Equity Affiliation,Mortgage-Backed Securities Pricing Efficiency and Penetrating Regulation
This paper uses default data of mortgage-backed securities issued in the Chinese interbank market from 2015-2023 to ex-amine 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 af-filiation has a distortionary effect on bond pricing efficiency to a certain extent.Further analyses show that the distortion effect of eq-uity affiliation on bond pricing efficiency is stronger when the debt issuer has a state-owned enterprise background and different rat-ing 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 im-provement of policies for the high-quality development of China's bond market and the acceleration of the construction of a strong fi-nancial country.
NETL
NSTL
万方数据
