隐性还是显性?——地方政府在城投债定价中的角色研究

Hidden or Observed?The Role of Local Government in the City Investment Bond

随着债券市场违约常态化,违约风险成为当前我国债券价格中的重要组成部分和影响因素。因此,研究债券发行主体及其实际控制人的财务指标和会计信息对违约风险的调整及债券价格的影响路径成为债券市场发展中的重要问题。通过对地方政府城市投资类债券发行数据和交易数据进行回归,对比不同债务主体背后债券定价差异后发现:以地方政府为背景的城投类企业发债时,其政府显性信息和隐性信息对债券定价均有重要影响;以投资性地方融资平台为债务主体的城投债,其获得的地方政府支持更大。进一步研究表明,衡量政府未来财务状况的隐性指标能较好地预测政府对债务主体的支持情况,并且政府依赖程度高的债券在后续二级市场中回报率较低。

When the bond market default becomes common, the defauh risk in bond prices has been an important part of and an influencing factor on bond prices. Therefore, it is important to investigate how the bond issuers, as well as the financial indicators and accounting information of the actual controller, affect the default risk adjustment and the bond prices. After the regression with issuance and transaction data of city investment bonds, comparing the different pricing of different bond debt body, we find that the city in- vestment bonds with the backup of local government is under both the hidden and observed influences of government. The city investment bonds with the local financing platform gained greater support from the local government. Further studies show that a hidden indicator of the government＇ s future financial position can predict the support from local government to the bond body, and the bonds with high dependence on the government receive the subsequent low rate of return in the secondary market.