债券契约条款对债券定价影响的理论与经验研究

Based on the aspect of bond covenants, this project will have theoretical and empirical analysis on bond pricing issues. On the basis of exploring the mechanism that bond covenants affecting bond price, we will incorporated these covenants into stochastic partial differential pricing equation in the form of pricing factors or boundary conditions, thus construct the bond pricing models and derive the analytical solutions. Simultaneously, according to the yield spread of bond covenants effects, we will analyze the Nash equilibrium between shareholders and creditors in designing of bond contract by using complete information game method, and propose the design method of bond contract with spread analysis oriented. Furthermore, this project also will carry on empirical study and applied analysis for our theoretical models based on the domestic unequal database of bond covenants information, then execute reasonable amendment, forecast and estimation of China bond price. The project is expected to solve the following problems: (1) we will ascertain the effects or mechanism of bond covenants influencing on bond price in theory promotion, (2) we will exploit the bond pricing methods based on bond covenants and model price of the bond with embedded options in model improvement, and (3) we will amend and estimate market price of China corporate bond and develop the spread-analysis-oriented design method of bond covenants in reality application.

本课题基于债券契约条款视角，对债券定价问题进行理论和经验分析。在探析不同类型债券契约条款对债券价格影响机理的基础上，通过将债券契约条款以定价因子或边界条件的形式纳入随机偏微分定价方程中，从而构建债券定价模型并推导出解析解；同时，根据债券契约条款对债券价格的影响利差，运用完全信息博弈理论，分析股东、管理层与债权人在债券契约设计中的纳什均衡，从而提出以利差分析为导向的债券契约条款设计方法；此外，本课题还将基于国内唯一的债券契约条款信息数据库对本课题构建的理论模型进行经验研究和应用分析，从而实现对我国债券价格的合理修正、预测和估计。本课题拟解决以下问题：（1）在理论推进上，探明债券契约条款对债券价格的影响机理或影响效应；（2）在模型改进上，建立基于债券契约条款的债券定价方法与含权债券的定价模型；（3）在现实应用上，修正和估计我国债券的市场价格，开发以利差分析为导向的债券契约条款设计模式。

本课题通过手工摘录和筛选等手段，构建了中国独特的（独一无二）公司债券契约条款信息数据库。在此基础上，重点研究了债券契约条款对债券价值（债券的到期收益率、债券的息票率、债券的流动性和债券价格的波动率）的影响，将债券契约条款的相关研究拓展到资产定价层面，这一全新的研究视角不仅使得资产定价理论得到延伸和完善，也使得债券契约条款的设计与运用更具有现实意义。除此之外，本课题探讨了契约条款对债券发行主体产生的经济后果，分析了债券契约条款对会计稳健性及股票收益的影响。本课题从契约条款的视角，为中国债券市场的制度完善和条款设计提供了诸多政策建议，以促进我国债券市场尤其是公司债券市场持续稳定发展。