发审制度、交易机制与盈余信息的债券定价功能

Issuance Systems,Trading Mechanisms and Earning Information in Bond Pricing

基于我国债券市场特殊的发审制度和交易机制,本文分别从发行抑价和市后表现两个视角考察了盈余信息(包括盈余持续性和盈余信息的季度变化)在非金融上市公司债券定价中的作用。研究发现:在一级发行市场,盈余持续性具有定价功能,表现为发债企业的盈余持续性越高,债券的发行抑价水平越低;在二级交易市场,盈余信息的季度变化同样具有定价功能,表现为发债企业的季度增量盈余和季度增量现金流与投资者累计异常超额收益呈正相关,而季度增量应计与累计异常超额收益呈负相关。进一步研究发现,盈余信息的定价功能在不同的发审制度和交易机制下差异显著,具体而言:盈余持续性在"注册制"(相对于"核准制")的发审制度下以及盈余信息的变化在"公开竞价"(相对于"集中询价")的交易机制下的定价功能更强。

This paper documents how earnings persistence and the change of earnings affect bond pricing. We find that earnings persist- ence is negatively related to the underpricing of initial public offerings （IPOs） in the corporate bond market. In bond trading market, quarterly incremental earnings and cash flows are positively related to cumulated abnormal returns while quarterly incremental accruals are negatively related to cumulated abnormal returns. In addition, the relation is more significant in bonds audited by registration system than it is in bonds audited by approval system, indicating that the registration system is more efficient in bond pricing. These relations are more significant under public-bidding system than they are under market-maker system, implying that the public-bidding system is more efficient than market-maker system in bond pricing.