契约条款影响债券价格吗?——基于中国公司债市场的经验研究  

Do Bond Covenants Affect Bond Price?An Empirical Study Based on Corporate Bond Market of China

作　　者：史永东[1] 田渊博 

机构地区：[1]东北财经大学应用金融研究中心,辽宁大连116025

出　　处：《金融研究》2016年第8期143-158,共16页Journal of Financial Research

基　　金：国家自然科学基金(71471031;71171036);国家社会科学基金重大项目(12&ZD067);国家社会科学基金重点项目(14AZD089);辽宁特聘教授支持计划(辽教发[2013]204号);教育部人文社会科学研究项目(15YJA790092;15YJC790041);东北财经大学学科建设支持计划(XKK-201401)的资助

摘　　要：本文着眼于债券契约条款具有保护债权人权利的本质属性,将公司债券的总价差分解为信用价差和非信用价差,通过手工整理数据,应用组合排序法及Fama-Macbeth方法,研究了债券契约条款对债券定价影响的途径和程度。结论表明:债券契约条款由于能够保护债权人的未来权益,减少债权人承担的风险,从而能够有效降低债券的信用价差和非信用价差,并且债券契约条款对信用价差的影响程度更大;通过信用价差和非信用价差两种影响效应的叠加,债券契约条款同样能够显著降低债券到期收益率的总价差。Focusing on the essential attribute that bond covenants could protect the creditors＇ rights, we collected data by hand and applied methods of portfolios - sort and Fama - Macbeth to analyze channels and degrees of the impacts that bond covenants imposed on corporate bond pricing by decomposing the total spread of corporate bond into credit spread and non -credit spread. The conclusions demonstrated that the bond covenants could effectively reduce the credit spread and non - credit spread of corporate bond price due to protecting the interests of creditors from losses in the future and reducing the creditors risk. , bond covenants have larger impact on total spread by superposition of credit spread effect and non - credit spread effect, which ultimately makes the bond covenants could also significantly lower the total spread of corporate bond yield to maturity.

关 键 词：契约条款 债券价格 Fama—Macbeth 信用价差 非信用价差 

分 类 号：F832.51[经济管理—金融学]