投融资期限错配与企业债券信用利差

The Relationship of Corporate Bond Credit Spreads with the Maturity Mismatch between Investment and Financing

近年来,我国债券市场违约事件频繁发生,债券信用利差作为能够直接体现发行主体信用风险的指标被广泛关注。本文使用2013-2018年银行间及交易所市场债券数据,实证检验了企业投融资期限错配与债券信用利差之间的关系。研究发现,投融资期限错配与债券信用利差之间显著正相关,表明投资者将投融资期限错配解读为一种风险。该关系在国有与民营企业之间的差异并不显著,但相比于城投企业,投融资期限错配对债券信用利差的影响在非城投企业中更为明显;此外,过度负债和良好的经营业绩,分别强化和弱化了投融资期限错配与债券信用利差之间的正相关关系。进一步的检验表明,财务困境风险的提升在投融资期限错配对债券信用利差的影响中发挥了中介作用,而债券级别一定程度上无法充分反映企业投融资期限错配的风险。

In recent years,the default events in China's bond market occur frequently.The bond credit spreads an indicator that can directly reflect the credit risk of the issuing enterprises,have raised wide concern.Using bond data from inter-bank market and exchange market during 2013-2018,this paper empirically investigates the relationship of bond credit spreads with the maturity mismatch between corporate investment and financing.The results show that the maturity mismatch between corporate investment and financing is significantly positively related to bond credit spreads,which indicates that investors interpret the maturity mismatch as a kind of risk.This relationship is not significantly different between state-owned and private enterprises,but the impact of the maturity mismatch between investment and financing on bond credit spreads is less significant among urban construction investment enterprises.Excessive leverage and good operating performance strengthen and weaken the positive correlation between investment and financing maturity mismatch and credit spreads,respectively.Further examination shows that the increase in financial distress risk may mediate the impact of the investment and financing maturity mismatch on bond credit spreads.The bond rating,to some degree,cannot fully reflect the risk of maturity mismatch of investment and financing of enterprises.