中国企业债券价差个体性影响因素的实证分析被引量：22

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摘要根据结构化模型和财务比率两种方法确定的债券价差个体性影响因素,对我国企业债券价差进行了实证分析。结果显示,流动性不足仍然是我国企业债券市场中的首要问题,它直接导致我国企业债券价差过分依赖债券到期日。与目前大多数定性分析的结论不同,发现我国企业债券价差中已经包含了一定程度的违约风险补偿,反映了我国企业债券市场定价进一步合理化。两种方法对比之下,财务比率方法确定的变量更适宜解释我国企业债券价差,这既可能是我国股市在价格发现功能上存在欠缺所致,也可能是由于我国存在严重的债券和股票市场分割所致。

作者任兆璋李鹏

机构地区华南理工大学金融工程研究中心

出处《华南理工大学学报（社会科学版）》 2006年第1期52-55,63,共5页 Journal of South China University of Technology(Social Science Edition)

关键词企业债券信用价差结构化模型流动性

分类号 F830.91 [经济管理—金融学]

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