摘要
论文基于2014-2019年的违约债券数据,建立双限Tobit模型研究违约债券回收率的影响因素。研究表明:债券因素中违约前债券信用评级与交易市场对回收率有显著影响;企业因素中长期负债率、无形资产比例和应收账款比例与回收率显著负相关,审计意见与回收率显著正相关;宏观经济因素中市场违约数、Shibor、宏观经济景气指数以及行业周期性均是回收率的影响因素。此外,企业所有权性质与第三方担保对回收率并没有显著影响。
This paper establishes a two-limit Tobit model and conducts an empirical study on the determinants of bond recovery rate based on the data from 2014 to 2019.The results are as follows.Among bond characteristics,credit rating before default and the trading market have a significant impact on the recovery rate.Among firm characteristics,long-term debt ratio,intangibility and receivables are significantly negatively associated with the recovery rate,while audit opinions in the financial statements are significantly positively associated with the recovery rate.As for macroeconomic characteristics,market-wide default number,Shibor,macro-economic climate index and cyclical industry are determinants of recovery rates.In addition,the effect of enterprise ownership and whether the bond is guaranteed are not statistically significant.
出处
《投资研究》
CSSCI
北大核心
2021年第5期124-138,共15页
Review of Investment Studies
基金
国家自然科学基金资助项目(72171050)
安徽省自然科学基金资助项目(2008085MG235)
教育部人文社会科学青年基金项目(17YJCZH161)
作者简介
潘婉彬,中国科学技术大学管理学院,副教授;张芳菲,中国科学技术大学管理学院,硕士研究生;陶利斌,对外经济贸易大学金融学院,教授,投资系系主任
