中债估值识别了债券信用风险吗?——基于跳跃视角的实证分析  

Does ChinaBond Valuation Identify the Credit Risk of a Bond?An Empirical Analysis Based on a Yield-Jump Perspective

作　　者：史永东[1] 郑世杰[1] 袁绍锋[2] SHI Yongdong;ZHENG Shijie;YUAN Shaofeng(School of Applied Finance and Behavioral Science/School of Finance/Research Centre of Applied Finance,Dongbei University of Finance and Economics;China Financial Futures Exchange)

机构地区：[1]东北财经大学应用金融与行为科学学院/金融学院/应用金融研究中心,辽宁大连116025 [2]中国金融期货交易所,上海200122

出　　处：《金融研究》2021年第7期115-133,共19页Journal of Financial Research

基　　金：国家社会科学基金重大项目(19ZDA094);国家自然科学基金项目(71971046,71772030,71702025);辽宁特聘教授滚动支持计划(辽教函〔2018〕35号);教育部人文社会科学研究一般项目(19YJC790170,18YJ790115);辽宁省教育厅项目(LN2019Z11,LN2019Q41,L15AGL003);辽宁省“兴辽英才计划”项目(XLYC1807128,XLYC1907030);大连市第二批领军人才项目(大人社发〔2018〕573号)的资助。

摘　　要：本文以2011—2018年中国A股上市公司发行的一般公司债为样本,探究了中债估值跳跃对债券信用利差的影响及作用机制,以此说明中债估值对债券信用风险的识别作用。研究发现:中债估值跳跃能够显著提高债券信用利差,其中,中债估值上跳降低了信用利差,下跳提高了信用利差,且相对于上跳,下跳对信用利差的作用更大。异质性分析发现:中债估值跳跃对信用利差的作用在机构投资者中较大,同时在信息不对称性较严重、流动性较差及违约风险较高的债券中也较大。进一步研究发现:中债估值跳跃不仅包含了公共信息,还含有私有信息,并能改善股票分析师预测表现。本研究说明中债估值能够识别债券信用风险,具有信息含量,对于债券市场信息环境建设和系统性金融风险防范具有重要意义。Credit debt is a vital part of the financial market,and an increase in credit defaults has a negative effect on the prevention of systemic financial risks.Thus,the advance identification of default risks has numerous positive effects:it protects the interests of investors,enhances the attraction of credit debt,strengthens the investment and financing functions of the bond market,reduces information asymmetry in the credit bond market,inhibits excessive financing of high-risk enterprises,and reduces leverage ratios and systemic financial risk(via the resource allocation functions of pricing mechanisms).The traditional tool used to identify credit bond risk is the credit rating,and ratings agencies in China typically use an“issuer-paid”approach for their assessments.However,this approach involves an inherent conflict of interest,as ratings agencies often increase revenue and market share by deliberately upgrading issuers'credit ratings,which makes it difficult to identify the actual default risk of such issuers'bonds.In these circumstances,a key question is,can a third-party valuation of such bonds accurately reveal their expected default risk?The answer to this question is of great practical significance for optimizing the construction of the bond market information environment and preventing systemic risk.At present,the mainstream valuation of China's bond market is the ChinaBond valuation,which is issued by the ChinaBond Pricing Center Co.,Ltd.,after the end of each trading day.A ChinaBond valuation has the following advantages.First,in contrast to a traditional credit rating,a ChinaBond valuation adopts the“investor-paid”approach to assessment,which is more independent than the“issuer-paid”approach.Second,the ChinaBond Pricing Center Co.,Ltd.,is directly affiliated with the China Central Depository&Clearing Co.,Ltd.,which discloses information about bond issuers and acts as the central custodian and clearing house for bonds.Thus,the China Central Depository&Clearing Co.,Ltd.provides objective condit

关 键 词：中债估值 跳跃 信用利差 信用风险 信息含量 

分 类 号：F832.51[经济管理—金融学]