信息不对称与企业债券信用风险估价——基于2008-2011年中国企业债券数据

Research on the Impact of Information Asymmetry on the Credit Risk of Chinese Corporate Bonds——Based on the Data of Chinese Corporate Bonds in 2008-2011

企业债券发行者与投资者之间的信息不对称,导致投资者因为承担更大的风险而要求更高的回报,从而推高企业债券发行者的信用利差。本文利用2008年12月31日至2011年12月31日中国非上市企业债券数据,实证检验企业债券发行者和投资者之间的信息不对称对企业债券信用利差的影响。我们发现,企业债券发行者和投资者之间的信息不对称程度与企业债券信用利差之间存在显著的正相关性。同时,本文构建了包含信息不对称的企业债券信用风险估价模型。与传统的BS估价模型相比,本文构建的估价模型能更好地拟合实际信用利差。

Using data on bonds issued by Chinese private companies during the period from December 31, 2008 to December 31, 2011, this paper empirically tests the impact of information asymmetry between bond issuers and bond investors on corporate credit spreads and find a statistically positive correlation between information asymmetry and corporate credit spreads. A model, into which information asymmetry is incorporated, is then constructed for credit spread evaluation. Empricial tests show that the model can model the actual credit spread better than BS model.