works out some meaningful results. Factors that have a significant impact on corporate bond credit spread in Chinese mainland include: the company`s asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the yield of the diluted per share for the company, the risk-free rate, the company`s total assets, the corporate bond`s turnover and the CSI 300 yield and so on, among which the company`s asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the risk-free rate and the corporate bond`s turnover showed a positive correlation with the credit spread, and the yield of the diluted per share for the company, the company`s total assets and the CSI 300 yield showed a negative correlation with the credit spread. While in the classification of different mature period corporate bonds, there are also some differences of specific significance and influence direction of the variables, which has been explained in this paper. The results of this paper shows that, the factors of influencing the credit spread include the company`s own characteristics, which shows that the Chinese mainland bond market has certain validity, and in recent years , the Chinese mainland financial market begins to show some effectiveness in marketization and interest rate liberalization. But in general, these results still show some immaturity of Chinese mainland corporate bond market pricing and its higher level of credit spread, especially compared with many established international bond market, it has some peculiarities. en_US dc.description.tableofcontents 1 緒論 91.1研究背景與意義 91.2相關概念界定 111.2.1中國大陸債券交易市場 111.2.2公司債 121.2.3信用利差與其計算方法 141.3研究思路和研究創新點 152相關理論及文獻綜述 162.1公司債券信用風險的定價模型 162.1.1傳統方法 162.1.2結構化模型 172.1.3簡約化模型 192.1.4混合模型 202.2信用利差分解理論 212.3信用利差的實證研究成果（2000年以後） 222.3.1宏觀角度的文獻 222.3.2微觀角度的文獻 242.3.3流動性角度的文獻 252.4總結與評述 273中國大陸公司債券市場信用利差影響因素分析 283.1中國大陸企業（公司）債券市場的發展情況 283.1.1發展歷程 283.1.2公司債市場現狀（以2012年年度資料為例） 303.1.3公司債券市场現有問題總結 323.2理論框架 333.2.1 Merton模型決定因素 333.2.2信用利差微觀影響因素 363.2.3信用利差宏觀影響因素 384中國大陸公司債券信用利差的實證研究 414.1樣本選取和資料來源 414.2實證分析 484.3實證結論與解釋 605 結論 67參考文獻 68 zh_TW dc.format.extent 735079 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352038 en_US dc.subject (關鍵詞) 中國大陸 zh_TW dc.subject (關鍵詞) 公司債券 zh_TW dc.subject (關鍵詞) 信用利差 zh_TW dc.subject (關鍵詞) 面板資料 zh_TW dc.subject (關鍵詞) Chinese Mainland en_US dc.subject (關鍵詞) Corporate Bond en_US dc.subject (關鍵詞) Credit Spread en_US dc.subject (關鍵詞) Panel Data en_US dc.title (題名) 中國大陸公司債券信用利差決定因素分析 zh_TW dc.title (題名) the Determinants of Credit Spread in Chinese Corporate Bond Market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [1]Altman, E., Measuring Corporate Bond Mortality and Performance [J].Journal of finance, 1989, (44):909-922[2]Anderson, Ronald W. and Suresh Sundaresan, 1996, Design and Valuation of Debt Contracts [J].The Review of Financial Studies, Vol.9, No.1:37-68[3]Amato, Jeffery D. and Eli Remolona.2005.The Pricing of Unexpected Credit Losses, BIS working paper No.190[4]Black, F. and Scholes, M. The Pricing of Options and Corporate Liabilities [J].Journal of Political