信息不确定、信息不对称与债券信用利差  

Uncertainty Information、Asymmetry Information and Credit Spread of Bond

作　　者：周宏[1] 林晚发[1] 李国平[2] 

机构地区：[1]中央财经大学会计学院 [2]中央财经大学管理科学与工程学院

出　　处：《统计研究》2014年第5期66-72,共7页Statistical Research

基　　金：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

摘　　要：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。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.

关 键 词：信息不确定 信息不对称 信用利差 企业债券 

分 类 号：C812[社会学—统计学]