Empirical Study Of Influencing Factors Of China's Corporate Bond Spreads

As a basic mode for corporate financing, the corporate bond plays an important role in the financial market. In recent years, the native corporate bond market is getting more and more formalized. So the whole market developed very well and the circulation increased year by year. As one method of corporate financing, the corporate bond has attracted more and more attentions of people. To the investors, the most important issue is the rate of return through investing corporate bond. And the amount of rate of return can be reflected by the yield spreads.By clarifying the determinations of native corporate bond's yield spreads, we got the pricing model for predicting the corporate bond's yield spreads in the secondary market, and this can be helpful for the decision making of the participators in the corporate bond market.Firstly, on the basis of analyzing related literature about native and abroad corporate bond's yield spreads, by using the theory of credit rick pricing and the related theories about liquidity premium, we extracted the main determinations of corporate bond's yield spreads.Secondly, we selected the listed corporate bonds as research sample, and did an empirical research on the determinations of yield spreads in two aspects: the aspect of credit risk and the aspect of liquidity risk. This is the most important part of this article. In the aspect of credit risk, we clarified the determinations of micro and macro-situation from three parts: the situation of the bond itself, the issuing corporation and the macro-economy. In the aspect of liquidity risk, we mainly considered the determinations of the characteristics of the corporate bonds and corporate market.Thirdly, by using the method of factor analysis, we classify all of the determinations motioned in the empirical research. Then we established the pricing model for predicting the corporate bond's yield spreads in the secondary marketAfter the research above, we got the research finding as follows:From the aspect of determinations related to credit risk, in the micro-level, the remainder time before maturity of corporate bond and the financial situation of issuing corporate have a significant impact on yield spreads. In the evaluating indicator of financial situation of issuing corporate, the profitability, growing ability and liability composition of the corporate has the most significant impact on yield spreads. In the macro-level, the economic cycle, risk-free rate of interest and term structure have a significant impact on yield spreads, and the economic cycle can be represented by the CPI and share index. From the aspect of determinations related to liquidity risk, the liquidity of corporate bonds market and the characteristics of corporate bond itself have a significant impact on yield spreads.Finally, we gave several advices to native corporate bond market base on the research above.