Abstract: This paper investigated the determinants of credit spread in Chinese corporate bond market based on the theory of credit spread decomposition. According to the rating information, we show that expected default accounts for a really small fraction of the after-tax spread in corporate rates over treasuries. Meanwhile, we find that the term structure of risk-free rate，the liquidity risk premium and the PMI index have strong explanatory powers. A further study shows that the remaining portion of the credit spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. We think this is an interesting topic deserving more further studies.

摘要： 本文以信用利差分解理论为基础，结合债券评级信息，基于市场实际数据实证研究了中国公司债券市场信用利差的决定因素。研究结果表明，预期违约损失在税后信用利差中只占到很小一部分的比例。同时，无风险利率的期限结构、流动性风险因子、 宏观经济指标等因子都对信用利差有较显著的解释力。进一步的研究结果显示，公司债利差中显著包含了一定的风险溢价，这点在后面的研究中可以进行更深入的考察。