债券隐含违约率与股价下行风险——来自中国资本市场的证据

摘要/Abstract

摘要： 在股债并行的融资结构下,上市公司的债务兑付直接影响股价表现。本文以2002年1月至2018年12月期间发行信用债的A股上市公司为样本,系统研究了债券隐含违约率与股价下行风险间的关系。结果表明:债券隐含违约率对股价下行风险有显著的正向影响,隐含违约率越高股价下行风险越大。并且,宏观经济环境会强化隐含违约率对股价下行风险的影响,股债市场动态关联越强、经济政策不确定性越高,隐含违约率对股价下行风险的影响越大。在渠道机制检验上,本文发现隐含违约率对股价下行风险的作用主要通过影响外部投资者情绪实现,投资者情绪的平均作用比例达到了25.84%。本文揭示了信用债市场的违约风险会影响发行主体的股价表现,对多层次资本市场建设中的风险防范具有警示作用,也为股权市场投资者提供了一个有效预测股价下行风险的显性信号。

关键词: 隐含违约率, 股价下行风险, 投资者情绪, 风险防范

Abstract: Under the parallel financing structure of equity and debt, the debt payment of listed companies has a direct impact on the stock prices. Taking the A-share listed companies that issued credit bonds from January 2002 to December 2018 as samples, this paper systematically studies the impact of implied bond default risk on the downside risk of stock prices. The results show that implied bond default rate index has a significant positive impact on the downside risk of stock price, and the higher the implied default rate of bond is, the greater the downside risk of stock price is. Moreover, the external macroeconomic environment represented by the correlation of the stock and bond market, and the uncertainty of economic policy will further strengthen the positive impact of implied default rate on the downside risk of stock price. The stronger the dynamic correlation and the uncertainty of economic policy are, the greater the impact of implied default rate on the downside risk of stock price is. This paper also finds that the effect of implied default rate on the downside risk of stock price is realized by affecting investor sentiment. The average influence proportion of sentiment is up to 25.84%. This paper reveals that bond default will lead to cross-market risk diffusion, which plays a warning role in risk prevention in the construction of multilevel capital market. It also provides an explicit signal for equity market investors to predict the downside risk of stock price.

Key words: implied default rate, downside risk, investor sentiment, risk prevention

杨李华, 朱红兵, 许长新. 债券隐含违约率与股价下行风险——来自中国资本市场的证据[J]. 管理评论, 2022, 34(10): 52-66.

Yang Lihua, Zhu Hongbing, Xu Changxin. Implied Bond Default Rate and Stock Price Downside Risk——Evidence from China’s Capital Market[J]. Management Review, 2022, 34(10): 52-66.

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