企业债券与公司债券定价差异研究

发布时间：2018-01-04 23:08

本文关键词：企业债券与公司债券定价差异研究　出处：《武汉大学》2013年博士论文　论文类型：学位论文

【摘要】：本文从信息有效性、定价影响因素、定价模型评估三个方面,研究和比较了我国证券交易所市场上最重要、交易最活跃的两类信用债券——企业债券与公司债券——的定价机制和定价差异。对信息有效性的研究发现,企业债券和公司债券的信息有效性都很低,但后者好于前者,意味着企业债券和公司债券的未来价格在一定程度上可以通过各方面信息的历史数据进行预测。具体而言：1)历史价格信息最具预测力,两类债券的价格具有均值反转特性;2)历史的无风险利率数据也具有显著预测性,其反映到两类债券上会有延迟；3)股指回报率虽不能代表宏观经济信息,但也具有一定预测力,其与债券价格的关系是此消彼长,形成“跷跷板效应”；4)发债公司的股价回报率对债券价格有微弱的预测力,有可能是这方面的信息有效性高,也有可能是其与债券价格之间的关系本身就很微弱。5)作为新出现的公司债券,其在各方面的信息有效性都比企业债券高。对定价影响因素的研究发现,无风险利率、信用风险、流动性风险、定价复杂性风险等因素,都会对债券收益率产生影响。除无风险利率外,信用风险是最主要的影响因素,其次是流动性风险,而定价复杂性风险对收益率的影响则可忽略不计。流动性风险的各种考量指标中,债券年龄对收益率的影响最大。新债券的流动性往往很高,债券收益率较低,老债券的流动性往往降低很多,债券收益率较高。除上述影响因素之外,还有一个重要的影响因素是债券类型。即若控制住上述因素保证可比,公司债券的收益率仍然会比企业债券高50～100个基点。这个数值是非常显著不可忽视的,尤其值得投资者注意。对定价模型评估的研究发现,使用Merton模型来为企业债券和公司债券进行定价,效果很不理想。企业债券定价的平均绝对误差为3.33元,公司债券定价的平均绝对误差为10.65元,理论价格普遍高于实际市场价格。进一步分析定价残差的来源可以发现：1)Merton模型对无风险利率的调整是矫枉过正的；2)对信用风险的调整是失败的——有的调整方向错误,有的没能调整,有的矫枉过正；3)对流动性风险几乎完全没有调整；4)对定价复杂性风险有比较适宜的调整,但所产生的积极影响总的来说微不足道；5)对本文所发现的债券类型因素同样完全没有调整。
[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.

【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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