违约事件影响信用债风险溢价吗?——来自交易所债券市场的证据

Do Default Events Affect the Risk Premium of Credit Bonds?——Evidence from Exchange Bond Market

本文研究信用债的二级市场风险溢价在信用债违约事件的冲击下,是否显著变化及该变化的时序特征。研究表明个券风险溢价平均在违约后的3个交易日内累计上行约3.5基点,且短期内未回落。进一步地,本文发现民企债券、无担保债券与低流动性债券的风险溢价在违约后显著提高,且个券与违约债券处于相同子市场时,其风险溢价提升更多。本文还发现公司债和企业债对违约事件的反应大体相似,但也存在少许差异。

This paper studies whether the secondary market risk premium of credit bonds have significant change under the impact of default events of credit bonds as well as the timing characteristics of this change.The research shows that risk premiums of bonds will increase by about 3.5 basis points on average within 3 trading days after defaults,and it will not decline in the short term.Furthermore,this paper finds that risk premiums of bonds issued by the private sector,bonds without guarantee and bonds with relatively lower liquidity increase significantly after defaults.When a certain bond is traded in the same submarket with the defaulted bond,its risk premium will increase by a higher degree.This paper also finds that the reactions of corporate bonds and enterprise bonds to default events are similar overall,yet with a little differences.