Structural Models of Corporate Bond Pricing: An Empirical Analysis

Y. Eom, Jing-Zhi Huang, Jean Helwege
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引用次数: 939

Abstract

This paper empirically tests five structural models of corporate bond pricing: Those of Merton (1974), Geske (1977), Leland and Toft (1996), Longstaff and Schwartz (1995), and Collin-Dufresne and Goldstein (2001). We implement the models using a sample of 182 bond prices from firms with simple capital structures during the period 1986-1997. The conventional wisdom is that structural models do not generate spreads as high as those seen in the bond market, and true to expectations we find that the predicted spreads in our implementation of the Merton model are too low. The compound option approach of Geske comes much closer to the spreads observed in the market, on average, but still underpredicts spreads. In contrast, the Leland and Toft model substantially overestimates credit risk on most bonds, and especially so for high coupon bonds. The Longstaff and Schwartz model modifies Merton to incorporate a stochastic interest rate and a correlation between interest rates and firm value. While the correlation and the level of interest rates have little effect, higher interest rate volatility leads to higher predicted spreads. However, this and other features of this model result in spreads that are often too high for risky bonds and too low for safe bonds. The target leverage ratio model of Collin-Dufresne and Goldstein helps to raise the spreads on the bonds that were considered very safe by the Longstaff and Schwartz model, but overall tends toward overestimation of credit risk. We conclude that structural models do not systematically underpredict spreads, as the previous literature implies, but accuracy is a problem. Moreover, some of the simplifications made to date lead to overestimation of credit risk on the riskier bonds while scarcely affecting the spreads of the safest bonds.
公司债券定价的结构模型:一个实证分析
本文对Merton(1974)、Geske(1977)、Leland and Toft(1996)、Longstaff and Schwartz(1995)、collins - dufresne and Goldstein(2001)五种公司债券定价结构模型进行了实证检验。我们使用1986-1997年期间具有简单资本结构的公司的182个债券价格样本来实现这些模型。传统观点认为,结构模型不会产生像债券市场那样高的息差,正如预期的那样,我们发现,在我们实施默顿模型时,预测的息差太低了。Geske的复合期权方法更接近于市场上观察到的平均价差,但仍然低估了价差。相比之下,利兰和托夫特模型大大高估了大多数债券的信用风险,尤其是高息债券。朗斯塔夫和施瓦茨模型修改了默顿模型,纳入了随机利率和利率与企业价值之间的相关性。虽然相关性和利率水平影响不大,但较高的利率波动性导致较高的预测价差。然而,该模型的这一特点和其他特点导致风险债券的利差往往过高,而安全债券的利差往往过低。collins - dufresne和Goldstein的目标杠杆率模型有助于提高Longstaff和Schwartz模型认为非常安全的债券的利差,但总体上倾向于高估信用风险。我们得出结论,结构模型不会系统性地低估传播,正如以前的文献所暗示的那样,但准确性是一个问题。此外,迄今所做的一些简化导致了对风险较高债券的信用风险的高估,而对最安全债券的利差几乎没有影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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