中国公司债超额收益的影响因素研究——基于多因子模型的实证分析

Factors of Excess Return of Corporate Bonds in China——An Empirical Analysis Based on Multi-factor Model

近年来,在金融监管日趋严格及刚性兑付打破的背景下,债券市场的有效性迅速提高,基于多因子模型在市场波动中挖掘有效因子的方法更具优势。因此,研究债券超额收益的定价因子,对提升债券投资收益、控制风险有重要意义。本文研究了中国公司债超额收益的因子贡献问题。实证结果显示流动性风险因子等对公司债超额收益率有正的贡献,信用风险因子的正贡献较弱,下行风险因子在部分分组中有负贡献。研究表明中国债券市场刚性兑付的预期仍在,且存在机构投资者行为一致的现象。

In recent years,the efficiency of Chinese bond market has substantially improved since “Rigid Debt Redemption” is abandoned with strict financial regulation.It’s useful to explore effective factors based on multi-factor model.Therefore,it is crucial to do the studies on bond excess return factors and risk control.Our research studies the contribution of these factors to Chinese corporate bond excess returns.Empirical results show that factors like liquidity risk increase excess yield,while credit risk have weakly positive contribution and downside risk may have negative contribution in some groups.Moreover,expectation of rigid payment and behavior consistency of institutional investors still exist.