基于AIM模型的公司债和相关股票信息不对称风险研究
首发时间:2017-10-17
摘要:公司债与相关股票虽然是同一发行主体,但二者的信息不对称风险水平却不尽相同。为了度量公司债和其相关股票的信息不对称风险,并探究二者的相互关系,本文引入了一种新的信息不对称测度模型--AIM模型。基于公司债和股票的AIM序列的描述性统计、对比研究、分组相关、差异性检验等研究发现,公司债的信息不对称风险整体上比股票更大,且具有显著性差距。公司债市场经过不断的发展和完善,其信息不对称风险趋势与走向同股票市场具有趋同性和联动性,但这种规律是具有时变性的。此外,股票的信息不对称风险会显著影响公司债收益,但公司债的信息不对称水平不会显著影响股票收益。
For information in English, please click here
The Research of Asymmetric Information Risk ofCorporate Bonds and Corresponding Stocks Based on AIM Model
Abstract:Although corporate bonds and corresponding stocks have the same issuer, their asymmetric information risk levels are not the same. To measure and compare the information asymmetry risk of corporate bonds and corresponding stocks, this paper introduces a new kind of information asymmetry measurement model called AIM model. Based on the descriptive statistics, comparative analysis, group relation analysis and difference examination of AIM sequences, this paper found that the asymmetric information risk of corporate bonds is lager than the stocks overall and the gap is significant. With the continuous development and perfection of corporate bond market, its asymmetric information risk trend to have the similar tendency and linkage with the stock market, but this regularity is time-varying. Besides, the information asymmetry risk of stocks will significantly affect the return of corporate bonds, but the asymmetric information of corporate bonds will not significantly affect the return of stocks.
Keywords: Corporate bond Stock Asymmetric information risk AIM model
基金:
引用
No.****
动态公开评议
共计0人参与
勘误表
基于AIM模型的公司债和相关股票信息不对称风险研究
评论
全部评论0/1000