本文關(guān)鍵詞：企業(yè)債券與公司債券定價差異研究　出處：《武漢大學》2013年博士論文　論文類型：學位論文

  更多相關(guān)文章： 比較研究 信息有效性 信用風險 流動性風險 定價模型

【摘要】：本文從信息有效性、定價影響因素、定價模型評估三個方面,研究和比較了我國證券交易所市場上最重要、交易最活躍的兩類信用債券——企業(yè)債券與公司債券——的定價機制和定價差異。 對信息有效性的研究發(fā)現(xiàn),企業(yè)債券和公司債券的信息有效性都很低,但后者好于前者,意味著企業(yè)債券和公司債券的未來價格在一定程度上可以通過各方面信息的歷史數(shù)據(jù)進行預測。具體而言：1)歷史價格信息最具預測力,兩類債券的價格具有均值反轉(zhuǎn)特性;2)歷史的無風險利率數(shù)據(jù)也具有顯著預測性,其反映到兩類債券上會有延遲；3)股指回報率雖不能代表宏觀經(jīng)濟信息,但也具有一定預測力,其與債券價格的關(guān)系是此消彼長,形成“蹺蹺板效應(yīng)”；4)發(fā)債公司的股價回報率對債券價格有微弱的預測力,有可能是這方面的信息有效性高,也有可能是其與債券價格之間的關(guān)系本身就很微弱。5)作為新出現(xiàn)的公司債券,其在各方面的信息有效性都比企業(yè)債券高。 對定價影響因素的研究發(fā)現(xiàn),無風險利率、信用風險、流動性風險、定價復雜性風險等因素,都會對債券收益率產(chǎn)生影響。除無風險利率外,信用風險是最主要的影響因素,其次是流動性風險,而定價復雜性風險對收益率的影響則可忽略不計。流動性風險的各種考量指標中,債券年齡對收益率的影響最大。新債券的流動性往往很高,債券收益率較低,老債券的流動性往往降低很多,債券收益率較高。除上述影響因素之外,還有一個重要的影響因素是債券類型。即若控制住上述因素保證可比,公司債券的收益率仍然會比企業(yè)債券高50～100個基點。這個數(shù)值是非常顯著不可忽視的,尤其值得投資者注意。 對定價模型評估的研究發(fā)現(xiàn),使用Merton模型來為企業(yè)債券和公司債券進行定價,效果很不理想。企業(yè)債券定價的平均絕對誤差為3.33元,公司債券定價的平均絕對誤差為10.65元,理論價格普遍高于實際市場價格。進一步分析定價殘差的來源可以發(fā)現(xiàn)：1)Merton模型對無風險利率的調(diào)整是矯枉過正的；2)對信用風險的調(diào)整是失敗的——有的調(diào)整方向錯誤,有的沒能調(diào)整,有的矯枉過正；3)對流動性風險幾乎完全沒有調(diào)整；4)對定價復雜性風險有比較適宜的調(diào)整,但所產(chǎn)生的積極影響總的來說微不足道；5)對本文所發(fā)現(xiàn)的債券類型因素同樣完全沒有調(diào)整。
[Abstract]:From the three aspects of information validity, pricing influence factors and pricing model evaluation, this paper studies and compares the pricing mechanism and pricing difference of the most important and most active two kinds of credit bonds, corporate bonds and corporate bonds in China's stock exchanges market.
Study on the effectiveness of information discovery, information on the effectiveness of corporate bonds and corporate bonds are very low, but the latter is better than the former, means that the enterprise bond and corporate bond prices in the future can be based on historical data to predict the information to a certain extent. Specifically: 1) the historical price information with the highest predictive power two, the price of the bond is the mean reversion characteristic; 2) the risk-free interest rate data history also significantly predicted, there will be a delay of two to reflect its bonds; 3) stock index return is not representative of macroeconomic information, but also has a certain predictive power, its relationship with the bond price is less. The formation of "seesaw effect"; 4) the issuing corporation's share price returns predict weak on bond prices, there may be the effectiveness of information in this area is high, there may be a relationship between the price and the bond itself It's very weak.5) as a newly emerging corporate bond, its information in all aspects is more effective than corporate bonds.
The study found that the factors affecting the pricing, the risk-free interest rate, credit risk, liquidity risk, risk pricing complexity and other factors, will affect the rate of bond yields. In addition to the risk-free interest rate, credit risk is the most important factor, followed by liquidity risk, pricing risk and complexity on the yield it can be neglected. Various liquidity risk indicators, bond age biggest impact on yields. Often high new liquidity bonds, bond yields low, liquidity tends to reduce a lot of old bonds, bond yields higher. In addition to the above factors, there is an important influence is the bond type. If the factors control the above factors to ensure comparable corporate bond yields will still be 50 to 100 basis points higher than corporate bonds. This value is very obviously can not be ignored, especially worth investors Be careful.
On evaluation model, using the Merton model to pricing for corporate bonds and corporate bonds, the effect is not ideal. The average absolute error of corporate bond pricing for 3.33 yuan, the average absolute error of corporate bonds pricing for 10.65 yuan, the price is generally higher than the actual market price theory. Further analysis of the sources of residual pricing can be found: 1) Merton model is overkill for risk-free rate adjustment; 2) to the credit risk adjustment is to adjust the direction of failure in some errors, some can not adjust some, too; 3) the liquidity risk of almost no adjustment; 4) is more suitable for the adjustment of the complexity of risk pricing, but positive the impact of generally not worth mentioning; 5) bond types of the same factors that no adjustment.

【學位授予單位】：武漢大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.51

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