內部流動性對公司債信用價差之影響

Abstract

在信用風險的領域裡，學者們致力於剖析影響信用價差的因子，然而實證上往往發現理論模型的解釋力十分有限，結構式模型的評價結果與真實市場價格之間仍存在顯著差異。本文旨在探討公司的內部流動性對於公司債信用價差之影響。有別於其他研究使用簡單靜態的財務比率作為流動性的指標，我們應用含有現金流量概念的償付風險變數來衡量內部流動性。實證結果發現，內部流動性確實對公司債信用價差有顯著影響，並且在控制其他重要的解釋變數後，內部流動性對信用價差的影響依然存在，顯示此流動性因子隱含了一些不同於其他理論模型變數的可貴資訊，是故在解釋信用價差時，應將公司的內部流動性因素納入模型考量。除此之外，我們也發現由內部流動性形成的系統性風險因子在捕捉信用價差的動態改變時有很大的貢獻。

In the field of credit risk analysis, considerable empirical studies have been devoted to decomposing the determinants of credit spreads. However, most find that the explanatory power of theoretical models is rather limited, and that the discrepancy between observed credit spread and its theoretical value remains unexplained. This study aims at exploring the effect of corporate internal liquidity on bond credit spreads. Aside from static accounting ratios used in other literatures, we employ a cash flow based solvency risk variable to measure internal liquidity. We find that internal liquidity has significant impact on credit spreads indeed. Besides, the effect of internal liquidity still exists after controlling other important variables. This implies that internal liquidity reveals some supplementary information about corporate credit condition in addition to credit rating or other existing factors. Therefore, internal liquidity risk should be incorporated into the modeling of bond credit spreads. Furthermore, our empirical results suggest that internal liquidity may be a systematic risk factor which can capture market-wide credit spread change to a large extent.