影响债券价值的经济因素

Economic Factors Affecting the Valuation of Corporate Bonds

当前金融经济学普遍地认同利用信用评级对债券进行分类,并以此对债券进行定价的方法。本文对穆迪和标准普尔的债券的信用评级进行了检验,发现完全以信用评级来计算债券的即期收益率和债券的价格存在较大的误差。检验发现了影响债券价值的几个显著性经济因素:流动性、违约概率、息票率、回收率及发行时间。若在债券定价模型中考虑到这几个因素,则较大地减小了债券的定价误差,具有重要意义。

An important body literature in Financial Economics accepts bond ratings as a sufficient metric for determining homogeneous groups of bonds for estimating spot rate curves for valuing corporate bonds. In this paper we show that several bond economic characteristics ： liquidity, default risk, coupon, recovery rate and bond age leads to better estimates of spot curves and pricing bonds. This has implications for what factors affect corporate bond prices as well as valuing bonds.