公司盈利能力与债券收益率关系及其传导机制——基于中国公司债市场数据的实证分析

The Relationship Between Corporate Profitability and Bond Yield and Its Conduction Mechanism——An Empirical Study Based on China’s Corporate Bond Market Data

以我国2008年到2017年沪深交易所公司债市场数据为研究对象,探讨了公司的盈利能力与债券收益率之间的关系及其传导机制。得到以下研究结论:一是公司盈利能力对其债券收益率有显著影响,体现为公司的盈利能力越强,其发行的债券收益率越低;二是公司盈利能力变化会通过公司和债券的信用风险的传导来影响债券收益率,并通过Fama-Macbeth回归验证了这一传导机制。最后从公司与债券管理的角度为投资者、发债公司及监管者提出了相应的建议与参考。

This paper discusses the relationship between the company’s profitability and bond yield and its conduction mechanism of the corporate bond market in China,based on the corporate bond market data from 2008 to 2017 of Shanghai and Shenzhen Stock Exchange.The main conclusions of this paper are as follows:first,the company’s profitability has a significant impact on its bond yield,which means that the stronger the company’s profitability is,the lower the bond yield of its issued bonds will be.Second,changes of the company’s profitability will affect bond yields through the conduction of credit risk from companies and bonds.This paper validates this conduction mechanism through Fama-Macbeth regression.The results of this paper provide recommendations for investors,bond issuers and regulators from the perspective of corporate and bond management.