The Study On The Influencing Factors Of Credit Spreads For Enterprise Bonds

After 30 years of development, Enterprise bonds have gradually became an important part of China's bond market since it originated in 1984. Enterprise bonds provide a new way of financing for china's corporates. According to the "China Financial Statistics Yearbook 2015", in 2014 China's annual new social financing 16.4773 trillion yuan, of which China's corporate bond new financing 2.4329 trillion yuan, compared to 36.7 billion yuan in 2002, the scale has expanded nearly 66 times. At this stage, enterprise bonds market has shown some features:rapid development speed with still small scale and long-term, more types of investors.Issuers of enterprise bonds are mostly state-owned enterprises or state-holding enterprises, investors consider that there has been endorsed national credit with small default risk, and classified in the low-risk bond investment products. But enterprise bonds belong to debentures, naturally there is a possibility of default, so with the rapid development of China's bond market, enterprise bonds are bound to bring credit risk. China's economy has a huge downward pressure, under the background of national requirements to change the development mode and the economic structure, part of state-owned enterprises have a serious overcapacity problem, a significant deterioration in operating conditions, and the default risk surge. In 2015, China's bond market breaks out a wave of defaults, various bonds defaulted, and time interval has been shorter and shorter, enterprise bonds can't survive. In April 21,2015, Baoding Tianwei corporate announced "11 Tianwei MTN2" bond default, "11 Tianwei MTN2" bond has been the country's first state-owned enterprise debt default. The default risk of enterprise bonds, the investors neglected, has appeared. So it is necessary to re-evaluate the credit risk of enterprise bonds for corporate bond issuers, investors or regulators, corporate bond markets need to be able to accurately pricing enterprise bonds'credit risk.Credit spreads of enterprise bonds is to compensate for the credit risk of bonds, a measure of credit risk corporate bonds. Beginning in the 1990s, research of credit spreads is always a hot issue on credit risk pricing for foreign scholars. Through the study of credit spreads, it can provide a theoretical basis for enterprise bonds credit risk pricing. Currently, the study of credit spreads is divided into three areas:(1) quantitative research of credit spreads; (2) study of specific relationship between Credit risk and credit spreads; (3) Positive factor analysis of credit spreads. Because in reality the market with tax and other factors is not perfect, foreign scholars gradually reduce research efforts in both directions and turning to empirical analysis of credit spreads influencing factors.An Empirical Analysis of domestic and foreign scholars on corporate bond credit spreads mainly start from the macro-economic factors, micro-enterprise risk and bonds itself. They come to the conclusion that there is indeed a correlation. However, after reading the relevant literature, I also have found the presence of the previous research deficiencies. For example:(1) most of the studies on the impact of macroeconomic factors mostly concentrated in the macroeconomic indicators, and macroeconomic volatility index compared to the macroeconomic indicators can be better reflect the macro risk; (2) When selecting micro-enterprise risk factor, they lack of logic, and generally use a large number of financial indicators, which would effectively increase its efforts to explain credit spreads; (3) there is less analysis of the domestic bond angles. Therefore, on the basis of previous studies' inadequacies, I have made some improvement:first, beyond the factors analysis of macroeconomic and micro-enterprise risk, the paper increase a bond characteristic factors, the bond liquidity as a variable characterizing the bond properties, specific impact in our empirical analysis by regression; second, in the study of macroeconomic factors, this article from the perspective of macroeconomic volatility, macroeconomic volatility is divided into horizontal macroeconomic developments volatility and economic policy volatility; the third, in the analysis of micro-enterprise risk, the paper divided enterprise risks into business risks and financial risks, and select financial indicators analyzed for different risks; fourth, the paper added investors and producers risk appetite factors as a control variable research which affect the risk attitude of credit spreads; fifth, considering that the macroeconomic has an impact on micro-enterprise, the paper increased cross-term variables and studied whether macroeconomic volatility will change the impact of micro-enterprise risk on credit spreads.Therefore, this paper is divided into six parts, each part of the main contents are as follows:The first part is an introduction; The second part is the basis of relevant theories and literature review; The third part is the present situation of the development of history and the development of corporate bonds introduced; The fourth part is empirical research design. Including sample selection, variable definition and make relevant assumptions; The fifth part is empirical research. In this part, firstly, I select the index descriptive statistics and make correlation test; secondly to establish correlation model based on previous literature research and the establishment of cross-term empirical analysis, and finally to ensure the accuracy and completeness of the model was robust test and draw the relevant conclusions; The sixth part is conclusion and prospect.Of course, this paper has shortcomings, such as:(1) In this paper, the sample size is small, only has 17 bonds; (2) the main issuers are mostly state-owned or state-holding enterprises, will weaken micro-enterprise factors' explain efforts; (3) micro-enterprise financial indicators have no industry adjustment. With the expansion of the enterprise bonds market:(1) enterprises in different sectors will be added to the ranks of issuance, corporate bonds can be more detailed industry division, factors affecting the industry adjustment; (2) different levels of risk companies added to the ranks of the issue, would spawn the demand for credit ratings. According to Western scholars, credit rating is an important factor affecting the enterprise bonds credit spreads. At present there is less of a professional credit rating agencies and recognition is not high, so less research is concentrated on the direction of credit rating, the credit rating impact of credit spreads in the future will become the new hot spots.