摘要
我国信用债市场存在个券自一级发行簿记到二级上市交易过渡中估值与实际票面偏离的现象,引发市场对于债券发行规则是否能精准为债券定价的思考。发行人、承销商和投资者信息不对称是影响债券定价的重要因素,而信息传递主要是通过簿记规定时间内的三方多轮次沟通实现的。本文以2016—2019年企业债、中期票据、定向融资工具、公募公司债的发行数据为样本,用OLS模型研究簿记延时规则对不同品种信用债定价准确度的影响,并利用倾向得分匹配法消除处理效应对结果的影响。结果表明,有利用信息不对称误导投资者倾向的发行人更易选择公司债进行融资,剔除这一因素,承销商与发行人占主动权的延时规则使得债券簿记利率偏低。
In China’s credit bond market,there is a phenomenon that the valuation of individual bonds deviates from the actual face value in the transition from primary issue bookkeeping to secondary listing transaction,which leads to the thinking about whether the bond issuance rules can accurately price bonds.At present,it is generally believed that the information asymmetry among issuers,underwriters and investors is an important factor affecting bond pricing,and information transmission is mainly achieved through multiple rounds of communication among the three parties within the prescribed time of bookkeeping.This paper studies the impact of bookkeeping delay rules on the pricing accuracy of different types of credit bonds based on the issuing data of corporate bonds,medium-term notes,private placement note and public offering corporate bonds from 2016 to 2019.The results show that issuers who tend to mislead investors by information asymmetry are more likely to choose corporate bonds for financing.Excluding this factor,the delay rule of underwriters and issuers taking the initiative makes the bond bookkeeping interest rate lower.
出处
《开发性金融研究》
2020年第6期64-75,共12页
Development Finance Research
关键词
一级市场
信用债
处理效应
延时
信息不对称
Primary Market
Credit Bond
Processing Effect
Delayed
Information Asymmetry
