惊弓之鸟:信用债违约事件的行业外部性  

Panic Pricing Effect:The Intra⁃Industry Externalities of Credit Events

作　　者：欧阳伊玲 高昊宇 杨晓光[3] 李妮 Ouyang Yiling;Gao Haoyu;Yang Xiaoguang;Li Ni(School of Finance,Shanghai University of International Business and Economics,Shanghai 201620;School of Finance,Renmin University of China,Beijing 100872;Academy of Mathematics and Systems Science,Chinese Academy of Science,Beijing 100190;Credit Card Center,ICBC,Beijing 100140)

机构地区：[1]上海对外经贸大学金融管理学院,上海201620 [2]中国人民大学财政金融学院,北京100872 [3]中国科学院数学与系统科学研究院,北京100190 [4]中国工商银行银行卡中心,北京100140

出　　处：《管理评论》2024年第12期120-132,共13页Management Review

基　　金：国家自然科学基金优秀青年科学基金项目(72322015);国家自然科学基金面上项目(72273146);上海市教育发展基金会和上海市教育委员会“晨光计划”项目(23CGA70)。

摘　　要：本文以中国2016—2020年发行的信用债为研究样本,实证分析债券发行主体所在行业的信用风险事件是否以及如何影响新券发行成本。研究发现:①外部违约事件会显著提高同行业新发行债券的融资成本,上述发现在控制发债主体和债券特征变量、增加多种固定效应、改变时间窗口以及采用倾向性得分匹配后仍显著存在;②投资者的“恐慌效应”是行业违约事件影响新券发行成本的主要作用渠道,具体表现为在信息披露不足、非国有企业、主体评级较低和地区法律环境较差的发债样本中违约的外部性更强;③信用风险事件的定价影响在同类型债券违约和行业首次违约样本中更加明显,而且随违约次数增加而加强。本研究从企业融资成本的视角为理解和认识信用风险行业外部性增加了实证证据。In order to find out whether and how the emerging corporate bond default events affect newly issued bonds’pricing,this paper studies the credit bonds issued from 2016 to 2020 and reaches three conclusions:(1)Default significantly increases the cost of newly is⁃sued bonds for the issuers within the same industry,and these results remain statistically significant after controlling bond and firm char⁃acteristics and a set of fixed effects,changing the event window,and implementing propensity score matching;(2)The underlying mechanism is enabled by investors’“panic pricing effect”.Specifically,issuers who are lacking information disclosure,non⁃state owned,low⁃rated,and exposed to a poor legal environment suffer more from the externality;(3)The credit⁃event driven risk premium is more obvious in the samples of the same type of default bond,and the samples affected by the industry’s first default.The number of de⁃faults is also significantly priced.From the perspective of corporate financing cost,this paper empirically contributes to understanding the intra⁃industry externalities of credit risk.

关 键 词：信用违约事件 融资成本 恐慌效应 行业外部性 

分 类 号：F83[经济管理—金融学]