独善其身还是唇亡齿寒:股价崩盘风险是否影响债券定价?

Stay Unscathed or Share the Same Fate:Whether Stock Price Crash Risk Affects Bond Pricing?

本文考察了在同一发行主体下,股价崩盘风险对债券定价的溢出效应。研究结果表明,当公司股价崩盘风险上升时,公司债券的表现也不能做到独善其身。股价崩盘风险越高的企业,其发行的债券在二级市场上的信用利差越高,而且这一效应在民营企业债券和低信用评级债券样本中的溢出程度更大。进一步的检验还显示:在风险承担水平较高、内部控制质量较差、会计信息不确定性越高的公司中,股价崩盘风险对债券信用利差的正向影响更为显著。本文从微观主体的角度考察了上市公司股价崩盘风险的经济后果,拓展了债券信用利差的跨市场影响因素研究,有助于理解中国股票和债券市场之间的联动关系,对于降低公司债券违约风险、维护资本市场平稳发展具有一定的启示意义。

This paper investigates whether the stock price crash risk is priced in bond spread under the same issuer.We find that the stock price crash risk is positively associated with the bond spread,indicating that investors consider stock price crashes as an important risk factor when trading bonds.In the Chinese context,we further show that the positive impact of stock price crash risk on bond spread is weakened in state-owned enterprise bonds and high-rated bonds.Further tests also show that the positive impact is more significant among the companies with higher risk-taking level,poorer quality of internal control and higher uncertainty of accounting information.This paper examines the economic consequences of the stock price crash risk from the micro perspective,expands the researches on the cross-market factors of bond spread,helps to understand the linkage between China's stock and bond market,and has certain significance for reducing the default risk of corporate bonds and maintaining the stable development of capital market.