债券募集说明书文本信息与债券发行定价

Bond Prospectus Text Information and Bond Issuance Pricing

截至2020年底,已有689支债券发生违约,涉及金额达到5570亿元人民币。债券市场违约事件集中暴发引起债券市场巨大震荡,债券价格巨大波动降低了债券市场定价效率,从而影响资源配置效率。在目前债券大面积违约的情况下,如何提高债券市场定价效率有待深入研究。已有研究多从公司定量信息角度分析信息不对称对于债券定价的影响,鲜有研究从公司定性信息角度进行分析。从债券募集说明书文本信息视角,以2011年至2018年的公司债数据为样本,采用OLS多元回归,实证检验债券募集说明书负面语调对债券定价的影响,并进一步探究基于公司未来风险的影响机制。分析债券募集说明书负面语调对于债券定价的影响,通过内生性测试和一系列稳健性检验,证实上述结论的稳健性,从违约风险和信息不对称两个角度分析上述影响机制,进一步检验债券募集说明书其他文本信息对于债券定价的影响。研究结果表明,当债券募集说明书负面语调或者净负面语调越大时,债券发行信用利差越高,在考虑遗漏变量问题、承销商声誉、非预期语调和采用工具变量回归后发现上述结论仍然成立,2015年证监会对债券募集说明书披露政策的修订进一步强化了上述结论。通过机制检验发现,债券募集说明书负面语调能够增大公司未来违约风险(预警z值变小),继而使债券发行信用利差提高。进一步通过横截面分析发现,债券募集说明书负面语调提高债券发行利差的作用在事前信息不对称大的公司中更强;债券募集说明书的负面语调影响基金等机构投资者的参与行为,减少债券超额募集的发生概率;债券募集说明书中风险信息披露越多或者可阅读性越差时,债券发行信用利差越高。从债券募集说明书定性信息视角,扩展了债券发行信用利差影响因素的研究,深入分析债券投资者如何看待债券市场中的定性信息,在中国债券市场违约常态化下,为提高债券市场定价效率提供一定的方向,同时也促使监管部门对债券募集说明书信息真实性加以重视。

By the end of 2020,689 bonds had defaulted,with the amount involved reaching CNY 557 billion.The concentrated outbreak of default events in the bond market caused huge shocks to the bond market,and the collapse of bond prices affects the pricing efficiency of the bond market,thus affecting the efficiency of resource allocation.Therefore,the issue of how to improve the pricing efficiency of the bond market deserves in-depth research.Previous studies mostly analyzed the impact of information asymmetry on bond pricing from the perspective of quantitative information,while little literature analyzed this issue from the perspective of qualitative information disclosed by companies.Focusing on the bond prospectus text information,this study takes the corporate bond data from 2011 to 2018 as the sample and uses OLS multiple regression to empirically test the impact of negative tone of the prospectus on bond pricing,and further explores the impact mechanism based on future risks of companies.Specifically,we will analysis the impact of negative tone of the prospectus on bond pricing.Secondly,we will certify the robustness of conclusions by internal testing and a series of robust tests.Thirdly,we analyze the mechanism of the above impact from the perspectives of default risk and information asymmetry.Lastly,we will test the impact of other text information in the prospectus on the bond pricing.The results show that the higher the negative tone or net negative tone of the prospectus is,the higher the bond issuing interest rate is,which still holds after considering the omitted variables issue,underwriter reputation,unanticipated tone and regression of instrumental variables.In 2015,the CSRC revised the disclosure policy of bond prospectus,which further strengthened the above conclusions.Through the mechanism tests,we find that the negative tone of bond prospectus increases the risk of future default(when z-score decreases),which in turn increases the bond credit spread.Further cross-section analysis reveals that the negative tone of bond prospectus increases the bond issue spread among companies with large asymmetric information;the negative tone of bond prospectus affects the participation behavior of institutional investors such as funds and reduces the occurrence of bond oversubscription;as well as the more risky information is disclosed in the bond prospectus or less readable it is,the higher the bond issue interest rate is.From the perspective of qualitative information in the bond prospectus,this study extends studies of factors influencing bond credit spread,deeply analyzes how bond investors view the qualitative information in the bond market and provides certain directions for improving the pricing efficiency of the bond market under the normalization of default in China′s bond market.This study also urges the supervision department to pay more attention to the authenticity of the information in the bond prospectus.