融资环境、特殊条款行权与信用债违约风险  

Financing Environment,Special Term Exercise and the Risk of Credit Bond Default

作　　者：于谦龙[1] 胡琴 郭佳利 YU Qianlong;HU Qin;GUO Jiali(Business School,University of Shanghai for Science&Technology,Shanghai 200093,China)

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《南京审计大学学报》2022年第4期71-80,共10页Journal of Nanjing Audit University

基　　金：上海市高水平学科建设项目(管理科学与工程)经费资助项目。

摘　　要：为探索不同融资环境下含票面利率调整权和回售权债券的行权逻辑和影响路径,挖掘与证实两者行权过程中发行人可能的违约风险信息价值,选择2014—2021年的信用债样本进行实证分析。研究发现:首先,当融资环境由紧缩变为宽松时,债券发行人在行使票面利率调整权时越倾向于向下调整,且高信用评级比低信用评级债券的票面利率调整幅度更大。其次,当债券发行人调整债券票面利率后的超额利差越大,投资人越不会行使回售权。最后,在融资环境宽松时仍选择向上调整票面利率的债券更可能发生违约,这就证实了该行为的违约预警价值。研究结论将为债券发行人、投资人及监管者等提供决策参考。To explore the exercise logic and influence path of the bonds including coupon rate adjustment right and resale right under different financing environments,and to excavate and confirm the value of the possible default risk information of issuers in the process of both exercises,the credit bond sample from 2014—2021 was selected for empirical analysis.The findings are as follows:firstly,when the financing environment changes from tightening to loosening,the more the bond issuer prefers to adjust downward,and bonds with higher credit ratings have larger coupon rate adjustments than bonds with lower credit ratings.Secondly,when exercising the coupon rate adjustment right,the greater the excess spread after the bond issuer adjusts the bond coupon rate,the less the investors will exercise the right to sell back.Finally,the bonds that still choose to adjust the coupon rate upward in loose financing environment are more likely to default,which confirms the default warning value of the exercise.The conclusions will provide reference for bond issuers,investors and regulators in their decision-making.

关 键 词：融资环境 票面利率调整 债券回售 债券违约 货币政策 信用评级 

分 类 号：F830.91[经济管理—金融学]