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基于Altman(1968)的Z值模型以及Houweling等(2005)对于流动性利差的研究方法,建立短期融资券定价模型。通过对2010年7—12月发行的120支短期融资券的量化分析得出以下主要结论:短期融资券的发行利差与发行规模、二级市场换手率、企业性质呈反向关系,与信用级别呈正向关系;信用级别不同发行主体的发行利差差异很大,上市公司相对国企来说能获得更低的信用溢价,最后提出相关建议。
Based on Altman’s (1968) Z-value model and Houweling et al.’s (2005) study of liquidity spreads, a short-term financing bill pricing model was established. Through the quantitative analysis of the 120 short-term financing bonds issued in July-December 2010, we draw the following main conclusions: The issue spread of short-term financing bills has an inverse relationship with the size of the issue, the secondary market turnover rate and the nature of the enterprise, and The credit level is in a positive relationship; the issue spreads of different issuers with different credit levels are quite different. Listed companies can obtain lower credit premiums than the state-owned enterprises, and finally make relevant suggestions.