企业风险信息披露与债券风险溢价——基于债券募集说明书的文本分析

Corporate risk information disclosure and bond risk premium:Based on textual analysis of bond prospectus

目前鲜有关于债券市场中企业风险信息披露的研究文献.本文以2006-2017年间在上交所和深交所发布的债券募集说明书为样本,通过对企业风险信息进行文本分析,研究了公司风险信息披露行为对债券风险溢价的影响及其作用机制.实证结果表明,债券募集说明书的风险披露程度与债券风险溢价之间存在显著的正相关关系.进一步研究发现,债券的担保条款、产权性质、发债企业绩效以及投资者的风险敏感性,对风险披露程度与债券风险溢价的正相关关系具有调节作用.这证实了债券募集说明书的风险披露程度上升会提高投资者的违约风险感知,从而导致债券风险溢价上升的影响机制.

There is few literature about corporate risk information disclosure in the bond market.Using the sample of bond prospectuses issued in Shanghai Stock Exchange or Shenzhen Stock Exchange from 2006-2017 and through textual analysis on corporate risk information,this paper studies the impact and mechanism of corporate risk information disclosure on bond risk premium.The empirical results show that there is a significant positive association between risk disclosure level in bond prospectus and bond risk premium.In the parts of further analysis,it is found that the positive association between risk disclosure and bond risk premium can be moderated by guarantee clause,ownership style,corporate performance and investors'risk sensitivity.This paper shows the impact mechanism that the rise of risk disclosure level in bond prospectus will improve investors'default risk perception,which leads to the rise of risk premium.