信息不对称与债券担保——基于中国债券市场的检验

Information Asymmetry and Bond Guarantee:Evidence From China's Bond Market

担保是解决债券市场上信息不对称的有效机制。逆向选择理论强调担保能够缓解事前信息不对称;道德风险理论则强调担保有助于解决事后信息不对称。两种理论对于债务人风险程度与采取担保的可能性、担保与债务利率之间的关系给出不同的预测。文章以2008-2015年间中国债券市场的实际数据为样本对以上两类理论进行实证检验。在解决可能存在的内生性问题后,研究发现,债券发行人风险越高,越有可能采取担保;在控制其它因素的情况下,相较于同一债券信用评级的无担保债券,担保债券具有较高的发行利差。研究结果表明道德风险理论能够很好地解释我国债券发行人的担保行为。

Guarantee is an efficient mechanism to solve the problem of asymmetric information in the bond market. The theory of adverse selection lays stress on solving ex - ante asymmetric information while moral hazard theory emphasizes that guarantee solve ex -post asymmetric problem. They provide two different forecasts about the relationship between the risk of debtor and guarantee, also the guarantee and the interest rate costs. This paper makes an empirical study based on a sample of China bond markets for the period of 2008 to 2015. After solving the possible endogeneity problem, this paper finds that, firstly, the issuers with lower credit rating, thereafter higher default risks, are more willing to purchase bond guarantee. Secondly, the guaranteed bonds still have the higher issue spread yield than those non - guaranteed bonds which have the same bond credit rating. We conclude that the moral hazard theory can explain the selection of guarantee by bond issuers in China market.