Analysis On The Validity Of The Pricing Of Chinese Corporate Bonds Based On The Structure Model And Its Empirical Analysis

Although the share of our corporate bond market in the capital market is still very small,compared with mature capital markets,during the period of 2013 to 2015,the momentum of development of our corporate bond market was strong.However,because of not-active turnover of corporate bonds before 2013 and lack of relevant data,it was difficult to provide more comprehensive data and information that could reflect the real market situation what corporate bond pricing needed,and then the study of corporate bond pricing is relatively lacking.With the rapid development of the bond market in recent years,the disclosure of related data has been gradually improved,which makes it possible to make a deeper research.This article uses the latest data in recent years and uses the classic structural bond pricing models named Merton model,Longstaff-Schwartz model,Collin-Dufresne-Goldstein model to analysis the pricing of corporate bonds issued and traded on China’s bond market.In order to reveal which model is more effective on our corporate bond market.Furthermore,we try to find out which factors influence the proceed of corporate bond pricing in China.The result shows that the differences between the three models on pricing efficiency of corporate bonds in China are distinct.Merton model significantly underestimate the credit spreads,while the other two models overestimate credit spreads.Grouping samples according to debt credit rating and the main credit rating,we find that for high rated corporate bonds,both Longstaff-Schwartz model and Collin-Dufresne-Goldstein model overvalue short-term-bond credit spreads but underestimate the long-term-bond credit spreads,while Merton model underestimate the short-term and long-term debt credit spread.On the analysis of the factors affecting the effectiveness of the pricing models,we use t test and regression model to study the impact on the pricing capability of the models.The result shows that the remaining period of the bond,the coupon rate and the asset liability ratio has a significant impact on the credit spreads.Based on the t test result,we find the coupon rate,the rate of return on assets,asset volatility has a significant influence on the three models.