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论文编号：	7420
作者编号：	2120132439
上传时间：	2015/6/9 18:11:04
中文题目：	财务杠杆比率、产权性质与公司债利差 ——来自中国公司债券的经验数据
英文题目：	Financial Leverage Ratio, Ownership Nature, and Yield Spread of Corporate Bond ——Empirical Evidence from Chinese Corporate Bond Market
指导老师：	王永进
中文关键字：	公司债利差；财务杠杆比率；产权性质；国债收益率
英文关键字：	Yield Spread; Leverage Ratio; Property Right; T-bills Yield Curve
中文摘要：	公司债券是债券市场的一个重要组成部分。对于发行主体企业自身来说，公司债券的发行是重要的融资渠道，对于投资者来说，公司债券的出现拓宽了投资范围和类型。公司债利差是公司债券的到期收益率与相同剩余期限的无风险收益率之间的差值，是衡量公司债券信用风险和流动性溢价等风险的一个重要指标。本文以信用风险量化模型的一种模型——结构模型为理论基础，着重分析了公司债利差和财务杠杆比率的内在关系，又结合我国特殊经济体制和市场环境，将产权性质纳入研究框架，探究了财务杠杆比率、产权性质和公司债利差这三者之间的内在联系。 本文选取了2010年以前由69个公司发行的84只公司债作为研究样本。利用这84只公司债券在2010年1月至2014年9月共计57个月份的月度数据进行了面板数据回归分析。全部样本的实证结果显示，财务杠杆比率会对公司债利差产生负向的影响，与结构模型的理论结果相反。这一结果可能是由于样本中国有企业占比较高和信用评级较的公司能够获得更多的银行贷款造成的。另外，实证结果显示，公司债利差同国债收益率水平因子和斜率因子负相关，这也在一定程度上说明，无风险收益率降低会使公司的财务杠杆比率增加，因此出现了财务杠杆比率同公司债利差的负相关结果。 在对全部样本进行产权性质的分组后，本文采用自抽样法检验得到国有企业和非国有企业存在着显著的组间差异，在国有企业中，公司债利差与财务杠杆比率显著负相关，而在非国有企业中，当期财务杠杆比率并不能显著影响公司债利差，而滞后一个月和一个季度的历史杠杆比率值同当期公司债利差显著正相关。 鉴于本文变量之间的复杂逻辑关系，为了消除内生性，本文使用广义矩估计（GMM）方法对模型进行了估计，以确保上述结果的稳健性。除财务杠杆比率和产权性质外，公司债利差同债券的剩余期限、信用评级、流动性和消费品价格指数、货币发行量、GDP增长率等宏观经济变量也具有显著的相关性。
英文摘要：	Corporate bond is an important part of the bond market. For the enterprises themselves, issuing the corporate bonds is an important financing channel; while for the investors, the emergence of corporate bonds has broaden the investment scope and types. The yield spread of corporate bond is the spread between the yield to maturity on the company's bonds and the risk-free rate of the same maturity. Yield spread is a measure of credit risk and liquidity premium of the corporate bond. Theoretically based on a model of credit risk quantitative model, the structure model, this paper analyzes the intrinsic relationship between the yield spread of the corporate bond and leverage ratio. Under the special economic system and market environment of China, the nature of property rights is brought into the research framework. Thus, this paper analyses the internal relationship among financial leverage ratio, property rights and yield spreads. This paper selects the corporate bonds issued before 2010 by 69 companies as the research sample and uses the month data during the period of January 2010 to September 2014 to make the panel data regression analysis. The empirical result of the all samples shows that the financial leverage ratio has significantly negative impact on corporate bond spreads. This result in contrast to the structure model of theoretical results can be explained by two possible reasons: the first is that the sample concludes too many state-owned companies, and the second is that the companies with high credit rate can get more bank loans. Therefore, an investor should be more cautious about the corporate bonds with high credit rate and pay more attention to the history change of financial leverage to make rational decisions. In addition, the empirical result shows that the yield spread is negatively correlated with level factor and the slope factor of the T-bills yield curve, showing that the decrease of risk-free rate will make company's financial leverage ratio increases, so the financial leverage ratio is negatively related with the yield spread. After the grouping of all samples by the property right, this paper uses the Bootstrap method to test the difference between the two groups. The testing result has shown that there is significant difference between the model of state-owned enterprises and that of non-state-owned enterprises. Specifically, for the state-owned enterprises, yield spread is negatively related to financial leverage ratio significantly, while for the non-state-owned enterprises, the current financial leverage ratio does not significantly affect corporate bond spreads, but after delaying a month and a quarter, the historical leverage ratio is positively related with the current yield spread significantly. Considering the complex logic relationship among the variables in this paper and the possible endogenous problem, this paper uses the GMM method to estimate the model to ensure the robustness of the empirical results. Besides the financial leverage ratio and nature of property rights, yield spread is significantly related with the maturity of the bond, the credit rating, the liquidity and the macroeconomic variables such as CPI, money supply, GDP growth etc.
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