刚性兑付被打破是否影响公司债的发行定价?——基于“11超日债”违约事件的实证研究  

The Impact of Breaking Rigid-Payment Promise on the Pricing of Corporate Bonds: An Empirical Study Based on the Default Event of Bond 112061

作　　者：彭叠峰[1] 程晓园 Peng Diefeng;Cheng Xiaoyuan(School of Business of Central South University,Changsha 410085;School of Economics of Fudan University,Shanghai 200433)

机构地区：[1]中南大学商学院,长沙410083 [2]复旦大学经济学院,上海200433

出　　处：《管理评论》2018年第12期3-12,共10页Management Review

基　　金：国家自然科学基金项目(71673316)

摘　　要："11超日债"违约是我国债券市场第一起实质性违约事件,打破了公司债券刚性兑付的现状。以2013年至2015年沪深两市公开发行的公司债券为样本,检验刚性兑付被打破是否系统性地影响到公司债的初始定价。实证结果表明:"11超日债"违约后,产权性质与债券信用评级对信用利差的影响加强,其中对产权性质的增强作用处于主导地位。这说明刚性兑付的打破总体上增强了我国债券市场投资者对债券违约风险的感知,尤其是国有产权形成的隐性担保在公司债定价中的作用。这一研究结论有利于我们合理评估"11超日债"违约事件对债券发行定价的影响,正确看待政府的隐性担保行为对公司债券定价的影响,为如何促进我国债券市场的健康发展提供了依据。Bond 112061is the first corporate bond defaulted explicitly in China,which broke long-lasting promise of rigid payment in the bond market.We use the bond samples issued in both Shanghai and Shenzhen exchanges from 2013through 2015to test whether the break of rigid-payment promises has changed the pricing of issued bonds fundamentally.Empirical results show that the variables of ownership state and credit rating both increase their power in explaining the variation of credit yields.And the former dominates the increase of the explanatory power.Our findings imply that the break of rigid-payment promises strengthens the perception of default risk by investors as well as the role of implicit guarantee supported by state ownership in bond pricing.Our work is helpful in assessing the impact of the first default event on bond pricing in the issuing market as well the role of implicit guarantee by the government,which provides in- sightful suggestions on how to develop a healthier bond market in China.

关 键 词：债券定价 信用利差 产权性质 信用评级 隐性担保 

分 类 号：F832.51[经济管理—金融学]