摘要
打破投资者对债券按期全额兑付的预期是一个亟待解决的问题。本文以地方国有企业信用债违约为背景,重点考察了投资者适应性预期对其按期全额兑付预期的影响。本文选取了2014—2019年我国信用债市场上成功发行的地方国有企业信用债数据,采用双重差分倾向得分匹配法,度量了投资者按期全额兑付预期对债券发行溢价的影响,证明了投资者对债券按期全额兑付的预期会因适应性预期的调整而消失。进一步研究发现,适应性预期会因债券发行的地区、有无担保、发行金额及期限的不同而有所差异。本文的研究结果为消除投资者按期全额兑付预期、完善债券发行市场定价机制提供参考。
Understanding full payment in due course in the pricing of state-owned corporate bonds is a difficult task for both investors and policymakers.Investors'expectation of full payment in due course distorts the pricing mechanism of credit risk in the corporate market.This paper measures the credit premium of bond issuance caused by the expectation of full payment in due course from the perspective of asset pricing in order to capture the real credit risk on the state-owned corporate bonds.By employing the PSM-DID method on a basis of default events of state-owned corporate bond from 2014 to 2019,the paper finds that the expectation of full payment in due course may cause the bonds to be issued at a premium price.In addition,the expectation of full payment in due course disappears after the first default due to the adjusted expectations and learning process of investors.Moreover,the degree of discount on credit risk varies according to the areas,existence of guarantee,sizes and maturities.The above results show that the expectation of full payment in due course is a rational expectation based on credit risk,market information and government behavior.Therefore,investors'expectation of full payment in due course is the product of the government's long-term excessive intervention in the market,which makes investors pay too much attention to the background of state-owned enterprises instead of tradeoff between risk and return.In order to allocate resources efficiently,government needs to lead investor to break the expectation of full payment in due course,exert market function in bond pricing,and promote the healthy development of the bond market.This paper puts forward four policy suggestions.Firstly,improving the role of market mechanism in the pricing of bond issuance,and making full use of the financial status of issuers and other information related to bonds to determine the price of bond issuance.Secondly,promoting investors'awareness of risk,and providing rational expectation guidance to achieve the goal of breaki
作者
杨璐
方静
Yang Lu;Fang Jing(College of Economics,Shenzhen University;China Construction Bank Jiangsu Branch)
出处
《国际金融研究》
CSSCI
北大核心
2021年第8期76-86,共11页
Studies of International Finance
基金
广东省财政科研课题“适应性预期条件下地方政府隐性债务信用风险测度研究”(Z202139)
广东省哲学社会科学“十三五”规划项目“粤港澳大湾区金融中心建设与RCEP国家股票市场系统性金融风险空间溢出效应研究”(GD20XYJ29)
深圳市高等院校稳定支持计划“刚性兑付、适应性预期与债券发行信用溢价研究”(20200826152220001)资助。
