企业债信用等级迁移的价格效应及影响因素研究  

Research on Price Effect and Infl uencing Factors of Credit Rating Transitions of Enterprise Bonds

作　　者：孙克[1] Sun Ke

机构地区：[1]嘉兴学院商学院

出　　处：《证券市场导报》2019年第6期32-39,50,共9页Securities Market Herald

基　　金：浙江省自然科学基金资助项目“固定收益企业债信用等级迁移的传染效应及传导机制研究”(LQ12G01003)

摘　　要：本文采用事件研究法研究沪深两市固定收益企业债信用等级迁移的价格效应,发现企业债价格对信用升级和信用降级的反应存在不对称性,信用降级向债券市场传递了新信息,价格变化存在滞后性且价格变化是逐步过渡的,而信用升级的信息传递效应不显著。在信用降级信息发布前企业债已经出现负异常回报,说明降级事件可能提前被债券市场部分预测到了,但负异常回报值很小,且降级信息发布前两日和发布当日的平均累积异常回报统计不显著,可认为没有出现评级信息的泄露。采用横截面回归研究信用降级价格效应的影响因素,发现信用质量低、降级幅度大的债券价格反应更强烈,并且降级幅度更应该引起投资者的关注。The impacts of bond rating changes on the prices of enterprise bonds with fixed-income are investigated and the results show that bond rating upgrades and downgrades have different effects on prices. Abnormal bond returns resulting from downgrades are negative and statistically signi ficant, while the reaction to upgrades is statistically insigni ficant. The empirical results show that bond rating downgrades have transmitted some new information to the bond market, yet the change of the prices is stagnant and gradual. The cross-sectional analysis shows that lower rated bonds respond more strongly to downgrades, and there’s statistically negative correlation between bond prices and the absolute value of the number of grades that the rating is changed, to which investors should pay more attentions.

关 键 词：企业债 信用等级迁移 价格效应 信用评级 固定收益证券 

分 类 号：F830.9[经济管理—金融学]