加入選擇性揭露下之債券評價

Abstract

本文為考量資訊不完全下的結構式模型，認為市場上的投資人難以直接真實地觀察到公司的資產價值，頂多只能由公司的財務報表來推斷。資訊不完全是由於投資人所得到資產價值的資訊內容，為 之前的資產價值，資產價值的揭露時間與實際發生的時間之間有時間差 ，意即目前公司實際的資產價值為 ，但投資人只得到 的資訊以及僅知道公司在此段時間差中尚未違約，甚至有時公司經理人會選擇延後財務報表的發佈。然而，若模型只考慮時間差，則當現在實際的資產價值低於可觀察到的資產價值時，模擬出的信用利差卻和實證文獻呈現相反的結果。 因此本篇文章將選擇性揭露納入資訊不完全的模型，認為選擇性揭露亦為資訊不完全的來源，將公司揭露資訊的決策在債券評價模型中內生化。本文考量了三種類型的揭露成本，探討在不同類型的揭露成本的考量下，公司依據資訊品質產生不同的揭露門檻，依據此揭露門檻決定是否要揭露訊息，此訊息進而影響到債券價格。本文發現，當揭露成本與資訊精密度成正向關係時，本模型模擬出的信用利差與實證上的文獻相符合。此外，本文以公司選擇性揭露後發佈的資訊來模擬債券價格，將公司違約事件的發生視為是很難準確預測到的停止點（stopping time），雖然是結構式模型的延伸，也可推導出違約密度，和縮減式模型有一致的結果。 實證上常以報表資訊的延後作為選擇性揭露的結果，因此本文最後探討這兩年中GM和AIG延後會計報表的事件以及資本市場的反應，來觀察選擇性揭露的影響。

In our structural credit model based on incomplete information, investors cannot observe a firm’s true asset value directly. Investors instead draw inference from the available accounting data. The incomplete information arises from a fixed time lag between the current value of assets and the asset value known to outsiders. In other words, when the true asset value is , the outsiders know only the value and that the asset value has not hit zero between time and time . Moreover, sometimes the manager chooses to withhold accounting data so that information asymmetry becomes worse. However, when the current value is substantially lower than lagged report and if we only consider time lag in the imperfect information model, the term structure of credit spreads is opposite to the one emerging from empirical reference. On this account, we introduce discretionary disclosure into the imperfect information model by making disclosure decision become an endogenous choice on the part of the firm with different types of disclosure costs. Then we show that the lack of precise knowledge of a firm’s value process and the awareness of disclosure threshold can lead to different predictions on the shape of the term structure of credit spreads. Our structural model is more consistent with the empirical result that a higher transparency is rationally associated with lower credit spreads for most of the term structure. Especially when the form of disclosure cost is quadratic and increasing in information precision, it seems to solve most conflicts between the imperfect information credit model and the empirical statistics. Default intensity, the critical feature of reduced-form models, is derived from this structural approach in models where bond investors have incomplete information about asset values of firms with discretionary disclosure rights. Last, I use GM and AIG cases to reveal the importance of delaying accounting reports to the capital market.