Factors Affecting Credit Spread Of Corporation Bonds

Whether corporate bondsare sold in the capital market,or investors investment company in the bond market,credit premiums on corporate bonds are an important factor to consider as compensation for the risk of corporate bonds.In the research on credit premiums in the bond market,credit premiumsis usually represented by the difference between the yield to maturity of corporate bonds and risk-free rate.This esay is based on theBlack-Scholes-Merton’s structural model,credit premiumswhich affected by two aspects based on the structural model,one is microscopic variablesrelated to individual,another is macro variables includes risk-free rate.On this basis,this paper analysisthe factors on corporate bond,and selects the appropriate proxy variables to establish an empirical model.This paper selects corporate bonds which were public offering issued before January,2013 to research the stage between January,2013 to May,2016.The selected corporate bonds contain different credit ratings(AA,AA +,AAA),different terms(in the short,medium and long term)and four different sectors(materials,energy,utilities and capital goods industries).The establishment of an empirical analysis modeluse credit premiums as dependent variablesand the appropriate proxy variables as explanatory.In the aspects of macroeconomic factors,the relationship betweencredit premiums and CSI 300 index、bond issuance,exchange rate inthe Overall and sub-industry comparativestudies by vector auto regression model and impulse response analysis.In the aspects of micro-factors,we got the ideal model by GMMthrough select the current ratio,debt ratio,asset turnover and net cash content as explanatory variables.This study mainly obtained the following conclusions:credit premiums of corporate bonds mainly affected by the CSI 300 Index,bond issuance and exchange ratein the macro factors,and the factors that influence different sectors of the corporate bond credit premiums showed significant differences,which is the innovation of this paper.credit premiums of corporate bonds mainly affected by the short-term solvency,long-term solvency,operating capacity and cash flow levels in the microeconomic factors.On which the index eflects the total operating capacity does not matchwith most of the literature on corporate bond research.Which is a reflection of the unique characteristics of the corporate bond marke and the innovationof this article.