房地产行业债券信用利差影响因素分析

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1、上海交通大学硕士学位论文ASTUDYONTHEDETERMINANTSOFTHECREDIT SPREADSOFBONDSINREALESTATESECTORABSTRACTInthispaper,weuse116bondsinrealestatesectorasdatasampletostudythedeterminantsofcreditspreadswithreferencetomaturemodelsintroducedinforeignliterature.Weconductempiricalstudyonstructuralmodelvariablesusingbothcross

2、-sectionalandtimeseriesdataregressionmethod.Cross-sectionalregressionresultsshowthatbondrating,sinkingfundprovisionandfinancialstrengthoflocalgovernmenthaveasignificantimpactonthecreditspreadsofbondsinrealestatesector.Theexplanatorypowerofregressionmodelreaches49.36%withallvariablessignificant.Weal

3、soconductstudiesonfirm-levelvariablesincludingleverageratio,quickratioandcollateral.Theresultsshowsnosignificantimpactofthesevariableswhichindicatesthatbondinvestorspaymoreattentiontothesupportoflocalgovernmentandpaylesstothefirm-leveldata.Itcanbemainlyattributedtothelaggingdisclosureoffinancialdat

4、a.Thetimeseriesregressionresultsofdailyfrequencydatashowthatrisk-freerateandchangesinyieldcurvestructurehavesignificantimpactonchangesofcreditspreads.Returnandvolatilityofstockmarketshownosignificance.Itcanbeattributedtothefactthatmostissuersarenotlistedcompany.Theexplanatorypowerofthemodelreaches1

5、4.62%whichmatchestheresultsinforeignliteratures.Itindicatesthatstructuralmodelvariableshavecertainexplanatorypowerbutwehavenotfindthemainfactorsaffectingchangesofcreditspreads.Duetothelackofdatapointsinmonthlyfrequencydata,theregressionresultisaffectedandweakened.Ingeneral,wefoundtheimpactII上海交通大学硕

6、士学位论文ofchangesinmacroeconomicvariablescontrastwiththeresultsweexpected,probablyduetotherecentfinancialcrisisandthecreditdefaulteventshockshappenedrecently.KEYWORDS:Creditspreads,structuralmodel,realestatesector,quasi-municipalbondsIII上海交通大学硕士学位论文目录第一章绪论..............................................

7、.....................................................................1 1.1分析背景...........................................................................................................1 1.2分析意义............