企业债券与公司债券定价差异研究
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摘要
本文从信息有效性、定价影响因素、定价模型评估三个方面,研究和比较了我国证券交易所市场上最重要、交易最活跃的两类信用债券——企业债券与公司债券——的定价机制和定价差异。
对信息有效性的研究发现,企业债券和公司债券的信息有效性都很低,但后者好于前者,意味着企业债券和公司债券的未来价格在一定程度上可以通过各方面信息的历史数据进行预测。具体而言：1)历史价格信息最具预测力,两类债券的价格具有均值反转特性;2)历史的无风险利率数据也具有显著预测性,其反映到两类债券上会有延迟；3)股指回报率虽不能代表宏观经济信息,但也具有一定预测力,其与债券价格的关系是此消彼长,形成“跷跷板效应”；4)发债公司的股价回报率对债券价格有微弱的预测力,有可能是这方面的信息有效性高,也有可能是其与债券价格之间的关系本身就很微弱。5)作为新出现的公司债券,其在各方面的信息有效性都比企业债券高。
对定价影响因素的研究发现,无风险利率、信用风险、流动性风险、定价复杂性风险等因素,都会对债券收益率产生影响。除无风险利率外,信用风险是最主要的影响因素,其次是流动性风险,而定价复杂性风险对收益率的影响则可忽略不计。流动性风险的各种考量指标中,债券年龄对收益率的影响最大。新债券的流动性往往很高,债券收益率较低,老债券的流动性往往降低很多,债券收益率较高。除上述影响因素之外,还有一个重要的影响因素是债券类型。即若控制住上述因素保证可比,公司债券的收益率仍然会比企业债券高50～100个基点。这个数值是非常显著不可忽视的,尤其值得投资者注意。
对定价模型评估的研究发现,使用Merton模型来为企业债券和公司债券进行定价,效果很不理想。企业债券定价的平均绝对误差为3.33元,公司债券定价的平均绝对误差为10.65元,理论价格普遍高于实际市场价格。进一步分析定价残差的来源可以发现：1)Merton模型对无风险利率的调整是矫枉过正的；2)对信用风险的调整是失败的——有的调整方向错误,有的没能调整,有的矫枉过正；3)对流动性风险几乎完全没有调整；4)对定价复杂性风险有比较适宜的调整,但所产生的积极影响总的来说微不足道；5)对本文所发现的债券类型因素同样完全没有调整。
This paper researched and studied the pricing mechanism and pricing difference between China's enterprise bonds and corporate bonds, the two most important and actively trading credit bonds in China's Security Exchange Markets, from three different aspects of informational efficiency, pricing determinants, and pricing model evaluation, respectively.
The research on informational efficiency found that, the informational efficiency on both enterprise bonds and corporate bonds is rather low, but it's better for the latter than that for the former, which implies that, to some extant, the future price of enterprise bonds and corporate bonds can be predicted by the historical data of various informational sources. Specifically,1) bond price historical data have the most significant predictive power:there are mean-reversion effects in both kinds of bonds.2) Historical risk-free interest rates also have significant predictive power, because there is some lag effect in its pricing into both kinds of bonds.3) Stock index return, although which cannot represent macroeconomic information, have some predictive power on bond prices:there is a trade-off between stock index return and bond return, a kind of so-called "seesaw effect".4) The stock return of the bond issuing company can have a little predictive power on bond return:maybe it's due to a higher informational efficiency, or maybe it's because the relation is weak between stock and bond prices.5) As the recently emerged kind of corporate bond, its informational efficiency is higher than enterprise bonds in all aspects.
The research on pricing determinants found that, factors, including risk-free interest rate, credit risk, liquidity risk, and complication in pricing, will affect bond yield. Except risk-free interest rate, the most important determinant is credit risk, the second important is liquidity risk, and the effect of complication in pricing can be almostly ignored. In the various variables related to liquidity risk, bond age is the most important one. Newly issued bonds usually possess high liquidity, and the yield is low; seasoned bonds, on the other hand, usually have much lower liquidity, and the yield is higher. Besides all the factors above, there is another factor determining yield:the bond type. That is, if all the factors above were held the same and comparable, the yield of corporate bond will still be50-100basis points higher than that of enterprise bonds. This is a figure that is so significant that cannot be ignored, and deserves more attention from investors.
The research on pricing model evaluation found that, the pricing result of enterprise bonds and corporate bonds using Merton model is rather unsatisfactory. The average absolute pricing error on enterprise bonds is3.33yuan, while the average absolute pricing error on corporate bonds is10.65yuan. The theoretical price is generally higher than market price. Further analysis on the source and determinant of pricing residual show that:1) the adjustment on risk-free interest rate by the Merton model is over-corrected.2) The adjustment on credit risk is generally failed:some are corrected in the wrong direction, some are failed to be corrected, and some are over-corrected.3) There is nearly no adjustment on liquidity risk.4) Although the Merton model reasonably adjusted the risk of complication in pricing, the overall positive effect is negligible.5) The important bond type factor is also not a bit adjusted.
