Research On Empirical Study About Credit Spread Factors Of Chinese Corporate Bonds

Corporate bond is negotiable security which is issued by enterprises in accordance with legal procedures, and promises to repay cost and interest according to certain interest rate in a certain time. It is as an important way of direct financing. Credit risk is the main risk in the corporate bond market, but in the secondary market, credit risk is usually replaced by credit spread. Credit spread is the difference of yields between corporate and national bond that has the same due time. In this thesis, we will study the credit spread in order to understand the credit risk of corporate bonds, and to promote the credit risk management in the bond market.Firstly, we briefly introduce the current situation of the related theory and methods in the field, based on reading the related domestic and foreign literature. Secondly, based on the domestic bond market, we show an in-depth theoretical analysis about factors of credit spread of corporate bonds. Finally, we carry out an empirical research by constructing two models, which studies the credit spread factors from the macro-economic and the micro business. About macroeconomic, we adopt the dynamic of the time series data and do multi factor regression method, vector auto-regression(VAR) model and impulse response function analysis for the long-term, medium-term and short-term bonds. As for the micro business, we adopt cross-sectional data from the key financial indexes of many enterprises. Using factor analysis twice combined with multiple factor regression, we export a multiple regression equations of micro factors. This part is the key point in the whole research.By the empirical research, we get the conclusion as follows:in the macro level, the leading factors of credit spread of each duration corporate bonds are different: credit spread of long-term and short-term bonds follows a second-order autoregressive process, and its main factors are short-term interest rates and exchange rates; while credit spread of medium-term bonds follows a first-order autoregressive process, and its main factors are short-term interest rates, exchange rates and interest rate differential of national bonds. In the micro level, the major impacts on credit spread are current ratio, prime operating revenue growth rate and rate of return on common stockholders' equity. These indicators are on behalf of three kinds of abilities: debt-paying ability, growth ability and profitability ability, which make the most impact on its corporate bonds.