Corporate risk information disclosure and bond risk ...

22
41 7 Vol.41, No.7 2021 7 Systems Engineering — Theory & Practice July, 2021 doi: 10.12011/SETP2019-2549 : F832.5 : A —— 1 , 1 , 2 , 3 (1. , 100872; 2. , 361005; 3. , KS 66045 USA) . 2006–2017 , , . , . , , . , . ; ; Corporate risk information disclosure and bond risk premium: Based on textual analysis of bond prospectus WU Wuqing 1 , ZHEN Weihao 1 , YANG Jie 2 , CAI Zongwu 3 (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 : (1978–), , , , , : , , E-mail: [email protected]; (1994–), , , , : , , E-mail: [email protected]; : (1985–), , , , , : , , E-mail: [email protected]; (1960–), , , , , : , , E-mail: [email protected]. : (71871216); (71631004); (17GLB022); (FJ2018C024) 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.

Transcript of Corporate risk information disclosure and bond risk ...

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� 41�� 7� ��������� Vol.41, No.7

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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

[\��: ��� (1978–), �, �����, ��, ���, ����: ����, ���, E-mail: [email protected]; ��(1994–), �, �����, �����, ����: ��, ����, E-mail: [email protected]; Æ��: � (1985–),

, ��, ��, ��, ����: ����, ��, E-mail: [email protected]; �� (1960–), �, ��, ��, ��, ����: ��� �, �����, E-mail: [email protected].

����:�� ����� � (71871216); �� ������ � (71631004); ��������� � (17GLB022);

���� � (FJ2018C024)

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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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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Page 10: Corporate risk information disclosure and bond risk ...

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(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)

Guarantee −0.046 −0.046 −0.052 −0.041 −0.041 −0.049

(0.052) (0.052) (0.052) (0.054) (0.054) (0.054)

Volume −0.268*** −0.269*** −0.268*** −0.277*** −0.278*** −0.278***

(0.049) (0.049) (0.049) (0.050) (0.050) (0.050)

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 � 0.7655 0.7654 0.7660 0.7579 0.7578 0.7578

_�� 1,462 1,462 1,462 1,462 1,462 1,462

Q: ***;** M * �:g=c 1%;5% M 10% e�fa@, U��LY�h] �Mb.

Page 12: Corporate risk information disclosure and bond risk ...

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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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ff R � 0.7680 0.7597

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Page 13: Corporate risk information disclosure and bond risk ...

1662 � � � � � � � 41�

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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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Page 14: Corporate risk information disclosure and bond risk ...

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H 8 cmnopDisclosure1 Disclosure2 Disclosure3

Riskrate1 −1.62 −2.54 −0.56

Riskrate2 −1.98 −2.60 −0.45

\M�gl[0"������*�"�3$�B7, "�#�$� Durbin-Wu-Hausman 0"��5

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�%��,�<�)4..

"�'�.h.� H2 '�0", �P0"�"N�M:Riskratei =α0 + α1 × Disclosurei × Guaranteei + α2 × Guaranteei + α3 × Disclosurei + α4 × Sizei + α5×

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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Disclosure1 % Disclosure2 ���������G �'�, .h.�����8. ���,��� H2 �

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Page 15: Corporate risk information disclosure and bond risk ...

1664 � � � � � � � 41�

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\

3�fZ]^ T\ T\ T\ T\ T\ T\

�cfZ]^ T\ T\ T\ T\ T\ T\

dafZ]^ T\ T\ T\ T\ T\ T\

ff R � 0.7693 0.7692 0.7694 0.7617 0.7616 0.7611

_�� 1,462 1,462 1,462 1,462 1,462 1,462

Q: ***;** M * �:g=c 1%;5% M 10% e�fa@, U��LY�h] �Mb.

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Page 16: Corporate risk information disclosure and bond risk ...

� 7� ���, �: ������������� —— ������� ���� 1665

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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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 +

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Page 17: Corporate risk information disclosure and bond risk ...

1666 � � � � � � � 41�

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)

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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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α6 × Currentratioi + α7 × Cashflowi + α8 × Tangi + α9 × Maturityi + α10 × SOEi + α11×Converti + α12 × Guaranteei + α13 × Volumei +

∑Industry +

∑Year +

∑Province + εi,

(5)

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(0.195) (0.207) (0.235) (0.201) (0.213) (0.242)

Disclosure1 1.516 2.327

(1.498) (1.538)

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(1.586) (1.629)

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(2.224) (2.285)

ROE −0.049*** −0.043*** −0.038*** −0.047*** −0.041*** −0.949***

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(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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