The Impact Of Systematic Risk In Stock Market On Corporate Bonds Credit Spread

The share of corporate bonds in China's bond market has remained small since the issuance of the first corporate bond in 2007,and there is still much room for improvement.However,corporate bonds play an important role in the bond market in more mature markets.It is efficient for enterprises to lower down financing costs,enrich investment channels for investors and enhance the multi-tier capital market mechanism.Pricing corporate bonds has been the focus of foreign scholars in these years.It also has gradually become the focus of the domestic bond market research topic with the development of China's corporate bonds.Structured models,simple models and mixed models are currently widely used in this area of research.These models mean a lot for the pricing of bonds.However,since 2001 foreign literatures have suggested that the credit spread cannot be completely explained by the default risk,while the remaining unexplained parts are related to the factor risk exposure.After considering the impact of taxation and liquidity,a remaining part of the credit spread cannot be explained.Some scholars think that it should include systematic risk and try to use factor model to conduct regression analysis.From the initial three-factor model to the later five-factor model and the q-factor model,foreign scholars try to control the relevant variables in the existing structural model,and other company and bond characteristics,then use factor exposures to expose the risk premium of the bond.The conclusion varies in accordance with the different samples.However,the related researches in domestic are rare,since the bond market in China started late.The disclosure of accounting information and bond rating are not complete.This article is divided into five parts.The first chapter mainly introduces the research background of the dissertation,describes the content and structure of the research,and points out the innovation,deficiencies and research prospects.The second chapter mainly combs and comment briefly the theoretical and empirical studies of credit spreads decomposition and systematic risk factors at home and abroad.The third chapter discusses the expected impact of various factors on the credit spread based on the traditional structural model.The fourth chapter is about empirical analysis.Use CSMAR and RESSET database,and select the corporate bonds with fixed rate publicly traded on the Shanghai and Shenzhen Stock Exchanges from January 2011 to September 2017 as the sample,then remove the special bonds with options,guarantees,mortgages,etc.According to the rating of issuers,the bonds are divided into four groups:AAA,AA+,AA and AA-,and the panel data regression method is used for empirical analysis.In order to study whether the systematic risk in the market can explain the credit spread of corporate bonds,we select the relevant variables in the structured model as the basic variables for regression model to analyze the credit spread.Then we add the bond's own characteristic variables into the model for regression analysis.Finally we add three factors that measure the systemic risk and combine all the variables together to explain the pre-tax and post-tax credit spread.The data of the three-factor model is mainly from the RESSET,which was obtained according to the Fama-French three-factor model.The empirical results show that the three elements of default risk,including risk-free interest rate,corporate leverage ratio and asset value volatility,all have an impact on the credit spread of corporate bonds.Only three factors of default risk credit spreads have limited explanatory power.The effect of the remaining bond maturity on the credit spread of corporate bonds is significant.Liquidity is also positively correlated with the credit spread,which is different from theoretical analysis.Among MKT,SMB,and HML,the SMB factor has a significant impact on the corporate bond credit spread.While MKT and HML has no significant impact on the credit spread.Overall,systemic risk factors have explanatory power for bond spreads,but their impacts are small.Then based on the empirical results,this paper tests the robustness of the model by eliminating the bonds with a smaller issue size.The conclusion is roughly consistent with the previous empirical results.Finally,we propose three suggestions for improving the pricing of the bond market.