信用债市场的回报率是否可预测?——基于投资者情绪视角  

Are Credit Bond Market Returns Predictable?From an Investor Sentiment Perspective

作　　者：张宗新[1] 周聪 Zhang Zongxin;Zhou Cong

机构地区：[1]复旦大学金融研究院,上海200433 [2]复旦大学经济学院,上海200433

出　　处：《证券市场导报》2023年第9期43-55,共13页Securities Market Herald

基　　金：国家自然科学基金面上项目“基于机器学习算法优化的中国资本市场系统性风险监测、预警与管控研究”(72073035)。

摘　　要：违约事件的爆发加剧了投资者非理性情绪的扩散,并引发了信用债市场偏离基本面的大幅波动,考察投资者情绪在信用债市场的非理性繁荣和恐慌式下跌中的推波助澜作用非常重要。本文将行为资产定价理论扩展至信用债市场,采用提取情绪代理变量共同信息的方式,构建有效的信用债市场情绪指数,并研究情绪对市场回报率的可预测性。研究结果表明:(1)信用债市场情绪会产生显著的定价效应,当期的情绪对次月的市场回报率具有较强的预测能力;(2)信用债市场情绪会驱动微观交易,并吸引投资者购买风险较高的债券基金和信息不对称程度较高的债券组合;(3)信用债市场情绪的定价效应在投机倾向较高或套利限制较强的时期更突出,其中较高的投机倾向源自投资者对折现率的乐观态度,而较高的非流动性则是卖空约束之外的另一重要的套利限制。The outbreak of default events would exacerbate the spread of irrational investor sentiment and trigger a sharp fluctuation of the credit bond market deviating from fundamentals.It is of great significance to investigate the role of investor sentiment in fueling irrational booms and panic declines in the credit bond market.This paper extends the behavioral asset pricing theory to the credit bond market.Specifically,the paper constructs an effective credit bond market sentiment index by extracting the common information of several sentiment proxy variables and studies the predictability of the sentiment index for bond market returns.The main findings are summarized as follows.(1)Credit bond market sentiment has a significant pricing effect in that current sentiment has strong predictive ability of the next month’s market return.(2)Credit bond market sentiment can drive micro-trading activities and attract investors to buy riskier bond funds and bond portfolios with a higher degree of information asymmetry.(3)The pricing effect of the credit bond market sentiment is more prominent in periods of higher speculative propensity or stronger arbitrage constraints,where the higher propensity to speculate comes from investors’optimistic attitude towards the discount rate and high illiquidity is another important arbitrage constraint besides the short-selling constraint.

关 键 词：信用债市场 债市情绪指数 行为资产定价 回报率预测 

分 类 号：F812.5[经济管理—财政学]