短期融资券收益率影响因素研究

Factors Influencing Yields of Short-Term Financing Bonds

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。

The short-term financing bonds require no collateral,or guarantee from other companies or banks,and many companies choose to issue them for financing.They are representative of marketable bonds or notes with credit risk in China.Thus,their market behavior has important meaning for the development of bonds with credit risk,especially of the corporate bonds.This paper makes a research into the factors that have influence on yields of the short-term financing bonds.The result shows that,no matter in primary or secondary market,issuers＇ credit rating which represents credit risk,ask-bid spread which represents liquidity risk,along with the industry and macro-systematic factors,all have significant effect on the bonds＇ yields;there exists liquidity expectation in primary market,which means that those which have better liquidity characteristic in the secondary market have lower issuing yield in the primary market.