Corporate risk information disclosure and bond risk ...
Transcript of Corporate risk information disclosure and bond risk ...
� 41�� 7� ��������� Vol.41, No.7
2021 � 7 � Systems Engineering — Theory & Practice July, 2021
doi: 10.12011/SETP2019-2549 ������: F832.5 �����: A
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Corporate risk information disclosure and bond risk premium:Based on textual analysis of bond prospectus
WU Wuqing1, ZHEN Weihao1, YANG Jie2, CAI Zongwu3
(1. Department of Accounting, School of Business, Renmin University of China, Beijing 100872, China; 2. “The Belt and
Road” Financial Development Research Center, Xiamen National Accounting Institute, Xiamen 361005, China;
3. Department of Economics, University of Kansas, KS 66045, USA)
Abstract There is few literature about corporate risk information disclosure in the bond market. Using
the sample of bond prospectuses issued in Shanghai Stock Exchange or Shenzhen Stock Exchange from
2006–2017 and through textual analysis on corporate risk information, this paper studies the impact and
mechanism of corporate risk information disclosure on bond risk premium. The empirical results show that
there is a significant positive association between risk disclosure level in bond prospectus and bond risk
premium. In the parts of further analysis, it is found that the positive association between risk disclosure
and bond risk premium can be moderated by guarantee clause, ownership style, corporate performance
and investors’ risk sensitivity. This paper shows the impact mechanism that the rise of risk disclosure level
in bond prospectus will improve investors’ default risk perception, which leads to the rise of risk premium.
Keywords risk information disclosure; bond risk premium; textual analysis
����: 2019-11-12
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, ��, ��, ��, ����: ����, ��, E-mail: [email protected]; �� (1960–), �, ��, ��, ��, ����: ��� �, �����, E-mail: [email protected].
����:�� ����� � (71871216); �� ������ � (71631004); ��������� � (17GLB022);
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Foundation item: National Natural Science Foundation of China (71871216); Key Program of National Natural Science
Foundation of China (71631004); Social Science Foundation of Beijing Grant (17GLB022); Social Science Foundation of Fujian
Grant (FJ2018C024)
]�^_��: ���, ��, �, �. ������������� —— ������� ���� [J]. ������, 2021, 41(7): 1650–1671.
`�^_��: Wu W Q, Zhen W H, Yang J, et al. Corporate risk information disclosure and bond risk premium: Based on
textual analysis of bond prospectus[J]. Systems Engineering — Theory & Practice, 2021, 41(7): 1650–1671.
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Disclosure2 1462 0.0598 0.0554 0.0210 0.0235 0.2001
Disclosure3 1462 0.0466 0.0444 0.0148 0.0154 0.1137
Size 1462 23.5959 23.5284 1.1498 21.2250 26.9522
ROE 1462 6.7295 4.3677 6.7194 −8.1787 30.9135
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Cashflow 1462 0.9732 1.0011 0.3660 0.0608 2.6071
Tang 1462 0.3574 0.3590 0.1817 −0.0896 0.7402
Maturity 1462 5.8649 5.0000 1.7349 2.0000 15.0000
Volume 1462 20.6831 20.7233 0.6930 19.0085 22.5638
H 3 pRIIOSPTUVqDisclosure1 Disclosure2 Disclosure3
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(1.128) (1.158)
Disclosure2 3.983*** 4.597***
(1.195) (1.227)
Disclosure3 5.982*** 6.009***
(1.620) (1.664)
Size −0.037 −0.038 −0.044 −0.028 −0.030 −0.036
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Currentratio 0.027*** 0.027*** 0.027*** 0.027*** 0.028*** 0.027***
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(0.064) (0.064) (0.064) (0.066) (0.066) (0.065)
