公司债券和股票的收益率相关性实证研究

摘要

从上市公司微观角度，分析同一公司发行的公司债券和股票收益率之间的相关性。分析公司资产影响股票和债券价值的是其均值的变化，而非波动率；公司资产价值变化的信息并非同时传递给所有投资者，而是先融入股票，再传递给债券。结论显示，影响公司债券收益率变化的最重要因素是市场无风险收益率，而公司资产的价值变化的影响相对要小很多。%This paper from the listing Corporation microcosmic angle,the correlation analysis between the same corporate bonds and stock returns.The empirical corporate assets value of shares and bonds is change its mean value,and non volatility;the value of the assets changing information does not transfer to all investors,but first into the stock,and then transferred to the bond.Results show that,the most important factors that affect the change of corporate bond yield is the market risk free rate ,and the effect of changes in the value of the assets of the company is relatively small lot.