| Summary: | 碩士 === 國立政治大學 === 金融研究所 === 102 === Corporate bond is an important channel of the corporate finance, and is also an important component of the financial market. Theoretical and empirical research on the Chinese mainland corporate bond credit spread is on the one hand the objective requirement of the synchronization improvement of Chinese mainland financial market's rapid development and the risk perception level, and on the other hand the important channel of improving the bond market and promoting it to the maturity. On the basis of sorting out and summarizing the relevant literature on the subject, this paper starts with the Merton(1973) structural model and works out the basic factors of influencing corporate bond credit spread, then combines with the decomposition theory of the credit spread which is relatively widely recognized at present, it analyses the development of the Chinese mainland bond market , and at last it integrates the macroeconomic factors, the microeconomic factors and the liquidity factors to further identify other factors of influencing the corporate bond credit spread to make a model study. According to the knowledge of the actual data of the bond market, this paper sets the 72 corporate bonds of the 62 companies in Shanghai Stock Exchange and Shenzhen Stock Exchange as the object of study, and selects January 2012 to December 2013 as the study period and makes month as the time units, all of which are conducted on panel data to make a multiple regression analysis, and then the paper finds that the fitness of the model (the explanation power) is obvious, and it also works out some meaningful results. Factors that have a significant impact on corporate bond credit spread in Chinese mainland include: the company's asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the yield of the diluted per share for the company, the risk-free rate, the company's total assets, the corporate bond's turnover and the CSI 300 yield and so on, among which the company's asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the risk-free rate and the corporate bond's turnover showed a positive correlation with the credit spread, and the yield of the diluted per share for the company, the company's total assets and the CSI 300 yield showed a negative correlation with the credit spread. While in the classification of different mature period corporate bonds, there are also some differences of specific significance and influence direction of the variables, which has been explained in this paper. The results of this paper shows that, the factors of influencing the credit spread include the company's own characteristics, which shows that the Chinese mainland bond market has certain validity, and in recent years , the Chinese mainland financial market begins to show some effectiveness in marketization and interest rate liberalization. But in general, these results still show some immaturity of Chinese mainland corporate bond market pricing and its higher level of credit spread, especially compared with many established international bond market, it has some peculiarities.
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