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
欧阳伊玲 1高昊宇 2杨晓光 3李妮4
作者信息
- 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
- 折叠
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.
Abstract
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Key words
corporate default/financing cost/panic pricing effect/intra-industry externalities引用本文复制引用
出版年
2024
NETL
NSTL
万方数据