盈余管理与公司债券风险溢价——基于应计盈余管理和真实盈余管理的实证研究

Earning Management and Corporate Bond Risk Premium——An Empirical Study on Accrual Earnings and Real Activities Earning Management

虽然国内已有学者从不同角度对公司债券定价展开研究,然而盈余管理对于公司债券风险溢价的影响还没有引起广泛关注,更鲜有学者在其基础上研究"四大"会计师事务所审计及公司产权性质对两者关系的影响。本文以2008-2014年在沪、深两市公开发行的公司债券为样本,基于应计盈余管理和真实盈余管理两类模型,研究上市公司盈余管理行为对公司债券风险溢价的影响。研究发现,应计项目盈余管理和真实活动盈余管理都与公司债券风险溢价显著正相关。进一步研究发现,相对于"四大"会计师事务所审计的上市公司,非"四大"审计上市公司盈余管理程度越高,公司债券风险溢价越大;在国有企业中,盈余管理程度越高,公司债券风险溢价越大。

Initial pricing of corporate bond has attracted great attention,however,there are few researches involved the relationship between earnings management and corporate bond risk premium. And even fewer scholars have studied the relationship between them on the basis of Big 4 accounting firm and nature of property. Based on the data of corporate bonds from 2008 to 2014 in China,this paper investigates the effect of earnings management on corporate bond risk premium,using both accrual earnings and real activities earning management models. It is found that accrual earnings and real activities earning management have significant relationship with corporate bond risk premium,the higher level of earnings management,the greater degree of risk premium. In addition,the research finds that,relative to big 4 audit corporate,the relationship is more significant among non-big 4 auditing corporate; relative to private enterprise,the relationship is more significant among state-owned enterprise.