| Short-Term Financing Bill (STFB) market has expanded dramatically in the inter-bank bond market since May2005.It’s highly favored by various kinds of institutional investors. By the end of2012,2298enterprises have cumulatively issued2994STFB with total volume of RMB4.03trillion. The introduction and development of STFB is a vital policy measure in the development of the money market to promote the overall reform of the financial system. With the rapid growth of the STFB market, it’s necessary for us to understand the influencing factors on yield spread. The study on its pricing can not only contribute to the financial regulatory agency maintain the healthy growth of the STFB market, but also be valuable for the issuance of credit bonds in the future. Meanwhile, it’11guide the investors’cognition and behavior in the inter-bank bond market.In this paper, we selected the typical indicators of credit risk, liquidity risk, systematic risk, financial risk, corporate ownership, listing and industry as the independent variables. And then do the empirical research on yield spreads based on the aboving indicators. We used the "Enter" method during the multiple linear regression process. Through analysis, we got the key factors which explained the yield spreads significantly. The conclusions included:(1)the credit risk evaluated by the market was mainly based on the credit rating of the issuer;(2)liquidity was priced in STFB’s yield spreads and liquidity expectation in secondary market was considered in market pricing;(3)the ratio of operation cash flow to current debt played a significant role in explaining the spread;(4)the impact of corporate ownership on the yield spreads was mainly reflected in the yield discount given by the market for the state-owned enterprises (central or local);(5) listing and industry factors didn’t pass the significance test. |
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