对信息有效性的研究发现,企业债券和公司债券的信息有效性都很低,但后者好于前者,意味着企业债券和公司债券的未来价格在一定程度上可以通过各方面信息的历史数据进行预测。具体而言：1)历史价格信息最具预测力,两类债券的价格具有均值反转特性;2)历史的无风险利率数据也具有显著预测性,其反映到两类债券上会有延迟；3)股指回报率虽不能代表宏观经济信息,但也具有一定预测力,其与债券价格的关系是此消彼长,形成“跷跷板效应”；4)发债公司的股价回报率对债券价格有微弱的预测力,有可能是这方面的信息有效性高,也有可能是其与债券价格之间的关系本身就很微弱。5)作为新出现的公司债券,其在各方面的信息有效性都比企业债券高。
对定价影响因素的研究发现,无风险利率、信用风险、流动性风险、定价复杂性风险等因素,都会对债券收益率产生影响。除无风险利率外,信用风险是最主要的影响因素,其次是流动性风险,而定价复杂性风险对收益率的影响则可忽略不计。流动性风险的各种考量指标中,债券年龄对收益率的影响最大。新债券的流动性往往很高,债券收益率较低,老债券的流动性往往降低很多,债券收益率较高。除上述影响因素之外,还有一个重要的影响因素是债券类型。即若控制住上述因素保证可比,公司债券的收益率仍然会比企业债券高50～100个基点。这个数值是非常显著不可忽视的,尤其值得投资者注意。
对定价模型评估的研究发现,使用Merton模型来为企业债券和公司债券进行定价,效果很不理想。企业债券定价的平均绝对误差为3.33元,公司债券定价的平均绝对误差为10.65元,理论价格普遍高于实际市场价格。进一步分析定价残差的来源可以发现：1)Merton模型对无风险利率的调整是矫枉过正的；2)对信用风险的调整是失败的——有的调整方向错误,有的没能调整,有的矫枉过正；3)对流动性风险几乎完全没有调整；4)对定价复杂性风险有比较适宜的调整,但所产生的积极影响总的来说微不足道；5)对本文所发现的债券类型因素同样完全没有调整。
This paper researched and studied the pricing mechanism and pricing difference between China's enterprise bonds and corporate bonds, the two most important and actively trading credit bonds in China's Security Exchange Markets, from three different aspects of informational efficiency, pricing determinants, and pricing model evaluation, respectively.
The research on informational efficiency found that, the informational efficiency on both enterprise bonds and corporate bonds is rather low, but it's better for the latter than that for the former, which implies that, to some extant, the future price of enterprise bonds and corporate bonds can be predicted by the historical data of various informational sources. Specifically,1) bond price historical data have the most significant predictive power:there are mean-reversion effects in both kinds of bonds.2) Historical risk-free interest rates also have significant predictive power, because there is some lag effect in its pricing into both kinds of bonds.3) Stock index return, although which cannot represent macroeconomic information, have some predictive power on bond prices:there is a trade-off between stock index return and bond return, a kind of so-called "seesaw effect".4) The stock return of the bond issuing company can have a little predictive power on bond return:maybe it's due to a higher informational efficiency, or maybe it's because the relation is weak between stock and bond prices.5) As the recently emerged kind of corporate bond, its informational efficiency is higher than enterprise bonds in all aspects.
The research on pricing determinants found that, factors, including risk-free interest rate, credit risk, liquidity risk, and complication in pricing, will affect bond yield. Except risk-free interest rate, the most important determinant is credit risk, the second important is liquidity risk, and the effect of complication in pricing can be almostly ignored. In the various variables related to liquidity risk, bond age is the most important one. Newly issued bonds usually possess high liquidity, and the yield is low; seasoned bonds, on the other hand, usually have much lower liquidity, and the yield is higher. Besides all the factors above, there is another factor determining yield:the bond type. That is, if all the factors above were held the same and comparable, the yield of corporate bond will still be50-100basis points higher than that of enterprise bonds. This is a figure that is so significant that cannot be ignored, and deserves more attention from investors.
The research on pricing model evaluation found that, the pricing result of enterprise bonds and corporate bonds using Merton model is rather unsatisfactory. The average absolute pricing error on enterprise bonds is3.33yuan, while the average absolute pricing error on corporate bonds is10.65yuan. The theoretical price is generally higher than market price. Further analysis on the source and determinant of pricing residual show that:1) the adjustment on risk-free interest rate by the Merton model is over-corrected.2) The adjustment on credit risk is generally failed:some are corrected in the wrong direction, some are failed to be corrected, and some are over-corrected.3) There is nearly no adjustment on liquidity risk.4) Although the Merton model reasonably adjusted the risk of complication in pricing, the overall positive effect is negligible.5) The important bond type factor is also not a bit adjusted.
引文
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