| 摘要(英) |
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. |
| 參考文獻 |
1. 陳淑芬，2016，「高收益債券基金績效分析」，國立中央大學財務金融學系碩士論文。
2. 李存修、陳姿利，2013，點心債券和中國公司債券信用利差的影響因素，財團法人金融研訓院。
3. 中國光大證券，2019，中資企業海外發債政策與流程解析。
4. 高蕊，2019，「中資企業海外融資成本影響因素及違約風險評價實證分析」，上海交通大學
5. 吳榮傑，2017，「美國銀行債券價格的影響因素分析」，國立中央大學產業經濟研所碩士論文。
6. 戴國強、孫新寶，2011，我國企業債券信用利差宏觀決定因素研究，上海財經大學商學院。
7. 林海、鄭振龍，2007，利率期限結構研究述評，廈門大學金融系
8. 張燃，2008，信用利差變化的決定因素-一個宏觀視角，當代財經
9. 范龍振、張處，2006，中國債券市場債券回報率與宏觀經濟變量關係的實證分析，上海復旦大學管理學院
10. 謝一飛，2015，從Merton結構化模型看中國信用利差的特殊性，中國人保資產管理股份有限公司
11. 曾裕峰、傅盛盛，2017，美國貨幣政策對中國企業信用利差的傳導效應
12. 胡晶，2017，城投企業海外債券發行現狀與風險
二、 英文文獻
1. Chen, Jinzhao (2012),“Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation,”Paris School of Economics Working Papers, halshs-00660654, HAL.
2. Frankel, Jeffrey A. (1992), “Measuring International Capital Mobility: A Review,” The American Economic Review, 82, 197-202.
3. Holmes, Mark J. (2001), “New Evidence on Real Exchange Rate Stationarity and Purchasing Power Parity in Less Developed Countries,” Journal of Macroeconomics, 23, 601-614.
4. Holmes, Mark J. and Yangru Wu (1997), “Capital Controls and Covered Interest Parity in the EU: Evidence from a Panel-Data Unit Root Test,” Review of World Economics (Weltwirtschaftliches Archiv), 133, 76-89.
5. Ahmad, N., Muhammad, J., & Masron, T.A. (2009). “Factors Influencing Yield Spreads of the Malaysian Bonds.” Asian Academy of Management Journal, 14(2), 95-144.
6. George Athanassakos, Peter Carayannopoulos (2001). “An Empirical Analysis of the Relationship of Bond Yield Spreads and Macro Economic Factors.” Applied Financial Economics, 11:2, 197-207.
7. Pierre Collin-Dufresne, Robert S. Goldstein (2001). “Do credit Spreads Reflect Stationary Leverage Ratios?” The Journal of Finance, Vol. Lvi, No. 5. 1929-1957.
8. Gordon Delianedis, Robert Geske (2001). “The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors.” UCLA, May 1999.
9. Robert C. Merton (1974). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” The Journal of Finance, Vol. 29. No. 2, 449-470.
10. Kidwell, David S., M. Wayne Marr and G. Rodney Thompson (1985). “Eurodollar Bonds: Alternative Financing for U.S. Companies.” Financial Management, 14:4, 18-27.
11. Tolga Cenesizoglu, Badye Essid (2012), “ The Effect of Monetary Policy on Credit Spreads”, The Journal of Finance, Vol. 35, Issue 4, Winter 2012, 581-613. |
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit