| dc.description.abstract | This empirical analysis illustrates the determining factors of credit spreads of USD denominated corporate bonds in China between 2010 to 2019. The factors can be classified into corporate factors and market factors. Corporate factors are including rating, government ownership, sector, issue size and maturity. Market factors are including market liquidity, equity performance, dollar index and monetary policy
The result of multiple regression analysis shows that equity performance, issue size, government ownership, monetary policy, and dollar index are negatively correlated to credit spreads, while market liquidity and yield curve are positively correlated to spreads. Based on the above findings, we could form the investment strategy of USD denominated corporate bonds in China. However, it is unexpected that the maturity and spreads are negatively correlated. This implies that issuers should keep more flexibility of callback and refinance by better selecting issuance timing and adding call options. Another finding is that bias occur in corporates without ratings. Therefore, mostly unrated city investment bonds are not recommended to retail investors. | en_US |