承銷商聲譽(yù)、政府隱性擔(dān)保與債券定價(jià)
發(fā)布時(shí)間：2019-01-19 18:29
【摘要】：近年來(lái),在國(guó)家鼓勵(lì)提高直接融資比重、積極發(fā)展債券市場(chǎng)的政策引導(dǎo)下,隨著經(jīng)濟(jì)下行探底、市場(chǎng)利率不斷下降,以債券為主的直接融資方式逐漸成為企業(yè)主要的融資手段之一。自2015年1月15日證監(jiān)會(huì)公布施行《公司債券發(fā)行與交易管理辦法》以來(lái),我國(guó)公司債市場(chǎng)發(fā)展迎來(lái)戰(zhàn)略機(jī)遇期,呈井噴式行情。債券發(fā)行定價(jià),直接關(guān)系到企業(yè)的融資成本,影響著資源的優(yōu)化配置。基于此,本文首次提出從非正式制度的視角出發(fā),構(gòu)建關(guān)于承銷商聲譽(yù)和政府隱性擔(dān)保的理論分析框架,并利用2012-2016年我國(guó)滬深交易所發(fā)行的公司債橫截面數(shù)據(jù),實(shí)證分析了承銷商聲譽(yù)、政府隱性擔(dān)保對(duì)債券發(fā)行定價(jià)的影響。此外,本文引入市場(chǎng)化程度因素進(jìn)行協(xié)同效應(yīng)的考察。考慮到"公司債新政"的影響,本文還基于四組分類樣本探討了承銷商聲譽(yù)、政府隱性擔(dān)保對(duì)債券定價(jià)影響的異質(zhì)特征。本文主要發(fā)現(xiàn):一是,承銷商聲譽(yù)與債券發(fā)行利差顯著負(fù)相關(guān),驗(yàn)證了承銷商聲譽(yù)機(jī)制在我國(guó)債券定價(jià)領(lǐng)域的存在性。在分類對(duì)比研究中,承銷商聲譽(yù)在公募與私募、上市公司與非上市公司分類樣本中回歸系數(shù)均顯著為負(fù),故發(fā)行人與債券本身的信息不對(duì)稱程度對(duì)其作用發(fā)揮無(wú)影響;但承銷商聲譽(yù)在深交所與"新政后"樣本中的回歸系數(shù)均不顯著,故交易所市場(chǎng)和"公司債新政"對(duì)其作用發(fā)揮產(chǎn)生了異質(zhì)性影響。二是,政府隱性擔(dān)保對(duì)債券定價(jià)具有顯著負(fù)向作用,有效降低國(guó)有企業(yè)的債券融資成本。分類研究發(fā)現(xiàn),政府隱性擔(dān)保并不因樣本細(xì)分而對(duì)債券定價(jià)產(chǎn)生異質(zhì)性影響。三是,市場(chǎng)化程度對(duì)債券定價(jià)具有顯著為負(fù)的作用,且與承銷商聲譽(yù)形成協(xié)同效應(yīng),即市場(chǎng)化程度越高,承銷商聲譽(yù)對(duì)債券定價(jià)的影響越大;而市場(chǎng)化程度與政府隱性擔(dān)保形成反向作用,即市場(chǎng)化程度越低,政府隱性擔(dān)保對(duì)債券定價(jià)的作用越強(qiáng)�；谝陨涎芯堪l(fā)現(xiàn),本文提出了兩點(diǎn)建議:其一,建議和支持監(jiān)管部門(mén)從嚴(yán)監(jiān)管,對(duì)承銷商債券承銷的合法、合規(guī)性提出更高要求,實(shí)行層次分明的獎(jiǎng)懲機(jī)制,加快建立承銷商聲譽(yù)評(píng)價(jià)系統(tǒng),及時(shí)公布承銷商違法違規(guī)或所承銷債券違約事項(xiàng)。鼓勵(lì)各省份(市、自治區(qū))適度增強(qiáng)區(qū)域內(nèi)中介機(jī)構(gòu)的市場(chǎng)競(jìng)爭(zhēng)程度,取消區(qū)域性券商的地方保護(hù)主義,培育承銷商聲譽(yù)機(jī)制自由、有效發(fā)揮的市場(chǎng)土壤。其二,建議地方政府不過(guò)分干預(yù)國(guó)有企業(yè)的融資行為,讓企業(yè)自主、市場(chǎng)化經(jīng)營(yíng),營(yíng)造優(yōu)勝劣汰、公平融資的市場(chǎng)環(huán)境,激發(fā)民營(yíng)經(jīng)濟(jì)活力,發(fā)揮市場(chǎng)在資源配置中的決定性作用。對(duì)投資者而言,需要對(duì)其加以適當(dāng)引導(dǎo),形成正確、客觀和市場(chǎng)化的投資理念,逐漸對(duì)國(guó)企與民企的融資行為"一視同仁"。
[Abstract]:In recent years, under the guidance of the government's policy of encouraging a higher proportion of direct financing and actively developing the bond market, market interest rates have been falling as the economic downturn has bottomed out. Bond-based direct financing has gradually become one of the main financing means of enterprises. Since January 15, 2015, the CSRC promulgated and implemented the measures for the issuance and Trading of Corporate Bonds, the development of China's corporate bond market has ushered in a strategic opportunity period, showing a blowout market. Bond issue pricing is directly related to the financing cost of enterprises and affects the optimal allocation of resources. Based on this, this paper proposes for the first time to construct a theoretical analysis framework of underwriter reputation and government implicit guarantee from the perspective of informal institution, and use the cross-section data of corporate debt issued by China's Shanghai and Shenzhen exchanges from 2012-2016. This paper empirically analyzes the influence of underwriter reputation and government implicit guarantee on bond issue pricing. In addition, this paper introduces market-oriented factors to investigate the synergistic effect. Considering the impact of the "New deal on Corporate Bonds", this paper also discusses the heterogeneous characteristics of the influence of underwriter reputation and government implicit guarantee on bond pricing based on four groups of classified samples. The main findings of this paper are as follows: first, underwriter reputation is negatively correlated with bond issue interest margin, which verifies the existence of underwriter reputation mechanism in the field of bond pricing in China. In the comparative study