股权关联模式、资产证券化定价效率与穿透式监管  

Equity Affiliation,Mortgage-Backed Securities Pricing Efficiency and Penetrating Regulation

作　　者：刘文震[1,2] 徐可涵 吴文锋 Liu Wenzhen;Xu Kehan;Wu Wenfeng

机构地区：[1]安徽工程大学数理与金融学院 [2]上海交通大学安泰经济与管理学院

出　　处：《财经科学》2024年第5期18-34,共17页Finance & Economics

基　　金：国家自然科学基金重点国际(地区)合作研究项目(72310107002);安徽省高校优秀青年人才支持项目“网络借贷市场中投资者行为与区块链模式机理研究”(gxyqZD2022046)的资助。

摘　　要：基于新券发行股权关联行为视角,本文使用2015—2023年中国银行间债券市场发行的资产证券化产品违约数据,考察资产证券化产品市场的定价效率问题。研究发现:初始收益率利差与累计违约率显著正相关,其对债券未来损失具有一定的预测能力。有“股权关联”模式的参与机构会选择放松标准或隐藏信息,初始收益率利差的相应预测能力有所减弱,这表明股权关联模式在一定程度上对债券定价效率存在扭曲效应。进一步分析表明:发债主体具有国有企业背景和不同评级方评级意见一致时,股权关联模式对债券定价效率扭曲效应更强。在此基础上,本文还发现发行机构声誉对债券定价扭曲效应具有调节效应。本文的研究为“穿透式监管”提高债券定价效率和“全面加强金融监管”提供了实证证据,也为我国债券市场高质量发展与加快金融强国建设等政策的制定和完善提供了参考。This paper uses default data of mortgage-backed securities issued in the Chinese interbank market from 2015-2023 to examine the pricing efficiency of the mortgage-backed securities market based on the perspective of equity affiliation behave on bond issuance.It is found that the initial yield spread is significantly positively correlated with the cumulative default rate,which has some predictive ability for the future loss of bonds.Participating institutions with'equity affiliation'mode will choose to relax the criteria or hide the information,and the corresponding predictive ability of the initial yield spread is weakened,which suggests that equity affiliation has a distortionary effect on bond pricing efficiency to a certain extent.Further analyses show that the distortion effect of equity affiliation on bond pricing efficiency is stronger when the debt issuer has a state-owned enterprise background and different rating parties have the same rating opinion.On this basis,this paper also finds that the reputation of the issuer has a moderating effect on bond pricing distortion.The research in this paper provides empirical evidence for penetrating supervision'to improve bond pricing efficiency and'comprehensively strengthen financial supervision',and also provides reference for the formulation and improvement of policies for the high-quality development of China's bond market and the acceleration of the construction of a strong financial country.

关 键 词：初始收益率利差 累计违约率 参与机构 股权关联模式 

分 类 号：F832.5[经济管理—金融学]