Tang 0.101 0.102 0.107 0.163 0.164 0.174
(0.246) (0.246) (0.246) (0.253) (0.253) (0.253)
Maturity −0.047*** −0.048*** −0.053*** −0.044*** −0.044*** −0.051***
(0.015) (0.015) (0.015) (0.016) (0.016) (0.016)
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(1.139) (1.169)
Disclosure2 3.851*** 4.410***
(1.207) (1.239)
Disclosure3 6.008*** 5.990***
(1.635) (1.680)
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(0.307) (0.308) (0.307) (0.315) (0.316) (0.316)
Currentratio 0.027*** 0.027*** 0.027*** 0.027*** 0.027*** 0.027***
(0.008) (0.008) (0.008) (0.008) (0.008) (0.008)
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(0.065) (0.065) (0.064) (0.066) (0.066) (0.066)
Tang 0.111 0.112 0.115 0.176 0.177 0.185
(0.249) (0.249) (0.248) (0.255) (0.255) (0.255)
Maturity −0.051*** −0.052*** −0.057*** −0.047*** −0.048*** −0.054***
(0.016) (0.016) (0.015) (0.016) (0.016) (0.016)
SOE −0.987*** −0.985*** −0.964*** −0.991*** −0.990*** −0.966***
(0.066) (0.066) (0.066) (0.068) (0.068) (0.068)
Convert −4.991*** −4.999*** −4.954*** −5.017*** −5.026*** −4.986***
(0.102) (0.102) (0.104) (0.105) (0.105) (0.106)
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(0.052) (0.052) (0.052) (0.054) (0.054) (0.054)
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H 6 XYSX[\OZeII(1) (2)
\� Riskrate1 Riskrate2
Disclosure 0.006*** 0.006***
(0.002) (0.002)
Size −0.055 −0.047
(0.035) (0.036)
ROE −0.020*** −0.021***
(0.004) (0.004)
Lev 0.681** 0.793**
(0.305) (0.313)
Currentratio 0.028*** 0.028***
(0.008) (0.008)
Cashflow −0.042 −0.036
(0.064) (0.066)
Tang 0.176 0.243
(0.247) (0.253)
Maturity −0.049*** −0.046***
(0.015) (0.016)
SOE −0.940*** −0.942***
(0.066) (0.067)
Convert −5.060*** −5.090***
(0.101) (0.104)
Guarantee −0.061 −0.059
(0.052) (0.053)
Volume −0.262*** −0.269***
(0.048) (0.050)
jk T\ T\
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\� Riskrate1 Riskrate1 Riskrate1 Riskrate2 Riskrate2 Riskrate2
Disclosure1 3.608*** 4.152***
(1.100) (1.131)
Disclosure2 3.867*** 4.454***
(1.166) (1.197)
Disclosure3 4.142*** 4.195**
(1.608) (1.653)
Size −0.108*** −0.109*** −0.114*** −0.102*** −0.103*** −0.108***
(0.034) (0.034) (0.034) (0.035) (0.035) (0.035)
ROE −0.019*** −0.019*** −0.018*** −0.019*** −0.019*** −0.019***
(0.004) (0.004) (0.004) (0.004) (0.004) (0.004)
Lev 0.839*** 0.838*** 0.814*** 0.963*** 0.963*** 0.940***
(0.301) (0.301) (0.301) (0.309) (0.309) (0.310)
Currentratio 0.030*** 0.030*** 0.030*** 0.029*** 0.030*** 0.030***
(0.007) (0.007) (0.007) (0.007) (0.007) (0.007)
Cashflow −0.012 −0.012 −0.001 −0.007 −0.008 0.005
(0.062) (0.062) (0.062) (0.063) (0.063) (0.063)
Tang 0.059 0.060 0.069 0.148 0.148 0.162
(0.246) (0.246) (0.246) (0.252) (0.252) (0.253)
Maturity −0.029* −0.029* −0.036** −0.025 −0.025 −0.034**
(0.015) (0.015) (0.015) (0.016) (0.016) (0.016)
SOE −1.113*** −1.112*** −1.089*** −1.118*** −1.117*** −1.090***
(0.066) (0.066) (0.066) (0.068) (0.068) (0.068)
Guarantee −0.058 −0.058 −0.064 −0.057 −0.057 −0.065
(0.051) (0.051) (0.051) (0.053) (0.053) (0.053)
Volume −0.270*** −0.271*** −0.272*** −0.277*** −0.278*** −0.279***
(0.048) (0.048) (0.048) (0.049) (0.049) (0.049)
jk T\ T\ T\ T\ T\ T\
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ff R � 0.4522 0.4523 0.4504 0.4191 0.4193 0.4158
_�� 1,334 1,334 1,334 1,334 1,334 1,334
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H 8 cmnopDisclosure1 Disclosure2 Disclosure3
Riskrate1 −1.62 −2.54 −0.56
Riskrate2 −1.98 −2.60 −0.45
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ROEi + α6 × Levi + α7 × Currentratioi + α8 × Cashflowi + α9 × Tangi + α10 × Maturityi+
α11 × SOEi + α12 × Converti + α13 × Volumei +∑
Industry +∑
Year +∑
Province + εi.
