契约条款影响债券价格吗?——基于中国公司债市场的经验研究

Do Bond Covenants Affect Bond Price?An Empirical Study Based on Corporate Bond Market of China

本文着眼于债券契约条款具有保护债权人权利的本质属性,将公司债券的总价差分解为信用价差和非信用价差,通过手工整理数据,应用组合排序法及Fama-Macbeth方法,研究了债券契约条款对债券定价影响的途径和程度。结论表明:债券契约条款由于能够保护债权人的未来权益,减少债权人承担的风险,从而能够有效降低债券的信用价差和非信用价差,并且债券契约条款对信用价差的影响程度更大;通过信用价差和非信用价差两种影响效应的叠加,债券契约条款同样能够显著降低债券到期收益率的总价差。

Focusing on the essential attribute that bond covenants could protect the creditors＇ rights, we collected data by hand and applied methods of portfolios - sort and Fama - Macbeth to analyze channels and degrees of the impacts that bond covenants imposed on corporate bond pricing by decomposing the total spread of corporate bond into credit spread and non -credit spread. The conclusions demonstrated that the bond covenants could effectively reduce the credit spread and non - credit spread of corporate bond price due to protecting the interests of creditors from losses in the future and reducing the creditors risk. , bond covenants have larger impact on total spread by superposition of credit spread effect and non - credit spread effect, which ultimately makes the bond covenants could also significantly lower the total spread of corporate bond yield to maturity.