债券风险信息披露与债券信用利差——基于信息锚定机制的U型关系新解  

Bond Risk Information Disclosure and Bond Credit Spreads:A New Understanding of U-Shaped Relationship Based on Information Anchoring Mechanism

作　　者：张军[1] 于瑶 杨策 ZHANG Jun;YU Yao;YANG Ce(School of Accounting,Beijing Wuzi University,Beijing 101149,China;Research Center for Finance and Accounting,Chinese Academy of Fiscal Sciences,Beijing 100142,China)

机构地区：[1]北京物资学院会计学院,北京101149 [2]中国财政科学研究院财务与会计研究中心,北京100142

出　　处：《财经问题研究》2025年第4期115-128,F0003,共15页Research On Financial and Economic Issues

基　　金：教育部人文社会科学基金后期资助项目“地方政府债券发行中的政府会计功能优化研究”(18JHQ057)。

摘　　要：现有研究指出,投资者对债券募集说明书中的风险信息披露持“风险观”。为进一步挖掘风险信息披露的定价反应,本文以2010—2021年中国上市公司发行的一般公司债为研究对象,基于对债券募集说明书“风险因素”章节中风险词汇的文本分析,通过构建非线性模型研究债券风险信息披露对债券信用利差的影响。研究发现,债券风险信息披露与债券信用利差之间存在U型关系。异质性分析发现,债券风险信息披露与债券信用利差之间存在的U型关系在信息环境较好和公司业绩较好的样本中更显著。这些证据表明,除了传统的“风险观”外,还存在“信息观”。进一步研究证实,投资者会根据公开信息建立直接型或分析型风险信息锚。当债券风险信息披露位于“信息锚”的范围内时,表现为“信息观”;一旦超出这个范围,则转为“风险观”。但在分析型风险信息锚的研究中发现,投资者仅对预期内的内部风险信息披露表现出“信息观”,对预期内的外部风险信息披露并不敏感。本文为有效降低债券发行方的融资成本、提升市场监管部门的监督水平提供了理论支持。A well-developed information disclosure policy system is crucial for advancing the high-quality development of China’s bond market.It helps reduce bond credit spreads and agency costs,enhance the proportion of bond financing,and improve market efficiency.Previous studies often posit a linear relationship between risk information disclosure and credit spreads.In the context of promoting high-quality development and refining information disclosure mechanisms in China’s bond market,the pricing effects of risk information disclosure and its specific mechanisms of impact on credit risk warrant further exploration.This study examines general corporate bonds issued by Chinese listed companies from 2010 to 2021.By conducting a textual analysis of risk-related terms in the risk factors section of bond prospectuses,this study applies the prospect theory to investigate the relationship between the extent of risk information disclosure in bond prospectuses and bond credit spreads.The results reveal a U-shaped relationship between risk information disclosure and credit spreads,reflecting the dual effects of the“information perspective”and“risk perspective”.Robustness checks using instrumental variable approaches,propensity score matching(PSM),and the Heckman two-stage model confirm this U-shaped relationship.Further validation through the“risk information anchor”test demonstrates that investors establish an“information anchor”based on public information to assess bond risks.Risk disclosures within the anchor range align with the“information perspective”,while disclosures exceeding the anchor trigger the“risk perspective”.Heterogeneity tests indicate that the U-shaped relationship is more significant in samples with better information environments and stronger corporate performance.This study contributes to previous studies in three aspects.First,it provides evidence of the“information perspective”in bond market risk disclosures,complementing existing conclusions that predominantly emphasize the

关 键 词：债券风险信息披露 债券信用利差 前景理论 信息锚定理论 

分 类 号：F832.51[经济管理—金融学]