银行承销商投资角色与债券定价效率——基于严控债券代持业务自然实验的分析  

Investment Role of Bank Underwriters and Bond Pricing Efficiency:Analysis Based on a Quasi-Natural Experiment of Tightly Controlled Bond Holding Business

作　　者：林晚发[1] 赵仲匡 刘岩[1] 方梅 LIN Wan-fa;ZHAO Zhong-kuang;LIU Yan;FANG Mei(Economics and Management School,Wuhan University)

机构地区：[1]武汉大学经济与管理学院

出　　处：《中国工业经济》2023年第9期98-116,共19页China Industrial Economics

基　　金：国家自然科学基金面上项目“信用债‘溢价’的成因及其经济后果:基于资源配置效率视角的研究”(批准号72372122);教育部人文社会科学研究青年基金项目“僵尸企业与债券定价扭曲:基于金融分权的解释研究”(批准号22YJC630081)。

摘　　要：债券定价效率是健全债券市场功能、提高债券融资比重的关键所在。本文利用2015—2020年银行间债券市场中期票据数据,以“302号文”作为银行承销商投资资金充足的外生冲击,分析承销商投资角色对债券市场定价效率的影响。结果发现,承销商一级市场投资参与度越小,债券一级市场发行信用利差越低,且存在显著的一二级市场价差,经过一系列稳健性检验后上述结论仍然成立。结论表明,银行承销商一级市场投资参与扭曲了债券定价效率。机制检验发现,“302号文”颁布后,与银行承销商相关联基金的一级市场购买份额显著下降,同时债券定价扭曲效应在质量差的企业或债券组中更加显著。扩展性分析表明,低信用利差作为一个“好”信号能够吸引信息劣势的投资者,同时承销商也会采用推迟簿记建档时间寻找更多的信息劣势投资者,从而保证债券发行成功。进一步还发现,银行承销商存在来自政府关系与自身利益两方面的收益,可以弥补银行承销商一二级市场价差所带来的账面损失。本文为规范承销商投资行为与建立健全债券市场投资者保护机制提供了经验证据。With the sharp increase in the number of bond defaults,underwriters have been repeatedly pushed to the forefront of the market,and the role of underwriters in the bond market has been widely questioned by the public,and caused the attention of regulators.However,existing literature has not focused on the impact of banks as investors on the bond market.Therefore,this paper will analyze the impact of the investment role of bank underwriters on bond pricing efficiency.This paper finds that the credit spread of bonds issued by bank underwriters with insufficient investment funds decreases more,and the price in the secondary market decreases more,which indicates that secondary investors in the bond market do not recognize such low coupon bonds,and further indicates that there is a pricing distortion in the primary market of bonds.The mechanism test shows that the share of primary market purchases by funds associated with bank underwriters have significantly decreased after the promulgation of Circular No.302,indicating that the primary market participation of bank underwriters has indeed decreased.The distortion effect in bond pricing is more pronounced in the group of high-risk firms and bonds.Extensive analysis shows that low coupon rate act as a"good"signal to attract informationally disadvantaged investors,and underwriters use delayed book building to find more informationally disadvantaged investors,thus ensuring a successful bond issue.In addition,banks with significant relationships with local governments have wider credit spreads on the issuance of underwritten bonds,and the premium caused by banks'low coupon rates can increase their underwriting market share and reduce the proportion of bad loans.This conclusion explains the incentive for banks to hold down the coupon rate in terms of their own profits.The potential contributions of this paper are as follows.This paper is the first to use the exogenous impact of the restriction of Circular No.302 on bond holding business to empirically test the impact of the

关 键 词：银行承销商 投资角色 债券信用利差 一二级市场价差 

分 类 号：F270[经济管理—企业管理]