房地产行业债券信用利差影响因素分析-工商管理专业论文.docxVIP

A STUDY ON THE DETERMINANTS OF THE CREDIT SPREADS OF BONDS IN REAL ESTATE SECTOR ABSTRACT In this paper, we use 116 bonds in real estate sector as data sample to study the determinants of credit spreads with reference to mature models introduced in foreign literature. We conduct empirical study on structural model variables using both cross-sectional and time series data regression method. Cross-sectional regression results show that bond rating, sinking fund provision and financial strength of local government have a significant impact on the credit spreads of bonds in real estate sector. The explanatory power of regression model reaches 49.36% with all variables significant. We also conduct studies on firm-level variables including leverage ratio, quick ratio and collateral. The results shows no significant impact of these variables which indicates that bond investors pay more attention to the support of local government and pay less to the firm-level data. It can be mainly attributed to the lagging disclosure of financial data. The time series regression results of daily frequency data show that risk-free rate and changes in yield curve structure have significant impact on changes of credit spreads. Return and volatility of stock market show no significance. It can be attributed to the fact that most issuers are not listed company. The explanatory power of the model reaches 14.62% which matches the results in foreign literatures. It indicates that structural model variables have certain explanatory power but we have not find the main factors affecting changes of credit spreads. Due to the lack of data points in monthly frequency data, the regression result is affected and weakened. In general, we found the impact II of changes in macroeconomic variables contrast with the results we expected, probably due to the recent financial crisis and the credit default event shocks happened recently. KEY WORDS: Credit spreads, structural model, real estate sector, q