本研究實證2010年至2019年中資美元債券的信用利差影響因素，影響信用利差的因素可進一步區分為企業因素及市場因素，本次研究納入企業因素包含信用等級、公司性質、所處行業、發行規模與發行天期；市場因素包括市場資金流動性、股市表現、匯率升貶與政府的利率政策，利用多元線性回歸分析探討各變數與信用利差影響關係。 研究結果發現，信用利差與股市漲跌、發行規模、公營或私營、利率政策與美元匯率呈現負相關；與市場資金流動性及長短公債利差呈現正相關。依據研究結果進一步制定出中資美元債券的發行與投資時機。然而債券天期與信用利差結果則呈現負相關，與預期結果不符，因此債券發行人更需重視發行的時間點，並加入買回條款，增加資金回收與再發行的彈性。在無信評公司與信用利差關係則產生偏誤，因此，大多為無信評的城投債券非一般投資者的理想標的。 ;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.