(3)
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H 9 Y_hiOjs[_(1) (2) (3) (4) (5) (6)
\� Riskrate1 Riskrate1 Riskrate1 Riskrate2 Riskrate2 Riskrate2
Disclosure×Guarantee −5.248** −5.487** −5.081 −5.701** −5.755** −5.365
(2.612) (2.723) (3.183) (2.680) (2.795) (3.271)
Disclosure1 4.757*** 5.404***
(1.210) (1.242)
Disclosure2 4.957*** 5.619***
(1.288) (1.322)
Disclosure3 7.803*** 7.932***
(1.980) (2.035)
Guarantee 0.294* 0.276 0.185 0.327* 0.295* 0.200
(0.177) (0.168) (0.158) (0.182) (0.173) (0.162)
Size −0.044 −0.044 −0.045 −0.036 −0.036 −0.037
(0.034) (0.034) (0.034) (0.035) (0.035) (0.035)
ROE −0.020*** −0.020*** −0.019*** −0.021*** −0.021*** −0.020***
(0.004) (0.004) (0.004) (0.004) (0.004) (0.004)
Lev 0.699** 0.701** 0.659** 0.809*** 0.810*** 0.770**
(0.304) (0.304) (0.304) (0.312) (0.312) (0.313)
Currentratio 0.027*** 0.027*** 0.027*** 0.027*** 0.027*** 0.027***
(0.008) (0.008) (0.008) (0.008) (0.008) (0.008)
Cashflow −0.055 −0.055 −0.043 −0.050 −0.050 −0.036
(0.064) (0.064) (0.064) (0.065) (0.066) (0.065)
Tang 0.097 0.099 0.099 0.159 0.161 0.165
(0.246) (0.246) (0.246) (0.252) (0.252) (0.253)
Maturity −0.046*** −0.046*** −0.053*** −0.042*** −0.042*** −0.050***
(0.015) (0.015) (0.015) (0.016) (0.016) (0.016)
SOE −0.975*** −0.975*** −0.950*** −0.980*** −0.980*** −0.952***
(0.066) (0.065) (0.065) (0.067) (0.067) (0.067)
Convert −5.001*** −5.008*** −4.949*** −5.025*** −5.033*** −4.978***
(0.101) (0.101) (0.103) (0.104) (0.104) (0.106)
Volume −0.259*** −0.260*** −0.263*** −0.265*** −0.266*** −0.270***
(0.048) (0.048) (0.048) (0.049) (0.049) (0.049)
jk T\ T\ T\ T\ T\ T\
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dafZ]^ T\ T\ T\ T\ T\ T\
ff R � 0.7693 0.7692 0.7694 0.7617 0.7616 0.7611
_�� 1,462 1,462 1,462 1,462 1,462 1,462
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H 10 Y_hiOjs[_ (kzop)
2�S�� ]�S��
(1) (2) (3) (4)
\� Riskrate1 Riskrate2 Riskrate1 Riskrate2
Disclosure1 −3.145 −2.595 4.534*** 5.085***
(2.670) (2.738) (1.263) (1.300)
Disclosure2 −3.037 −2.260 4.719*** 5.284***
(2.758) (2.808) (1.344) (1.383)
Disclosure3 0.096 −0.007 7.314*** 7.437***
(2.778) (2.826) (2.045) (2.107)
Q: ***;** M * �:g=c 1%;5% M 10% e�fa@, U��LY�h] �Mb.
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�0" H3, "��P0"�"N�M:
Riskratei =α0 + α1 × Disclosurei × SOEi + α2 × Disclosurei + α3 × SOEi + α4 × Sizei + α5 × ROEi+
α6 × Levi + α7 × Currentratioi + α8 × Cashflowi + α9 × Tangi + α10 × Maturityi + α11×Converti + α12 × Guaranteei + α13 × Volumei +
∑Industry +
∑Year +
∑Province + εi.