of classification, the regression coefficient of underwriter reputation in public offering and private placement, listed company and non-listed company is significantly negative, so the asymmetric degree of information between issuer and bond has no effect on its function. However, the regression coefficients of underwriters' reputation in Shenzhen Stock Exchange and "New deal" samples are not significant, so the exchange market and the "New deal on Corporate Bonds" have a heterogeneity effect on their role. The other is that government implicit guarantee has a significant negative effect on bond pricing and effectively reduces the bond financing cost of state-owned enterprises. Classified research shows that government implicit guarantee does not have heterogeneity effect on bond pricing because of sample segmentation. Third, marketization has a significant negative effect on bond pricing, and has a synergistic effect with underwriter reputation, that is, the higher the marketization degree, the greater the influence of underwriter reputation on bond pricing; The degree of marketization is opposite to the government's implicit guarantee, that is, the lower the degree of marketization, the stronger the role of government's implicit guarantee on bond pricing. Based on the above findings, this paper puts forward two suggestions: first, it suggests and supports the regulatory authorities to strictly supervise the underwriters' bond underwriting, put forward higher requirements for the legality and compliance of underwriters' bond underwriting, and implement a well-defined reward and punishment mechanism. Speed up the establishment of underwriter reputation evaluation system, timely release of underwriters illegal or underwritten bond default. The provinces (cities and autonomous regions) should be encouraged to strengthen the market competition degree of the intermediary organizations in the region, abolish the local protectionism of the regional securities firms, cultivate the free reputation mechanism of the underwriters and give full play to the market soil. Second, it is suggested that local governments should not interfere excessively with the financing behavior of state-owned enterprises, allow enterprises to operate independently and market-oriented, create a market environment of survival of the fittest and fair financing, and stimulate the vitality of the private economy. Give play to the decisive role of the market in the allocation of resources. For investors, it is necessary to give proper guidance to them, form a correct, objective and market-oriented investment concept, and gradually treat the financing behavior of state-owned enterprises and private enterprises equally.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：D922.28;F832.51
，
本文編號(hào)：2411631
[Abstract]:In recent years, under the guidance of the government's policy of encouraging a higher proportion of direct financing and actively developing the bond market, market interest rates have been falling as the economic downturn has bottomed out. Bond-based direct financing has gradually become one of the main financing means of enterprises. Since January 15, 2015, the CSRC promulgated and implemented the measures for the issuance and Trading of Corporate Bonds, the development of China's corporate bond market has ushered in a strategic opportunity period, showing a blowout market. Bond issue pricing is directly related to the financing cost of enterprises and affects the optimal allocation of resources. Based on this, this paper proposes for the first time to construct a theoretical analysis framework of underwriter reputation and government implicit guarantee from the perspective of informal institution, and