违约债券回收事件对同行业债券发行定价的影响研究——兼论债券行业的信用修复路径

Impact of Bond Recovery Event on Bond Issue Spread in the Same Industry——Also Discussing the Path of Credit Repair in Bond Industry

为改善我国债券市场上违约债券的回收现状,有必要对回收事件的经济效应进行研究,探讨债券市场是否存在对回收行为的正向激励,从而为完善信用激励惩戒制度提供参考。基于信号理论,本文利用2015-2021年我国债券市场上的回收数据及发行数据研究回收事件对债券发行利差的影响。研究发现,公司债券发行前同行业的回收事件可显著降低债券的发行利差,即回收事件的信用修复效应显著。机制检验发现,回收事件通过影响信用评级及投资者情绪实现信用修复效应。异质性分析显示,回收事件的信用修复效应将被违约事件削弱甚至超越;存在隐性担保的企业、非周期性行业、轻资产行业中信用修复效应更突出。本文的研究证实了债券市场存在对回收行为的正向激励,有助于监管机构完善信用激励惩戒制度,也有助于发债企业择时进行债券发行以降低融资成本。

In order to improve the current situation of bonds recovery in China's bond market,it is necessary to study the economic effects of recovery and explore whether there is a positive incentive for recovery in the bond market,so as to provide a reference for the improvement of the credit incentive and punishment system.Based on signaling theory,this paper uses the recovery data and issue data of China's bond market from 2015 to 2021 to study the impact of recovery on bond issue spreads.The results are as follows.The recovery in the same industry before the issuance of corporate bonds can signifcantly reduce the bond issuance spread,and the credit repair effect of the recovery is signifcant.The mechanism test shows that recovery achieves credit repair effects by influencing credit ratings and investor sentiment.Heterogeneity analysis shows that the credit repair effect of recovery will be weakened or even exceeded by default;the credit repair effect is more prominent in enterprises with implicit guarantees,non cyclical industries,and asset light industries.This study confirms that there is a positive incentive for recovery in the bond market,which is helpful for regulators to improve the credit incentive and punishment system,and for bond issuers to timely issue bonds to reduce fnancing costs.