换手率和信用评级对公司债利差的影响-公司金融专业论文.docxVIP

换手率和信用评级对公司债利差的影响表明虽然我国的信用评级机制存在缺陷，公司债的信用评级普遍较 换手率和信用评级对公司债利差的影响 表明虽然我国的信用评级机制存在缺陷，公司债的信用评级普遍较 高，但是基本呈现信用评级越低公司债利差越大的现象，信用评级能 够反映一部分公司债所承担的风险。最后从本文样本数据的三个评级 来说，信用评级越低，公司债收益率就越高，公司债利差就越大；同 时由于公司债规模小，交易不活跃，公司债的违约事件很少，地方政 府还对公司债进行隐性担保；从而使投资者倾向于购买信用评级低、 收益率高的公司债券，使收益率高的公司债换手率较高，造成换手率 和公司债利差的正相关关系。 关键词：公司债利差多项式样条法换手率信用评级 Ⅱ 万方数据 浙江工商大学硕士论文 浙江工商大学硕士论文 换手率和信用评级对公司债利差的影响 T髓n呵FLUENCE OF TURNOⅦR RATE AND CREDIT RATING oN CORPORATE BOND SPREADS ABSTRACT As the development of capital market of our country,the scale of capital becomes bigger,management system becomes more and market—oriented．Corporate bonds as an important part of capital market， provide a market-oriented financing toolS to Corporation from beginning． Although the start of corporate bonds on a smaller scale，when the securities regulatory commission issued new rules on corporate bonds on January of 20 1 5 year,the new rules expand the obj ect of issuing corporate bonds and reduce the requirement of issuing bonds，corporate bonds issuing is in a massive scale．Corporate bond spreads as the key part of corporate debt risk and pricing，attracting more and more attention． This paper analyzes the development of corporate bonds in China at ⅡI 万方数据 浙江工商大学硕士论文 浙江工商大学硕士论文 换手率和信用评级对公司债利差的影响 first，then studies the previous scholars in this research，combining with the current corporate bonds’market，and puts forward the research hypothesis，this paper mainly analyzes the turnover rate and the credit rating of the influence on corporate bond spreads． Due to Chinas government bonds’scale is small，there is no complete term structure of government bonds interest rates，it is difficult to find the same maturity matching bonds with corporate bonds．For precise calculation of corporate bond spreads，SO in this paper，we use polynomial splines to simulate the structure of government bonds interest rates at first，then use the yield to maturity on the after-tax corporate