use the cross-section data of corporate debt issued by China's Shanghai and Shenzhen exchanges from 2012-2016. This paper empirically analyzes the influence of underwriter reputation and government implicit guarantee on bond issue pricing. In addition, this paper introduces market-oriented factors to investigate the synergistic effect. Considering the impact of the "New deal on Corporate Bonds", this paper also discusses the heterogeneous characteristics of the influence of underwriter reputation and government implicit guarantee on bond pricing based on four groups of classified samples. The main findings of this paper are as follows: first, underwriter reputation is negatively correlated with bond issue interest margin, which verifies the existence of underwriter reputation mechanism in the field of bond pricing in China. In the comparative study of classification, the regression coefficient of underwriter reputation in public offering and private placement, listed company and non-listed company is significantly negative, so the asymmetric degree of information between issuer and bond has no effect on its function. However, the regression coefficients of underwriters' reputation in Shenzhen Stock Exchange and "New deal" samples are not significant, so the exchange market and the "New deal on Corporate Bonds" have a heterogeneity effect on their role. The other is that government implicit guarantee has a significant negative effect on bond pricing and effectively reduces the bond financing cost of state-owned enterprises. Classified research shows that government implicit guarantee does not have heterogeneity effect on bond pricing because of sample segmentation. Third, marketization has a significant negative effect on bond pricing, and has a synergistic effect with underwriter reputation, that is, the higher the marketization degree, the greater the influence of underwriter reputation on bond pricing; The degree of marketization is opposite to the government's implicit guarantee, that is, the lower the degree of marketization, the stronger the role of government's implicit guarantee on bond pricing. Based on the above findings, this paper puts forward two suggestions: first, it suggests and supports the regulatory authorities to strictly supervise the underwriters' bond underwriting, put forward higher requirements for the legality and compliance of underwriters' bond underwriting, and implement a well-defined reward and punishment mechanism. Speed up the establishment of underwriter reputation evaluation system, timely release of underwriters illegal or underwritten bond default. The provinces (cities and autonomous regions) should be encouraged to strengthen the market competition degree of the intermediary organizations in the region, abolish the local protectionism of the regional securities firms, cultivate the free reputation mechanism of the underwriters and give full play to the market soil. Second, it is suggested that local governments should not interfere excessively with the financing behavior of state-owned enterprises, allow enterprises to operate independently and market-oriented, create a market environment of survival of the fittest and fair financing, and stimulate the vitality of the private economy. Give play to the decisive role of the market in the allocation of resources. For investors, it is necessary to give proper guidance to them, form a correct, objective and market-oriented investment concept, and gradually treat the financing behavior of state-owned enterprises and private enterprises equally.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：D922.28;F832.51
，
本文編號(hào)：2411631
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