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文章阐述了分割的债券市场中评级影响市场价格的新渠道,相对于以往的研究,该渠道建立在非制度约束下资产管理行为的基础上。文章选用2005年雷曼债券指数的重新定义公告作为一项准自然实验,该公告宣布自2015年7月1日起,投资级债券的信用评级认证机构由两家评级机构(标普与穆迪)扩充至三家(第三家为惠誉)。原法则下的债券评级选用标普与穆迪评级的最低值,而新法则下是三家评级机构评级的中位数。新法则的实施使一些原先被认定为垃圾级(高收益)的债券在三大评级机构各自的评级水平保持不变的情况下被“机械升级”为投资级债券,从而债券估值发生了变化,其平均异常到期收益率在事件后下降了21个基点。文章发现这种估值变化主要来源于资产类别敏感型机构投资者的债券购买行为,因为他们认为新法则下这些债券是有投资价值的。信誉、法规、指数化和流动性等方面的假设均不能解释这些债券的价格走势及其交易方式。
The article expounds the new channels of rating the market prices in the segmented bond market. Compared with the previous studies, this channel is based on the asset management behaviors under the non-institutional constraints. The article selects the redefinition announcement of Lehman Bond Index in 2005 as a quasi-natural experiment. Announcement As of July 1, 2015, the credit rating agencies of investment grade bonds have been approved by two rating agencies (S & P and Moody’s ) To three (the third is Fitch). Under the original law, the bond rating uses the lowest rating of S & P and Moody’s, and the new law is the median rating of the three rating agencies. The implementation of the new law allowed some bonds that were previously identified as junk (high yield) to be “mechanically upgraded” to investment grade bonds while the respective ratings of the three major rating agencies remained unchanged, so that the valuation of the bonds took place The change, its average abnormal yield to maturity after the incident decreased by 21 basis points. The article finds that such valuation changes mainly come from the bond purchases of asset-sensitive institutional investors because they think the bonds are investment worth under the new law. None of the assumptions about credit, regulation, indexation and liquidity explain the price movements of these bonds and how they are traded.