| 6,066 | 349 | 235 |
| 下载次数 | 被引频次 | 阅读次数 |
在将债券市场中的信息问题区分为一级市场上发债企业与投资者之间的信息不确定与二级市场上投资者之间的信息不对称基础上,本文以中国企业债券为样本,实证检验信息不确定、信息不对称与债券信用利差的关系。结果表明,在控制债券以及企业层面相关控制变量情况下,投资者在信息不确定与信息不对称两种情况下能获得显著的风险溢价。在控制了信用等级与事件日时长的情况下,该结果是稳健的。最后,信息不确定与信息不对称能够帮助信用风险结构模型解释债券信用利差。本文的研究结论表明,为了更好地保护投资者,监管部门在加强企业债券信息披露监管的同时,也应该强化对投资者信息披露的监管。
Abstract：According to the corporate bond issuance process,the information asymmetry is divided into two types: one is the information asymmetry between the issuers and the investors; the other type is the information asymmetry between investors. This study examines the effects of information uncertainty and information asymmetry on corporate bond yield spreads using Chinese corporate bond data. Empirical results of this study show that investors charge a significant risk premium for both information uncertainty and information asymmetry when controlling for variables well known in the literature. The results are robust even when controlling for credit ratings and event date duration. Finally,information uncertainty and information asymmetries structural credit risk models to help explain the bond credit spreads. This study concluded that in order to better protect investors,regulatory authorities in strengthening corporate bond information disclosure regulation; it should also strengthen the supervision of information disclosure to investors.
[1]Zhang,X.F.,Information Uncertainty and Stock Returns[J].Journal of Finance,2006(61):105-137.
[2]Jiang,G.,Lee,C.M.C.,and Zhang,G.Y.,Information Uncertainty and Expected Returns[J].Review of Accounting Studies,2005(10):185-221.
[3]Duffie,D.,and Lando,D.,Term Structures of Credit Spreads with Incomplete Accounting Information[J].Journal of the Econometric Society,2001(69):633-664.
[4]Merton,R.C.,On the Pricing of Corporate Debt:The Risk Structure of Interest Rates[J].Journal of Finance,1974(29):449-470.
[5]Yu,F.,Accounting Transparency and the Term Structure of Credit Spread[J].Journal of Financial Economics,2005(75):53-84.
[6]Liao,H.H.,Chen,T.K.,and Lu,C.W.,Bank Credit Risk and Structural Credit Models:Agency and Information Asymmetry Perspectives[J].Journal of Banking and Finance,2009(33):1520-1530.
[7]Copeland,T.,and Galai,D.,Information Effects on the Bid-Ask Spread[J].The Journal of Finance,1983(38):1457-1469.
[8]周宏,杨萌萌,李远远.企业债券信用风险影响因素研究评述[J].经济学动态,2010(12):137-141.
[9]周宏等.信息不对称与企业债券信用风险估价——基于2008-2011年中国企业债券数据[J].会计研究,2012(12):32-38.
[10]Moerman,W.R.,The Role of Information Asymmetry and Financial Reporting Quality in Debt Trading:Evidence from the Secondary Loan Market[J].Journal of Accounting and Economics,2005(46):240-260.
[11]Brennan,M.,Jagadeesh,N.,and Swaminathan,B.,Investment Analysis and the Adjustment of Stock Prices to Common Information[J].Review of Financial Studies,1993(6):799-842.
[12]Dechow,P.M.,and Dichev,L.D.,The Quality of Accruals and Earnings:The Role of Accrual Estimation Errors[J].The Accounting Review,2002(1):35-59.
[13]Hong,H.,Lim,T.,and Stein,J.C.,Bad News Travels Slowly:Size,Analyst Coverage,and the Profitability of Momentum Strategies[J].Journal of Finance,2000(3):265-295.
[14]Collin-Dufresne,P.,and Robert S.Goldstein,J.,Spencer Martin.The Determinants of Credit Spread Changes[J].The Journal of Finance,2002(6):2177-2207.
[15]Helwege,J.,and Turner,C.M.,The Slope of the Credit Yield Curve for Speculative-Grade Issuers[J].The Journal of Finance,1999(54):1869-1884.
[16]Elton,J.E,and Gruber,M.J,Explaining the Rate Spread on Corporate Bonds[J].The Journal of Finance,2001(56):247-277.
①游芸芸.2013年券商债券承销变局隐现企业债发行规模爆发性增长[N].证券时报,2013-1-8.
①林毅夫.展望未来20年中国经济发展格局[EB/OL].北京大学国家发展研究院网,2012-2-10.
②方烨,胡鞍钢.未来20年中国经济仍将保持高速增长[EB/OL].中国经济网,2013-8-12.
③楚树龙.上升中的中国国力与国际地位与作用[EB/OL].清华大学国际战略与发展研究所网,2009-7-17.
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2014.05.010
中图分类号:F830.91;F224
引用信息:
[1]周宏,林晚发,李国平.信息不确定、信息不对称与债券信用利差[J].统计研究,2014,31(05):66-72.DOI:10.19343/j.cnki.11-1302/c.2014.05.010.
基金信息:
国家自然科学基金(71172152);; 国家社会科学基金(11BTJ014);; 北京市教育委员会共建项目专项资金;; 中央财经大学“211工程”重点学科建设;; “青年科研创新团队支持计划”资助
2014-05-15
2014-05-15