摘要
本文通过债券信用等级对债券利差的解释作用,研究债券信用等级的信息含量。以2010年和2011年发行的非金融企业无担保固定利率企业债券为样本,发现债券利差随信用等级的上升而下降,且不同信用等级债券的利差差异显著;根据两阶段模型,在剔除了债券信用等级与发债企业前一年度的财务数据以及企业所属行业、债券发行年度、发行期限、发行规模、是否提前偿还等解释变量之间的多重共线性后,信用等级信息对债券利差有显著解释作用,说明债券信用等级信息对提高债券市场效率有增量贡献。
The article discuss information content of bond credit rating through explanation function on the bond credit rating to the bond spreads.In 2010 and 2011 issue of the non-financial enterprise unsecured fixed rate enterprise bonds as sample,found that bond spreads along with the credit rating of the rise and fall,and different credit rating bonds carry significant difference.According to the two stage model,eliminate the bond credit rating and debt issuance enterprise last year＇s financial data and enterprise belongs to industry,the bond issue annual,issued for a period,issue size,whether such as repay ahead of explanatory variables between the multicollinearity,credit rating on the bond spreads have significant role to explain.This shows that the bond credit rating information to improve the efficiency of the bond market has incremental contribution.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2013年第1期71-79,共9页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
