Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and ...Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and corporate bond credit spreads. The main findings are as follows. First, in the Chinese market, ‘‘substantial warnings of significant risks' can significantly improve corporate bond credit spreads, reflecting the risk-warning effect;second,state-owned property rights weaken this effect, which only pertains to listed companies with poor risk management and low information quality;third, significant risk warnings increase investors’ heterogeneous beliefs, also affecting credit spreads;and fourth, through textual analysis, it is found that the corporate bond credit spread is greater when the disclosed risk factors are more pessimistic and less similar to those of the previous year. The findings of this paper help to enrich the literature on credit spreads and risk disclosure.展开更多
In this paper,the concepts of probability of default,loss given default and expected loss in the internal ratings-based approach are introduced into the measurement of local government debt risk.Based on issuing inter...In this paper,the concepts of probability of default,loss given default and expected loss in the internal ratings-based approach are introduced into the measurement of local government debt risk.Based on issuing interest rate and credit spreads of provincial government bonds,the default probability models of general debt and special debt are constructed and estimated,and the general and special debt risk of 333 prefectural governments in China from 2014 to 2017 are estimated respectively,and their regional distribution and changes are analyzed.The conclusions are as follows:Both general and special debt risk are different among regions.In terms of vertical changes in 2014-2017,debt risk has increased on the whole,but this increase has been driven more by the increase in the size of the debt,with no significant change in the probability of default,and the debt risk is concentrated in a small number of prefectural governments.The general debt risk accounts for about two-thirds of the total debt risk,the special debt risk accounts for about one-third,and this proportion structure is basically unchanged in 2014-2017.Based on the above conclusions,this paper puts forward corresponding policy recommendations for governance and control of local debt risk.展开更多
基金NSFC (71472188, 71672191)Humanities and Social Science Foundation (19YJC630040) for its support
文摘Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and corporate bond credit spreads. The main findings are as follows. First, in the Chinese market, ‘‘substantial warnings of significant risks' can significantly improve corporate bond credit spreads, reflecting the risk-warning effect;second,state-owned property rights weaken this effect, which only pertains to listed companies with poor risk management and low information quality;third, significant risk warnings increase investors’ heterogeneous beliefs, also affecting credit spreads;and fourth, through textual analysis, it is found that the corporate bond credit spread is greater when the disclosed risk factors are more pessimistic and less similar to those of the previous year. The findings of this paper help to enrich the literature on credit spreads and risk disclosure.
基金National Social Science Fund of China:“The Balance Coordination Mechanism of Local Government Debt Risk Prevention and Steady Growth under the Classified Limit Management”(17BJY169).
文摘In this paper,the concepts of probability of default,loss given default and expected loss in the internal ratings-based approach are introduced into the measurement of local government debt risk.Based on issuing interest rate and credit spreads of provincial government bonds,the default probability models of general debt and special debt are constructed and estimated,and the general and special debt risk of 333 prefectural governments in China from 2014 to 2017 are estimated respectively,and their regional distribution and changes are analyzed.The conclusions are as follows:Both general and special debt risk are different among regions.In terms of vertical changes in 2014-2017,debt risk has increased on the whole,but this increase has been driven more by the increase in the size of the debt,with no significant change in the probability of default,and the debt risk is concentrated in a small number of prefectural governments.The general debt risk accounts for about two-thirds of the total debt risk,the special debt risk accounts for about one-third,and this proportion structure is basically unchanged in 2014-2017.Based on the above conclusions,this paper puts forward corresponding policy recommendations for governance and control of local debt risk.
