承销商声誉、政府隐性担保与债券定价
发布时间：2019-01-19 18:29
【摘要】：近年来,在国家鼓励提高直接融资比重、积极发展债券市场的政策引导下,随着经济下行探底、市场利率不断下降,以债券为主的直接融资方式逐渐成为企业主要的融资手段之一。自2015年1月15日证监会公布施行《公司债券发行与交易管理办法》以来,我国公司债市场发展迎来战略机遇期,呈井喷式行情。债券发行定价,直接关系到企业的融资成本,影响着资源的优化配置。基于此,本文首次提出从非正式制度的视角出发,构建关于承销商声誉和政府隐性担保的理论分析框架,并利用2012-2016年我国沪深交易所发行的公司债横截面数据,实证分析了承销商声誉、政府隐性担保对债券发行定价的影响。此外,本文引入市场化程度因素进行协同效应的考察。考虑到"公司债新政"的影响,本文还基于四组分类样本探讨了承销商声誉、政府隐性担保对债券定价影响的异质特征。本文主要发现:一是,承销商声誉与债券发行利差显著负相关,验证了承销商声誉机制在我国债券定价领域的存在性。在分类对比研究中,承销商声誉在公募与私募、上市公司与非上市公司分类样本中回归系数均显著为负,故发行人与债券本身的信息不对称程度对其作用发挥无影响;但承销商声誉在深交所与"新政后"样本中的回归系数均不显著,故交易所市场和"公司债新政"对其作用发挥产生了异质性影响。二是,政府隐性担保对债券定价具有显著负向作用,有效降低国有企业的债券融资成本。分类研究发现,政府隐性担保并不因样本细分而对债券定价产生异质性影响。三是,市场化程度对债券定价具有显著为负的作用,且与承销商声誉形成协同效应,即市场化程度越高,承销商声誉对债券定价的影响越大;而市场化程度与政府隐性担保形成反向作用,即市场化程度越低,政府隐性担保对债券定价的作用越强。基于以上研究发现,本文提出了两点建议:其一,建议和支持监管部门从严监管,对承销商债券承销的合法、合规性提出更高要求,实行层次分明的奖惩机制,加快建立承销商声誉评价系统,及时公布承销商违法违规或所承销债券违约事项。鼓励各省份(市、自治区)适度增强区域内中介机构的市场竞争程度,取消区域性券商的地方保护主义,培育承销商声誉机制自由、有效发挥的市场土壤。其二,建议地方政府不过分干预国有企业的融资行为,让企业自主、市场化经营,营造优胜劣汰、公平融资的市场环境,激发民营经济活力,发挥市场在资源配置中的决定性作用。对投资者而言,需要对其加以适当引导,形成正确、客观和市场化的投资理念,逐渐对国企与民企的融资行为"一视同仁"。
[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.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：D922.28;F832.51
，
本文编号：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.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：D922.28;F832.51
，
本文编号：2411631
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