The Risk Awareness Of Investors And The Credit Spread Of Bond Issuance

In the past 20 years,China's bond market has developed rapidly,and the infrastructure construction of bond market has gradually improved.A hierarchical and orderly market system has initially formed,which has laid a solid foundation for the further development of China's financial market.But for a long time,China's bond market adopts the approval system,which restricts the number and efficiency of bond issuance and increases the cost of corporate bond issuance.In order to adapt to the development of the bond market,in recent years,China Securities Regulatory Commission(CSRC)has continuously simplified the issuance and examination procedures of corporate bonds.In January 2015,it issued the administrative measures for the issuance and trading of corporate bonds(hereinafter referred to as the administrative measures),cancelled the recommendation system and the issuance and examination committee system for the public issuance of corporate bonds,and established the embryonic form of the "registration system".The "Securities Law" implemented on March 1,2020 further clarifies the registration system for corporate bond issuance.The new "Securities Law" further relaxes the access conditions for bond issuance and further improves the efficiency of bond issuance.The "registration system" reform of the corporate bond market has reduced the level of implicit guarantee for bond issuance by the securities regulatory authorities.The "just exchange belief" of the bond market has gradually broken,and the bond default has shown a trend of normalization.Since the reform of the registration system of the bond market,bond rollover,lowering the coupon rate and failure to repay the principal and interest on time have occurred from time to time.Investors' awareness of default risk and bond pricing mechanism in China's bond market have also changed significantly.Based on the introduction of the management measures,this paper focuses on the theme of investors' risk awareness and corporate bond issuance pricing,uses the principal component analysis method to construct the measurement index of investors' risk awareness,explores the impact of investors' risk awareness on the credit spread of bond issuance,and from the perspective of individual bond default risk,credit risk contagion The three angles of macroeconomic impact indirectly prove whether investors' risk awareness has changed before and after the promulgation of the management measures.Through empirical tests,this paper finds that the promulgation of the administrative measures can significantly change the risk awareness and risk identification ability of investors,and systematically verifies that the enhancement of the risk awareness of investors can more accurately identify the default wind caused by the issuers themselves,the internal default risk contagion in the bond market and the macroeconomic impact Risk factors complement and perfect the pricing theory of corporate bonds in China.Among many key variables determining corporate bond default,investors pay more attention to the equity nature and credit rating of corporate bond issuers.These two key factors can significantly reduce the impact of market default risk contagion and macroeconomic shocks on the credit spread of corporate bond issuance.The results also show that Chinese corporate bond investors have a certain degree of "state-owned enterprise belief" and "rating belief" when issuing bonds.They think that state-owned enterprises and enterprises with high credit rating can better resist external shocks and enhance the negative impact of bond default probability.This paper has made some innovations in the research perspective,research objects and research methods.Firstly,based on the introduction of the Securities Law,this paper examines the impact of the change of investors' risk awareness on the credit spread of bond issuance after the introduction of the Securities Law from the perspective of individual characteristics of bond issuers,bond default risk contagion and macroeconomic impact,and provides empirical evidence for the market-oriented reform of corporate bonds.Secondly,based on the introduction of the Securities Law and drawing on the research findings and methods of the existing literature,this paper constructs a comprehensive analysis framework of investor risk awareness and the impact mechanism of bond spread credit spreads from the perspective of individual characteristics,bond default risk contagion and macroeconomic impact.This paper supplements the research on the pricing mechanism of corporate bond issuance from the perspective of investor risk awareness,and provides theoretical and empirical evidence for China to promote capital market reform,improve investor education and provide capital market efficiency.Thirdly,unlike the existing literature which mainly uses the data of online lending platform to identify default risk,this paper uses default distance calculated by KMV model to calculate default risk.It studies investors' risk awareness and risk identification ability,and opens up a new channel for judging the default risk of China's bond market.In addition,this paper also uses the depiction method of investor sentiment and innovatively adopts the principal component analysis to construct the index of measuring the risk consciousness of investors,which has carried out a beneficial attempt to further explore the risk consciousness of investors.Based on theoretical and empirical findings,this paper holds that after the implementation of the registration system in the corporate bond market,by redefining and dividing the rights and responsibilities of the securities regulatory authorities,market investors and other market participants,the market participants should bear the corresponding responsibilities,which can cultivate the investors' professional ability and risk awareness,so as to promote the healthy and orderly development of the securities market.In order to ensure the smooth operation of the market,as a securities regulatory department,on the one hand,it should pay more attention to investor education,on the other hand,it should strengthen the work of investor protection in the form of laws and regulations.