講座：Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market
題 目：Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market
嘉 賓：Zhan Shi, Assistant Professor, PBC School of Finance, Tsinghua University
主持人：李楠 副教授 上海交通大學安泰經濟與管理學院金融系
What drives short-term credit spreads is a crucial yet controversial question in credit markets, yet the empirical literature on the determinants of such spreads is rather thin perhaps due to data limitations. Using a unique data set of secondary market transaction prices of Chinese commercial papers, this paper provides a comprehensive study on the determinants of short-term credit spreads within the structural framework of credit risk modeling. Specifically, we propose a model of risky debt pricing with rollover risk, jumps, and endogenous liquidity. Among other things, this model allows us to decompose commercial paper yield spreads into a credit component and a liquidity component in a unified manner. We find that both credit and liquidity factors are important determinants of short-term corporate yield spreads and that on average, the proposed structural model can largely match levels of commercial paper spreads in our sample. Especially, our decomposition results indicate that jump risk and market illiquidity make equally important contributions to the spreads on commercial papers.
Zhan Shi is currently an Assistant Professor at PBC School of Finance, Tsinghua University. Zhan received his Ph.D. in Finance from The Pennsylvania State University in 2014. Before that, he earned his B.S. in Statistics from Fudan University in 2008. In addition, he also worked as a Visiting Assistant Professor of Finance in The Ohio State University. His research interests include Fixed Income, Dynamic Corporate Finance, Market Microstructure, and FinTech. His work on time-varying ambiguity has won 2014 WFA Cubist Systematic Strategies Ph.D. Candidate Award and was published in Journal of Financial Economics.