CAJ | 학술논문

在将债券市场中的信息问题区分为一级市场上发债企业与投资者之间的信息不确定与二级市场上投资者之间的信息不对称基础上，本文以中国企业债券为样本，实证检验信息不确定、信息不对称与债券信用利差的关系。结果表明，在控制债券以及企业层面相关控制变量情况下，投资者在信息不确定与信息不对称两种情况下能获得显著的风险溢价。在控制了信用等级与事件日时长的情况下，该结果是稳健的。最后，信息不确定与信息不对称能够帮助信用风险结构模型解释债券信用利差。本文的研究结论表明，为了更好地保护投资者，监管部门在加强企业债券信息披露监管的同时，也应该强化对投资者信息披露的监管。
재장채권시장중적신식문제구분위일급시장상발채기업여투자자지간적신식불학정여이급시장상투자자지간적신식불대칭기출상，본문이중국기업채권위양본，실증검험신식불학정、신식불대칭여채권신용리차적관계。결과표명，재공제채권이급기업층면상관공제변량정황하，투자자재신식불학정여신식불대칭량충정황하능획득현저적풍험일개。재공제료신용등급여사건일시장적정황하，해결과시은건적。최후，신식불학정여신식불대칭능구방조신용풍험결구모형해석채권신용리차。본문적연구결론표명，위료경호지보호투자자，감관부문재가강기업채권신식피로감관적동시，야응해강화대투자자신식피로적감관。
According to the corporate bond issuance process, the information asymmetry is divided into two types： one is the information asymmetry between the issuers and the investors; the other type is the information asymmetry between investors. This study examines the effects of information uncertainty and information asymmetry on corporate bond yield spreads using Chinese corporate bond data. Empirical results of this study show that investors charge a significant risk premium for both information uncertainty and information asymmetry when controlling for variables well known in the literature. The results are robust even when controlling for credit ratings and event date duration. Finally, information uncertainty and information asymmetries structural credit risk models to help explain the bond credit spreads. This study concluded that in order to better protect investors, regulatory authorities in strengthening corporate bond information disclosure regulation; it should also strengthen the supervision of information disclosure to investors.