事件类限制性条款与债券信用利差——基于公司债市场的经验研究  

Event-Related Restrictive Covenants and Bond Credit Spreads:Evidence from Corporate Bonds Market

作　　者：刘辰嫣 肖作平 Liu Chenyan;Xiao Zuoping

机构地区：[1]四川农业大学商旅学院,611830 [2]杭州电子科技大学会计学院,310018

出　　处：《会计研究》2022年第9期140-151,共12页Accounting Research

基　　金：国家自然科学基金项目(72072049,71772154);浙江省新兴(交叉)学科重大课题(21XXJC03ZD);浙江省哲学社会科学规划领军人才培育专项(22YJRC05ZD)资助

摘　　要：自2016年债券市场集中爆发违约以来,限制性条款在债券契约中的作用受到更多关注。本文以2016-2020年中国A股上市公司发行的公司债为样本,实证研究事件类限制性条款对公司债信用利差的影响。研究发现:(1)设置事件类限制性条款越多,信用利差越高。(2)债券发行人为国有企业或公司治理水平较高时,事件类限制性条款与债券信用利差间的正相关关系会有所减弱。债券发行人所处行业存在债券违约、债券发行时经济政策不确定越强或所处地区的市场化程度越低时,事件类限制性条款与债券信用利差间的正相关关系会有所加强。(3)事件类限制性条款的设置会降低公司未来价值,但能够帮助评级较低的公司提高债券发行成功率。本文研究结论不仅丰富了限制性条款经济后果及债券融资成本影响因素的研究,同时为监管部门进一步完善投资者保护条款设置提供实证支持。As massive defaults have erupted in the bond market since 2016,more attention has been drawn to the role of restrictive covenants in bond contracts.This paper empirically explores the effect of event-related restrictive covenants on corporate bonds credit spreads using the research sample of corporate bonds issued by Chinese A-share listed firms from 2016 to 2020.The empirical results show that:(1)Credit spreads are higher when corporate bonds include more event-related restrictive covenants.(2)The positive association between event-related restrictive covenants and credit spreads is weakened when the bond issuers are SOEs or have better corporate governance.The positive association between event-related restrictive covenants and credit spreads is strengthened when there are defaulted bonds in the same industry of the issuer,when economic policy uncertainty is stronger,or when the degree of marketization is lower.(3)More event-related restrictive covenants would reduce the firm's future value,but more covenants could help lower-rated issuers improve their success rate in issuing bonds.This paper contributes to the literature on the economic consequences of restrictive covenants and influencing factors of the cost of bonds.Moreover,our findings provide empirical support for the regulatory authorities to further improve the investor protection provisions.

关 键 词：事件类限制性条款 信用利差 公司债 信用风险 

分 类 号：F832.51[经济管理—金融学] F275