摘要
债券增信对定价的影响如何,不同的增信方式对定价影响又如何?通过对2007-2012年上市债券的研究,我们发现,债券增信可以降低信用利差,提升信用评级,因为债券增信可以促进监督。我们还发现,第三方保证比其他增信方式更能降低信用利差,更能提升信用评级,因为第三方保证将强有力的第三方引入债务合约,不仅增强了债务人偿债的动力,还合理分配了监督职责,既降低了监督成本又提高了监督收益。此外,我们还发现,审计质量与债券增信对定价存在一定的替代效应。我们认为,债券增信是投资者实现自我保护的途径,尤其是第三方保证。在像中国这样制度保护弱的国家,第三方保证对于发展债券市场具有重要的作用。
How does credit enhancement affect the pricing of bond？ And is there difference between various kinds of credit enhancement？ Based on the investigation about listed bonds during 2007-2012, we show that, if bonds have credit enhancements, then its credit spread decreases and bong rating improves. That＇ s because credit enhancement encourages bond investors to su- pervise. Also we find that, if bond is guaranteed by third party, its credit spread decreases more and bond rating improves more than other kinds of credit enhanced bonds. That＇ s because powerful third party is involved in bond contracts. The powerful third party enforces debtor to make payments efficiently. And supervision would be distributed rationally between bond investors and powerful third party. Therefore the cost of supervision reduces and the yield improves. In addition, we find those audit quality and credit enhancements are substituted on bond pricing. Our results suggest that credit enhancement is important way to protect creditors themselves, especially third party guarantee. In weak situation like China, third party guarantee is meaningful for bond market developing.
出处
《投资研究》
2015年第2期90-111,共22页
Review of Investment Studies
基金
2012年国家社科基金重点项目"地方政府债务管理与风险防范研究"(项目批准号12AZD048)的一项阶段性工作
关键词
担保
保证
定价
Security, Guarantee, Pricing
