期权类契约条款对债券违约风险的影响——基于生存分析法的研究  

The Impact of Option-Type Covenant Terms on the Bond Default Risk:A Study Based on the Survival Analysis Method

作　　者：张雪莹[1] 谢堂坤 Zhang Xueying;Xie Tangkun

机构地区：[1]山东财经大学金融学院,山东济南250002

出　　处：《证券市场导报》2025年第3期58-67,共10页Securities Market Herald

基　　金：教育部人文社科规划项目“管理层股权激励对债券持有人利益的影响研究”(项目编号:24YJA790094);山东省自然科学基金面上项目“逆金融周期监管规则下企业技术创新的政府激励机制研究”(项目编号:ZR2020MG025)。

摘　　要：本文以2010—2022年沪深A股上市公司发行的公司债与企业债为研究样本,手工整理债券募集说明书和债券发行公告书中可提前偿还、可调整利率、可赎回、可回售等期权类条款信息,并构建生存分析模型,探讨期权类契约条款对债券违约风险的影响。研究发现,可提前偿还、可赎回、可回售条款可能使债务提前到期,增加企业短期内的偿债压力,进而提高债券违约风险;可调整利率条款通常与可回售条款捆绑使用,当大量投资者要求回售债券,发行人可能选择上调利率避免回售,但这会提高发行人融资成本并加重其债务压力,继而提高债券后续违约风险;因获取外部融资的难易程度不同,期权类条款对债券违约风险的影响在发行人违约预期高、融资约束高的债券中更显著。进一步分析表明,尽管期权类条款的设置增加了债券上市后的违约风险,但却降低了债券发行成本、提高了投资者认购意愿并降低了债券发行首日净价偏离度,使得债券在发行时有更好的市场表现,因此发行人仍有动机在债券募集说明书中加入期权类条款。本文丰富了债券设置期权类契约条款的经济后果研究,并为降低债券违约风险、保护债券持有人利益和维护债券市场稳定提供了参考。This paper uses corporate bonds and enterprise bonds issued by A-share listed companies on the Shanghai and Shenzhen Stock Exchanges from 2010 to 2022 as the research sample.By manually collecting information on option-type terms such as callable options,adjustable interest rates,redeemable options,and putable options from bond prospectuses and issuance announcements,the paper constructs a survival analysis model to explore the impact of option-type covenant terms on bond default risk.The findings indicate that callable options,redeemable options,and putable options may lead to early debt maturity,increasing the issuer’s short-term repayment pressure and thereby raising the bond default risk.Adjustable interest rate terms are often bundled with putable terms.When a large number of investors exercise the put option,issuers may choose to raise interest rates to avoid repurchases.However,this increases the financing costs for issuers,exacerbating their debt burden and subsequently elevating the future bond default risk.Due to differences in the ease of obtaining external financing,the impact of option-type terms on bond default risk is more significant for bonds issued by entities with higher default expectations and greater financing constraints.Further analysis shows that although the inclusion of option-type terms increases the default risk after bond issuance,it reduces bond issuance costs,enhances investors’willingness to subscribe,and reduces the deviation of the bond’s net price on the first day of issuance,leading to better market performance at the time of bond issuance.Therefore,issuers remain motivated to include option-type terms in bond prospectuses.This paper enriches the research on the economic consequences of incorporating option-type covenant terms into bonds and provides references for reducing bond default risk,protecting bondholders’interests,and maintaining the stability of the bond market.

关 键 词：期权类条款 债券违约风险 生存分析模型 

分 类 号：F832.5[经济管理—金融学]