Economy,1973 ,(81):399-418[5]Black, F. and Cox J.C. Valuing Corporate Securities: Some Effects of Bond Indenture Provision [J].The Journal of Finance,1976,31(2):449-470[6]Collin-Dufresne Pierre, Robert S. Goldstein and J. Spencer Martin, 2001, The Determinants of Credit Spread Changes [J].Journal of Finance,56(6):2177-2207[7]Collin-Dufresne P. and R. Goldstein, Do Credit Spreads Reflect Stationary Leverage Ratios? [J].Journal of Finance, 2001,56:1929-1958[8]Collin-Dufresne P., Robert S. Goldstein and J. Spencer Martin. The Determinants of Credit Spread Changes, Journal of Finance, 2001,56(6):2177-2207[9]Duffie D, Singleton K. Modeling Term Structure of Defaultable Bonds [J].Rev Finance Stud, 1999,12 :687-720[10]Eom, Y.H., Helwege, J. and Huang, J. Z. Structural Models of Corporate Bond Pricing: An Empirical Analysis [J] .Review of Financial Studies, 2004, 17(2):499-544 [11]Fleming, M.J Measuring Treasury Market Liquidity [J].Economic Policy Reviews, 2003,9(3):83-108[12]Geske, R. The Valuation of Corporate Liabilities as Compound Options [J].Journal of Financial and Quantitative Analysis, 1997, 12:541-552[13]Houweling,P., Mentink, A.and Vorst,T. Comparing Possible Proxies Of Corporate Bond Liquidity [J].Journal of Banking and Finance,2005,29(6):1331-1358[14]Jonathan, H. Wright. Term Premums and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset. 2011(04)[15]Jarrow,R. A.,Lando,D. and Tumbull S.M. A Markov Model for the Term Structure of Credit Risk Spread [J].Review of Financial Studies,1997 ,10(2):481-523[16]Jones P., Mason, S. and Rosenfeld. Contingent Claim Analysis of Corporate Capital Structure: An Empirical Investigation [J].Journal of Finance,1984,39:611-625[17]Leland, H. and Toft, K.B. Optimal Capital Structure, Endogenous Bankruptcy and the Term Structure of Credit Spreads[J].Journal of Finance,1996,51(3):987-1019[18]Lando, D. Three Essays on Contingent Claims Pricing [D].USA:Cornell University,1994[19]Longstaff,F. and Schwartz,E. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt [J].Journal of Finance,1995 , 50(3):789-819[20]Merton,R.C. On the Pricing of Corporate Debt [J].The Journal of Finance, 1974,29 (2):449-470[21]Ohlson,J.A. Financial Ratios and the Probabilistic Prediction of Bankruptcy[J].Journal of Accounting Research,1980,18(1):109-131[22]Wassim Dbouk.Lawrece Kryzanowski. Determinants of Credit Spread Changes. Studies in Economics and Finance,2010,27(1):67-82[23]Zhou, C. The Term Structure of Credit Spreads with Jump Risk [J].Journal of Banking and Finance,2001,25(11):2015-2040[24]孫克，馮宗憲.企業債“信用價差之謎”的最新研究與未來展望[J].證券市場導報，2007(1)：73-77[25]劉國光，王慧敏.公司債券信用利差和國債收益率動態關係研究[J].山西財經大學學報，2005,27(5):117-122[26]張燃.信用價差變化的決定因素：一個宏觀視角[J].當代財經，2008(9)：62-67、83[27]程文衛.我國交易所市場企業主體債券利差的影響因素研究[J].生產力研究，2009:56-71[28]周宏，徐兆銘，彭麗華，楊萌萌.宏觀經濟不確定性對中國企業債券信用風險的影響——基於2007-2009年月度面板資料[J]。《會計研究》，2011(12)[29]任兆璋，李鵬.中國企業債券價差個體性影響因素實證分析[J].華南理工大學學報：社會科學版，2006，8(1)：52-55[30]王麗芳，劉興革.我國企業債券信用價差分析[J].學術交流，2007(6)：84-88[31]陸文磊.我國信用價差與基準利率關係實證研究[J].價格月刊，2008(10)：61-64[32]郭泓、武康平.債券市場流動性及其相關問題研究[J].西南民族大學學報，2005,26(12)：139-143 zh_TW
