公司股票和债券价格中的信用风险信息效率研究

Research on Credit Risk Information Efficiency in Listed Companies' Stock and Bond Price

有效市场假说认为,金融市场上金融资产的价格变化是对各种信息的反应,如果这种反应是即刻而充分的,那么市场就是有效的。本文基于我国上市公司股票和债券的价格数据,应用KMV模型和信用价差模型度量上市公司股票和债券价格变化所反映的公司信用风险大小,在此基础上检验并比较上市公司股票和债券价格对其信用风险信息反应的效率。结果表明,从短期信息有效性方面看,股票价格能够更加及时有效地反映公司信用风险信息,公司债券价格对信用风险信息的反应存在滞后性,但随着实际信用风险增加,滞后时差缩短;从长期来看,股票价格和债券价格在反映公司信用风险信息上存在一致性,公司的实际信用风险大小是影响两者存在一致性的重要因素,实际的信用风险越大,两者的一致性越强。

According to the Efficient Market Hypothesis, changes in financial asset price can fully and promptly reflect all information in the market. Based on the KMV and credit spread model and by utilizing the stock and bond price data of China＇s listed companies, this paper measures their credit risk changes and surveys the dynamic relations between the credit risk information effieieneies of their bonds＇ and stocks＇ prices. Results show that in the short run and from the information efficiency aspect, stock market prices can promptly and efficiently reflect the credit risk information while the bond market prices may reflect it in a lagging mode. However, as companies＇ real credit risk increases, the lagging time becomes shorter. And in the long run, stock and bond market prices are consistent in reflecting companies＇ credit risk information, and companies＇ real credit risk is an important factor in affecting the information consistency of the stock and bond market prices. The consistency becomes enhanced when the real credit risk becomes larger.