An Empirical Analysisi Of Influencing Factors Of Coporate Bond Spreads

With the rapid development of capital markets, how to use the resources of the market to enhance the company’s value has become an important issue for listed companies. As an important way of direct financing, The status of corporate bonds in the bond market has become more and more important. Since its distribution system and issuing methods are greatly influenced by the market, it different from the general sense of the corporate bonds. It is precisely because of its high marketization level, the credit spread which weighs the risks and value of the company bonds has always been popular with investors and issuers focus on.In this paper, we firstly review the related literature about influencing factors of corporate bond spreads, analysis the important factors which affecting the spreads from the macro and micro aspects. It is considered that macroeconomic factors including interest rate and changes in the economic cycle are greatly impact on spreads, and micro factors in corporate value, liquidity and other bond factors also have a great impact on the spreads. Then the paper fits the treasury bond yield curve by the Nelson-Siegel model, and the yield is calculated as the benchmark interest rate spreads. We get corporate bond spreads from the subtraction of the yield of18samples corporate bonds and the treasury yield curve based on the consistent term structure. From the empirical of corporate bonds panel data from February2009to November2012, we found that the spot rate, yield slope, stock index returns, Leverage ratio is a positive correlation with spreads while credit ratings are negatively correlated with spreads, and the stock market volatility indicators no significant relationship with spreads. Other proxy variable such as issue size effect on the spread was not significant, residual maturity is negatively related to the spread, put provisions positive correlation with the spreads but not robust. Finally, this paper presents a number of policy recommendations based on the empirical results. These policy recommendation have a guidance and reference significance to future development of corporate bonds.