卖空约束下的公司债券定价

信用溢价之谜是近年来在资产定价领域中热点研究问题之一,本文试图从结构化模型角度对这一问题做出解释。通过引入市场卖空约束条件,我们建立了新的公司债券定价模型。由于卖空约束在现实市场中普遍存在,因此建立这种结构化模型是具有实际意义的。实证研究表明该模型可以得出比现有模型更高的信用溢价,能很好地解释信用溢价之谜。

Pricing Corporate Bonds with the Short-Selling Constraint

The credit spread puzzle is one of most popular studies on the asset pricing theory in recent years.In this paper,we try to solve the credit spread puzzle within the framework of structure models and establish a new pricing model of corporate bonds with the short-selling constraint in the market.As the short-selling constraint obviously exists in reality,it is meaningful to build such a structure model.The empirical research shows that the model can predict more credit spreads than existing models and explain the credit spread very well.