中债估值识别了债券信用风险吗?——基于跳跃视角的实证分析

Does ChinaBond Valuation Identify the Credit Risk of a Bond?An Empirical Analysis Based on a Yield-Jump Perspective

本文以2011—2018年中国A股上市公司发行的一般公司债为样本,探究了中债估值跳跃对债券信用利差的影响及作用机制,以此说明中债估值对债券信用风险的识别作用。研究发现:中债估值跳跃能够显著提高债券信用利差,其中,中债估值上跳降低了信用利差,下跳提高了信用利差,且相对于上跳,下跳对信用利差的作用更大。异质性分析发现:中债估值跳跃对信用利差的作用在机构投资者中较大,同时在信息不对称性较严重、流动性较差及违约风险较高的债券中也较大。进一步研究发现:中债估值跳跃不仅包含了公共信息,还含有私有信息,并能改善股票分析师预测表现。本研究说明中债估值能够识别债券信用风险,具有信息含量,对于债券市场信息环境建设和系统性金融风险防范具有重要意义。

Credit debt is a vital part of the financial market,and an increase in credit defaults has a negative effect on the prevention of systemic financial risks.Thus,the advance identification of default risks has numerous positive effects:it protects the interests of investors,enhances the attraction of credit debt,strengthens the investment and financing functions of the bond market,reduces information asymmetry in the credit bond market,inhibits excessive financing of high-risk enterprises,and reduces leverage ratios and systemic financial risk(via the resource allocation functions of pricing mechanisms).The traditional tool used to identify credit bond risk is the credit rating,and ratings agencies in China typically use an“issuer-paid”approach for their assessments.However,this approach involves an inherent conflict of interest,as ratings agencies often increase revenue and market share by deliberately upgrading issuers'credit ratings,which makes it difficult to identify the actual default risk of such issuers'bonds.In these circumstances,a key question is,can a third-party valuation of such bonds accurately reveal their expected default risk?The answer to this question is of great practical significance for optimizing the construction of the bond market information environment and preventing systemic risk.At present,the mainstream valuation of China's bond market is the ChinaBond valuation,which is issued by the ChinaBond Pricing Center Co.,Ltd.,after the end of each trading day.A ChinaBond valuation has the following advantages.First,in contrast to a traditional credit rating,a ChinaBond valuation adopts the“investor-paid”approach to assessment,which is more independent than the“issuer-paid”approach.Second,the ChinaBond Pricing Center Co.,Ltd.,is directly affiliated with the China Central Depository&Clearing Co.,Ltd.,which discloses information about bond issuers and acts as the central custodian and clearing house for bonds.Thus,the China Central Depository&Clearing Co.,Ltd.provides objective conditions for the ChinaBond Pricing Center Co.,Ltd.to use to obtain relevant information.Third,in contrast to the Kealhofer,McQuown,and Vasicek model,ChinaBond valuations integrate the market information of bonds with the financial information of bond issuers,and it is released daily to ensure better real-time performance.Fourth,ChinaBond valuations are widely used by regulators for transaction pricing,risk assessment,and fair value measurement.In addition,studies find that the price or yield jumps of assets,such as stocks and options,reflect relevant information on bond issuers and the expected default risk of their bonds,and affect the credit spread.Thus,short-term changes or jumps in a ChinaBond valuation could enable investors to judge the credit risk of bonds.Accordingly,this paper determines the utility of a ChinaBond valuation for the identification of credit risk by exploring its effect on bond credit spread and the mechanism of this effect in terms of jumps in valuation.Specifically,based on the data of ChinaBond valuations provided by the ChinaBond Pricing Center Co.,Ltd.from 2011 to 2018,this paper studies how a jump in a ChinaBond valuation affects bond credit spread.The results show that a jump in such a valuation significantly affects the bond credit spread:an upward jump decreases the credit spread,and a downward jump increases the credit spread.In addition,a downward jump has a greater effect than an upward jump,and a heterogeneity analysis shows that a jump in the valuation of credit spreads has a greater effect on institutional investors and on bonds with severe information asymmetry,poor liquidity,and high default risk.Further research shows that a valuation jump contains private information,in addition to public information,and can be used by stock analysts to improve their forecasting performance.The key contributions of this paper are as follows.First,current research on the identification of bond credit risk focuses on credit ratings,and few studies discuss this issue from the perspective of third-party valuation.Thus,this paper's analysis of the role of a ChinaBond valuation in credit risk identification provides a new perspective for related research.Second,this paper finds that a ChinaBond valuation not only gives credit risk information on bonds but also provides investors with private information that complements existing public information.This is invaluable for China's bond market,which lacks effective tools for the identification of credit risk.Third,the conclusions of this paper have profound policy implications,as they reveal that third-party valuations can provide more credit risk information than credit ratings.Thus,third-party valuations can serve as a theoretical reference for various contracting parties and government regulatory authorities for guarding against the risk of bond default or for managing a default event,or as a market-based means to protect the interests of creditors.