Abstract:
Focusing on the essential attribute that bond covenants could protect the creditors' rights, we collected data by hand and applied methods of portfolios-sort and Fama-Macbeth to analyze channels and degrees of the impacts that bond covenants imposed on corporate bond pricing by decomposing the total spread of corporate bond into credit spread and non-credit spread. The conclusions demonstrated that the bond covenants could effectively reduce the credit spread and non-credit spread of corporate bond price due to protecting the interests of creditors from losses in the future and reducing the creditors risk., bond covenants have larger impact on total spread by superposition of credit spread effect and non-credit spread effect, which ultimately makes the bond covenants could also significantly lower the total spread of corporate bond yield to maturity.
史永东, 田渊博. 契约条款影响债券价格吗？——基于中国公司债市场的经验研究[J]. 金融研究, 2016, 434(8): 143-158.
SHI Yongdong, TIAN Yuanbo. Do Bond Covenants Affect Bond Price? An Empirical Study Based on Corporate Bond Market of China. Journal of Financial Research, 2016, 434(8): 143-158.
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