信用风险传染、投资者情绪与债券发行定价  

Credit Risk Contagion,Investor Sentiment and Bond Issuance Pricing

作　　者：苏洁 王勇[1] SU Jie;WANG Yong

机构地区：[1]对外经济贸易大学国际经济贸易学院

出　　处：《中央财经大学学报》2023年第7期29-43,共15页Journal of Central University of Finance & Economics

摘　　要：债券违约事件连续爆发后如何防范信用风险的传染、保护债权人利益成为防范化解重大金融风险的重中之重。为此,本文选取2014年至2022年6月发行的信用债,探究债券违约的信用风险传染效应。结果表明,公司发债前,行业爆发违约事件,会显著提高债券的风险溢价并降低债券成功发行率,同时违约规模越大,债券发行定价越高。机制分析显示,债券违约释放的信用风险降低了机构投资者情绪,进而影响了债券的发行定价。进一步研究发现,风险传染效应在民营企业中最强烈,其次是地方国有企业,最后是中央国有企业。研究结果还表明,公司的盈利能力弱、没有上市、资产规模小以及信用评级低,同行业债券违约越能显著提高公司债券的发行定价。在房地产业高杠杆发展的时代背景下,相比制造业、批发和零售业,在房地产行业中风险的传染效应更强烈。本文为债券违约的信用风险传染效应提供了经验证据,并阐明了违约对债券发行定价的影响机理,对当前我国出台债务风险防控政策、维护金融市场稳定具有启示意义。How to prevent the contagion of credit risks has become the top priority of resolving major financial risks after the continuous outbreak of bond default events.Thus,we select the credit bonds publicly issued from January 2014 to June 2022 to study the credit risk contagion of bond defaults.We find that bond default events significantly increase the risk premium of bond and reduce the successful issuance rate of bond in the same industry.At the same time,we find that the larger the scale of bond default,the higher the pricing of bond.Further,we analyze the mechanism of credit risk contagion through the channel of institutional investor sentiment.We also find that contagion effect has a heterogeneous impact on enterprises of different ownerships.The risk contagion effect is strongest among private enterprises,followed by local state-owned enterprises,and finally by central state-owned enterprises.Besides,we find that the weaker the company s risk tolerance,the more significantly the credit spread of bond can be increased by bond default events.In the context of the highly leveraged development of the real estate industry,the risk contagion effect is stronger in the real estate industry than in the manufacturing,wholesale and retail industries.This paper provides empirical evidences for the credit risk contagion effect of bond defaults,and guidance on how to defuse bond market credit risks and maintain financial market stability.

关 键 词：债券违约 信用风险传染 投资者情绪 信用利差 

分 类 号：F832.5[经济管理—金融学] F275