中国企业债券特征与风险补偿

利率风险、信用风险、流动性风险是债券市场上常见的风险类型,而债券的特征可以直接或间接地反映这些风险。本文通过分析中国企业债券市场上的债券发行量、已发行时间、债券期限、息票利率、收益率波动性、久期、凸性、到期收益率等债券特征对债券定价的影响,实证检验这些债券特征与债券风险及风险补偿的关系。本文的分析结论认为,这些债券特征显著地影响企业债券的定价,它们与利率风险、信用风险和流动性风险有显著关系,其中对企业债券信用风险的影响最大。流动性风险未被合理定价,低流动性债券未能获得显著的风险补偿。

Characteristics and Risk Premium in Chinese Corporate Bond Market

Interest rate risk,credit risk and liquidity risk are the three chief types of risk in bond market,and the characteristics can reflect these risks directly or indirectly.This paper analyzed the influence of characteristics of Chinese corporate bond,including size,age,term,coupon,yield volatility,duration,convexity,and yield to maturity,on the debt pricing,and tested the relationship between these characteristics and risk premium.The empirical results show that most of these characteristics influence the debt pricing significantly.They are related to one or all of the three chief risks,especially to credit risk.Moreover,it can be found from this paper that liquidity is not priced in Chinese corporate bond market,and illiquidity of bond can not get significant premium.