尾部风险与债券收益:来自中国市场的证据

Tail Risk and Bond Pricing: Evidence from China

在经济下行和违约规模逐步增加的环境下,投资者对市场的尾部风险比较敏感。借鉴Fama and MacBeth(1973)的因子分析方法,我们在截面维度和时间序列维度验证了债券收益与尾部风险的关系,发现尾部风险每增加一个标准差,债券年化超额收益约增加4.15%。通过做多高尾部风险组债券和做空低尾部风险组债券得到的投资组合平均有月度0.58%的超额收益。实证结果验证了市场对尾部风险的定价机制——投资者面对资产分布的不确定时对损失更为厌恶和用尾部风险历史数据分析违约风险的概率。

We investigate the cross-sectional determinants of corporate bond returns and find tail risk to be an effective predictor of future bond returns.Following Fama and MacBeth(1973),we find that tail risk is positively correlated with bond returns.This relationship is significant even after controlling for other risk factors.We find that an increase of one standard deviation of tail risk is compensated with 4.15%excess return annually.Our result is robust to different metircs of tail risk and a variety of robust tests.We also provide two potential mechanisms of the pricing of tail risk.