盈余管理与公司债券定价——来自中国债券市场的经验证据

Earning Management and the Pricing of Corporate Bond——Empirical Evidence from Bond Market in China

本文以2007年至2013年6月在沪、深两市公开发行的公司债券为样本,基于应计项目操控和真实活动操控两类模型,研究上市公司的盈余管理行为对于公司债券发行定价的影响。研究发现:应计项目和真实活动盈余管理都与信用利差显著相关,盈余管理程度越高,公司债券的信用利差越大;另外,债券发行方的资产规模和产权性质对于信用利差的影响也十分显著。这些发现有助于规范公司债券的发行监管,提高一级市场的定价效率,从而促进公司债券市场的健康有序发展。

This paper investigates the effect of earnings management on initial pricing of corporate bond in China, using both the accrual earnings and real activities earning management models. It is found that accrual earnings and real activities earning management have significant relationship with credit spread. The higher level of the earnings management, the higher of the credit spread. In addition, the scale of asset and nature of property also have significant effect on credit spread. These findings are useful for regulating the bond issuance supervision, and improving the efficiency of the pricing of corporate bond market, thereby contributing to the healthy and orderly development of corporate bond market.