信用利差、公司治理与企业行为——基于政府隐性担保视角

Existing literature argues that credit spread is mainly determined by default probability and recovery rate. Recently researchers incorporated bond market liquidity into both theoretical models and empirical designs to attempt to pin down the determinants of credit spread. The factors mentioned above, however, can explain only a part of credit spread. Also another line of literature tried to explore whether some corporate governance mechanisms could play a role in determining credit spread, however, no consistent evidence has been substantiated so far. Additionally, to the best our knowledge, little literature investigates how credit spread has an effect on firm behavior and what the economic results are from the influence, based on the perspective of implicit government guarantee. By using China’s bond market as the breakthrough point, from a unique distinct point of view of implicit government guarantee, applying the theory of the term structure of credit spread, bond pricing theory, perfect Bayesian game theory, contract theory, and corporate finance theory, this project attempts to analyze the term structure of credit spread and the determinants of credit spread for the bonds traded in China’s market, and identify the channels and mechanisms through which corporate governance quality impacts credit spread. Further, this project also plans to deeply investigate how firm behavior (capital structure decisions, cash holding policies, risk-taking behavior, etc.) responses to implicit government guarantee and what the relevant economic results are, based on the tool of credit spread. After addressing the previous issues, the study of the project will reveal the mechanisms and policy implications by which the bond market can be improved, corporate governance can be elevated, and firm behavior can be optimized. Therefore, the study of the project will be conducive to enriching and advancing the theories on credit spread, corporate governance, and firm behavior, and promoting the practice of corporate governance, firm decisions, and formulation of regulation policies on capital market.

既有文献认为信用利差主要由违约概率与回收率或流动性因素决定，但实证上前述因素只能解释信用利差的一部分。文献亦检验了部分公司治理机制对信用利差的作用，但亦未获得一致的实证结果。同时鲜有文献探讨隐性担保通过信用利差渠道影响企业行为的机制及其经济后果。本项目拟以债券市场为切入点，以政府隐性担保为独特视角，探讨信用利差、中央及地方政府隐性担保与企业行为之间的相互作用机制、路径及其经济后果；运用信用利差期限结构、债券定价、完美贝叶斯博弈、合约及公司财务等理论，分析债券信用利差的期限结构、利差决定因素；识别公司治理质量对信用利差的影响机理、传导路径；以信用利差为工具，分析隐性担保对微观企业行为的影响机制及其经济后果，从而揭示出完善债券市场、改进公司治理、优化公司行为的内在机制及政策含义。因而，本项目研究将有助于丰富和发展信用利差、公司治理及企业行为理论和促进公司治理、企业决策及监管政策制定等实践工作。

本项目研究了我国公司债券市场的制度背景、风险因子、定价特征等问题。我们发现尽管流动性风险对公司债信用利差具有显著影响，然而违约风险才是公司债券风险溢价的主要来源。我们证实政府隐性担保预期显著影响企业负债成本，换言之，中国公司债券定价已经包含了隐性担保预期部分。因而，本项目增进了在中国情境下对著名的“信用利差之谜（Credit Spread Puzzle）”的理解，并为企业管理者及债券市场监管者提供了具有针对性的政策含义和指导意见。项目组对中国上市公司的累积投票制度改革进行了较为全面的梳理和分析。我们发现中国上市公司的累积投票制改革对上市公司治理机制起到了增量改进作用，董事会权力分布形成了新的均衡，中小股东权益保护得到了提高，企业价值得以增加。本项目从微观企业层面评估了创新驱动发展战略、地方主政官员换届对企业创新投资行为的影响。实施创新驱动发展战略后，地方主政官员换届对企业创新投资行为产生了显著的正向影响，这一效应在国有企业、高技术企业以及面对较为激烈的产品市场竞争的企业中表现得尤为突出。这一结果发展了有关企业战略增长期权理论及实物期权理论等相关文献，为地方主政官员治理地方经济以及公司管理层管理企业研发投资及风险头寸暴露等决策行为提供了重要的学术支持及政策含义。另外，我们发现员工股权激励这一治理方案显著的提高了公司的财务杠杠，改变了公司资本结构。而且，员工管权激励的采用显著正向影响企业负债水平、促进了企业获得较长期限及较低利率的负债。在融资约束较高的企业中这一效应更为显著。这一结果表明银行意识到实施广泛股权激励的企业其员工有激励及能力降低企业运营等方面的风险，这提高了其提供信贷资金给相关企业的激励。这一结果表明，企业实施广泛地员工股权激励有效的提高了企业的负债能力。相关研究发表于《金融研究》，Journal of Corporate Finance, International Review of Economic & Finance, Research in International Business and Finance, International Review of Finance, Borsa Istanbul Review等国内外知名期刊。