【作者】 刘畅；

【导师】 李泽广；

【作者基本信息】 南开大学 ， 金融硕士（专业学位）， 2022， 硕士

【摘要】 公司债券是公司直接融资的重要渠道之一,可帮助企业在短期内筹措发展所需的大额资金,此外,发行债券在调节企业资产负债结构、避免股权过度分散和以税盾效应降低成本方面也发挥了重要作用。本文对影响公司债券信用利差的因素进行了研究,重点关注发行主体层面及个券层面两个层次的多个指标,分组分类研究了这些指标对于信用利差的影响程度。结果显示,产权性质、债券规模、债券剩余期限、违约风险及流动性风险均可对公司债券信用利差产生显著影响,且流动性风险是最重要的影响因素。此外,本文还通过在模型中加入交乘项的方法研究了流动性风险变量的调节作用,进一步验证了公司债券流动性风险的中介效应,证明流动性风险对公司规模及债券规模起到正向调节作用,而对债券剩余期限则有负向调节作用。根据研究结论,本文针对政府与监管部门、债券发行主体以及债券投资者三类债券市场参与者提出了相应的政策建议。更多还原

【Abstract】 Corporate bonds are one of the important ways of the enterprises’ direct financing,which can help enterprises raise large amounts of funds for development in the short term.In addition,issuing bonds also plays an important role in adjusting the asset liability structure,avoiding excessive dispersion of equity and reducing costs with tax shield effect.This thesis studies the factors affecting the credit spread of corporate bonds,focusing on multiple indicators from the aspects of the bond factor and the issuer factor,and studies the impact of these indicators on the credit spread by grouping and classification.The results show that the nature of property rights,the size of bonds,the remaining maturity of bonds,default risk and liquidity risk can have a significant impact on the credit spread of corporate bonds,and liquidity risk is the most important factor.In addition,this thesis also studies the regulatory effect of liquidity risk by adding the intersection term to the model,verifies the intermediary effect of corporate bond liquidity risk,and proves that liquidity risk plays a positive regulation role on corporate scale and bond scale,while it plays a negative regulation role on the remaining maturity of bonds.According to the conclusion,this thesis puts forward corresponding policy suggestions for three types of bond market participants: government and regulatory authorities,bond issuers and bond investors.更多还原