融资融券论文：短期融资券收益率影响因素研究.pdf

文档介绍：第 8 卷第 1 期管
理
学
报 Vo l. 8 N o. 1

2011 年 1 月 Chinese Journal o f M anagement Jan. 2011
短期融资券收益率影响因素研究
郑佳铭
范龙振
( 复旦大学管理学院)

摘要: 短期融资券不需要担保, 发行数量多, 是我国市场化的具有信用风险的债券, 其市
场表现对我国信用债券特别是公司债的发展具有启示意义。主要讨论短期融资券收益率的影
响因素。研究结果显示, 无论在发行或交易市场, 以主体评级指标为代表的信用风险因素、以
买卖价差为代表的流动性因素、行业因素以及宏观系统因素对融资券收益率影响显著; 发行定
价中存在流动性预期, 即预期在二级市场流动性好的债券在一级市场具有更低的收益率。
关键词: 短期融资券; 利差; 信用风险; 流动性风险
中图分类号: C93
文献标识码: A
文章编号: 1672
884X( 2011) 01
143
09
Factors Influencing Yields of Short
Term Financing Bonds
ZH ENG Jiam ing
FAN Longzhen
( Fudan U niversity , Shang hai, China)
Abstract: T he short
term financing bo nds require no collateral, or guarantee from pa
nies o r banks, and panies choo se to issue them for financing . T hey are r epresentative of
marketable bonds or notes w ith cr edit risk in China. T hus, their market behavior has im portant m ean
ing for the developm ent of bo nds w ith credit risk, especially of the co rpo rate bonds. This paper makes
a research into the factors that have influence on y ields o f the sho rt
term financing bonds. The result
show s that, no matter in pr im ary or secondary market, issuers
cr edit rating w hich represents credit
risk, ask
bid spread w hich r epresents liquidity risk, along w ith the industry and macro
systematic fac
to rs, all have significant effect o n the bo nds
y ields; there ex i