Research On The Risk Pricing Of Small And Medium-sized Enterprises Private Bond

Since May 22,2012,China's Small Medium Enterprise(SME)private bond market was established in Shanghai Stock Exchange platform and Shenzhen Stock Exchange platform,it has experienced a dramatic change from the market boom of “hard to get one bond” to the continuous expansion of SME private bond market capacity and the rapid market recession due to the sudden appearance of market default risk.SME private bond market has not yet been on the right track,it has already goes into recession even disappearance under the combination of factors such as the recession of irrational prosperity,the economic downward pressure,the imperfection of market contract system,the increased risk of default and the lack of investors' confidence.Market situation and price is one of key points to objectively grasp SME private bond market.Therefore,this thesis tries to conduct a market investigation and research focusing on SME private bond market's recent situation,the level of price expectation and the risk premium.And based on the research conclusions,this thesis puts forward related market suggestions and forecasts the prospect of SME private bond market.Based on the studies on SME private bond market(High-yield bond market),market risk and risk pricing at home and abroad,this thesis adopts the methods of market investigation and data analysis to describe the recent market situation of SME private bond market,study its characteristics and make a comparative analysis between it and American High-yield bond market,which enrich the all-around understanding towards China's SME private bond market.In order to study the price expectation and the risk premium of SME private bond market,this thesis takes three steps to achieve.First,the average market price and the overall risk premium and its trend were depicted by applying traditional empirical research method and depending on historic research data.Second,by applying the principal component analysis method this thesis separates out the principal components whose three major explanation forces are over 90 percent.Combined with the research results of the principal components and two major key risk types of SME private bond which are market risk and credit risk,this thesis unfolds the analysis from two dimensions and three factors,which successfully dissects the regression path of the three factors of market risk and credit risk,and the equilibrium price value of risk factors.And in the decomposition study of risk factors,it can befound that the level risk factors function importantly in the total value of bond risk,and that there is an appearance and upward trend of the market default risk and lack of market confidence.Third,this thesis focuses on the market credit spreads,making a multiple linear regression analysis on the private bond data of 391 small medium enterprises.The results show that the explanation force of macro-economic variable towards risk premium is far higher than the financial factors of the issuer and the variable of debt characteristics,but the last two items significantly influence the bond credit spreads.These results are quite different from other studies.The market risk price of SME private bond is deeply influenced by macro-economic factors,but the influence of SME issuers' qualification factor in risk pricing constantly appears.On the whole,market price and its premium level are still hard to reflect the qualification of bond issuers comprehensively.There is still a long way to construct SME private bond market.