信用评级、债券久期与投资者判断分歧

Credit Rating,Duration and Divergence of Opinion

以2010～2013年中国企业债券市场数据检验债券投资者判断分歧的诱因及其对企业债券交易量的影响，结果表明银行间市场投资者产生判断分歧的主导诱因是信用评级，而交易所市场投资者产生判断分歧的主导诱因是久期；高等级债券不能满足银行间市场投资者需求，久期较短的债券不能满足交易所市场投资者需求，发行量大的债券能满足银行间市场投资者需求但无法满足交易所市场投资者需求。因此，信贷资产证券化应当充分考虑投资者判断分歧对交易量的影响。

This paper examined the determinants of divergence of opinions among bond investors as well as their influences on bond trading volume by 2010-2013 China enterprise bond data. Empirical results suggest that bond credit rating is a key incentive in interbank market and bond duration is a key incentive in exchange market. Bonds with high credit - rating cannot meet the investors＇orders in interbank market, bonds with short duration cannot meet investors＇ orders in exchange market and bonds with huge issue can meet investors in interbank market but not meet investors in exchange market. Divergence of opinions as well as their influence on volume should be emphasized in CLS.