(4)
# ��������, ���?�1!�$, ����� ����)";. 67 �)*#�
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H 11 njO|Ojs[_(1) (2) (3) (4) (5) (6)
\� Riskrate1 Riskrate1 Riskrate1 Riskrate2 Riskrate2 Riskrate2
Disclosure × SOE −8.375*** −8.186** −7.195** −8.326*** −7.992** −7.981**
(3.148) (3.335) (3.324) (3.232) (3.424) (3.415)
Disclosure1 11.255*** 11.782***
(2.996) (3.076)
Disclosure2 11.189*** 11.633***
(3.169) (3.253)
Disclosure3 10.973*** 11.546***
(2.817) (2.894)
SOE −0.466** −0.521*** −0.621*** −0.473** −0.537*** −0.587***
(0.203) (0.196) (0.166) (0.208) (0.201) (0.171)
Size −0.040 −0.041 −0.051 −0.031 −0.033 −0.044
(0.034) (0.034) (0.034) (0.035) (0.035) (0.035)
ROE −0.020*** −0.020*** −0.019*** −0.021*** −0.021*** −0.020***
(0.004) (0.004) (0.004) (0.004) (0.004) (0.004)
Lev 0.705** 0.697** 0.664** 0.815*** 0.807*** 0.775**
(0.304) (0.304) (0.304) (0.312) (0.312) (0.312)
Currentratio 0.027*** 0.028*** 0.027*** 0.028*** 0.028*** 0.028***
(0.007) (0.007) (0.007) (0.008) (0.008) (0.008)
Cashflow −0.054 −0.055 −0.045 −0.049 −0.050 −0.038
(0.064) (0.064) (0.064) (0.065) (0.065) (0.065)
Tang 0.131 0.128 0.100 0.192 0.189 0.166
(0.246) (0.246) (0.246) (0.252) (0.252) (0.252)
Maturity −0.048*** −0.048*** −0.052*** −0.044*** −0.044*** −0.049***
(0.015) (0.015) (0.015) (0.016) (0.016) (0.016)
Convert −4.960*** −4.980*** −4.931*** −4.984*** −5.005*** −4.958***
(0.102) (0.101) (0.103) (0.104) (0.104) (0.106)
Guarantee −0.053 −0.053 −0.055 −0.050 −0.050 −0.053
(0.052) (0.052) (0.052) (0.053) (0.053) (0.053)
Volume −0.264*** −0.266*** −0.266*** −0.271*** −0.272*** −0.273***
(0.048) (0.048) (0.048) (0.049) (0.049) (0.049)
jk T\ T\ T\ T\ T\ T\
3�fZ]^ T\ T\ T\ T\ T\ T\
�cfZ]^ T\ T\ T\ T\ T\ T\
dafZ]^ T\ T\ T\ T\ T\ T\
ff R � 0.7698 0.7696 0.7698 0.7621 0.7618 0.7616
_�� 1,462 1,462 1,462 1,462 1,462 1,462
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Riskratei =α0 + α1 × Disclosurei × ROEi + α2 × Disclosurei + α3 × ROEi + α4 × Sizei + α5 × Levi+
α6 × Currentratioi + α7 × Cashflowi + α8 × Tangi + α9 × Maturityi + α10 × SOEi + α11×Converti + α12 × Guaranteei + α13 × Volumei +
∑Industry +
∑Year +
∑Province + εi,
(5)
�����D��"�� (ROE) ����3��G �'. 6PD��"���� �������%��,����(/, "N�� (5) �.h.�� α1 ���,.
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H 12 vwoxOjs[_(1) (2) (3) (4) (5) (6)
\� Riskrate1 Riskrate1 Riskrate1 Riskrate2 Riskrate2 Riskrate2
Disclosure × ROE 0.465** 0.412** 0.427* 0.418** 0.353* 0.430*
(0.195) (0.207) (0.235) (0.201) (0.213) (0.242)
Disclosure1 1.516 2.327
(1.498) (1.538)
Disclosure2 1.903 2.817*
(1.586) (1.629)
Disclosure3 3.212 3.223
(2.224) (2.285)
ROE −0.049*** −0.043*** −0.038*** −0.047*** −0.041*** −0.949***
(0.013) (0.012) (0.011) (0.013) (0.013) (0.067)
Size −0.035 −0.037 −0.048 −0.027 −0.029 −0.039
(0.034) (0.034) (0.034) (0.035) (0.035) (0.035)
Lev 0.643** 0.648** 0.673** 0.758** 0.764** −0.040***
(0.305) (0.305) (0.304) (0.313) (0.313) (0.012)
Currentratio 0.027*** 0.027*** 0.028*** 0.027*** 0.027*** 0.785**
(0.007) (0.007) (0.008) (0.008) (0.008) (0.313)
Cashflow −0.059 −0.058 −0.046 −0.054 −0.053 0.028***
(0.064) (0.064) (0.064) (0.065) (0.066) (0.008)
Tang 0.103 0.100 0.117 0.164 0.162 −0.039
(0.246) (0.246) (0.246) (0.252) (0.253) (0.065)
Maturity −0.048*** −0.048*** −0.054*** −0.044*** −0.045*** 0.184
(0.015) (0.015) (0.015) (0.016) (0.016) (0.253)
SOE −0.972*** −0.971*** −0.947*** −0.977*** −0.976*** −0.051***
(0.065) (0.066) (0.065) (0.067) (0.067) (0.016)
Convert −4.954*** −4.975*** −4.926*** −4.981*** −5.003*** −4.956***
(0.102) (0.102) (0.104) (0.105) (0.105) (0.107)
Guarantee −0.048 −0.047 −0.056 −0.044 −0.044 −0.054
(0.052) (0.052) (0.052) (0.053) (0.053) (0.053)
Volume −0.265*** −0.266*** −0.263*** −0.271*** −0.273*** −0.271***
(0.048) (0.048) (0.048) (0.049) (0.049) (0.049)
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