摘要
在有效市场中,企业债券的超额收益是对其所面临的风险可能导致损失的补偿,企业债券的理论价格是表征资金时间价值的无风险收益率和风险溢价的函数。根据市场无风险收益率、违约风险溢价,以及流动性风险溢价所遵循的随机波动方程,并考虑债券的违约回收率,本文构建了基于风险补偿的企业债券理论价格模型,并对2006年第3季度至2010年第1季度中国债券市场中32只企业债券的实际价格和理论价格进行了实证检验。研究发现,绝大多数企业债券的实际价格与理论价格差异不大,但少数中长期债券的实际价格系统性地低于理论价格;公用事业类企业债券的价格对市场信息不够敏感;我国债券市场上存在较多的套利资金。最后从所做的研究中,得出了完善我国债券市场的一些启示。
In an efficient market, the extra yield of corporation bond is the compensation of the potential lost caused by different risks. In this consideration, the corporation bond price can be expressed by a function of the stochastic differential equation of risk-free yield, default risk premium, liquidity risk premium, and a certain reclaim rate. Based on the empirical test of 32 bonds from 2006Q3 to 2010Q1 in China bond market, this paper find that, the difference between the theoretical price and the trading price of the corporation bond is limited; the trading price of few long-term corporation bond is always lower than the theoretical price ; the price of public utility bond is insensitive to the market signal; there are arbitrage opportunities in the bond market. Some suggestions on the improvement of the bond market have been given in the end of the paper.
出处
《经济管理》
CSSCI
北大核心
2011年第2期139-146,共8页
Business and Management Journal ( BMJ )
基金
国家社科基金重点项目"我国妥善应对国际金融危机的对策"(08AJY029)
教育部哲学社会科学创新基地"南京大学经济转型和发展研究中心"课题"对外开放与中国经济转型及发展研究"
