尾部风险与债券收益:来自中国市场的证据Tail Risk and Bond Pricing: Evidence from China
吴谣,岳慧,高峰
摘要(Abstract)：
在经济下行和违约规模逐步增加的环境下,投资者对市场的尾部风险比较敏感。借鉴Fama and MacBeth(1973)的因子分析方法,我们在截面维度和时间序列维度验证了债券收益与尾部风险的关系,发现尾部风险每增加一个标准差,债券年化超额收益约增加4.15%。通过做多高尾部风险组债券和做空低尾部风险组债券得到的投资组合平均有月度0.58%的超额收益。实证结果验证了市场对尾部风险的定价机制——投资者面对资产分布的不确定时对损失更为厌恶和用尾部风险历史数据分析违约风险的概率。
关键词(KeyWords)： 尾部风险;债券超额收益;损失厌恶;违约风险;债券风险因子
基金项目(Foundation):
作者(Author): 吴谣,岳慧,高峰
DOI: 10.16513/j.cnki.cje.20200319.004
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- (1)其他方法见Amihud(2002)、Bao et al.(2011)等研究。
- (2)动量因子MOMi,t为Rei,t当月的数据,不再单独展示。
- (3)我们还验证了按照债券发行规模的加权,结果无本质变化。
- (4)我们还验证了按照债券发行规模的加权,结果无本质变化。
- (5)到期时间分了三组,我们在此展示最短和最长的两组。
- (6)如列M1的固定效应列中系数为0.107,DSR标准差为0.016,则一个标准差提升的收益率为0.107*0.016*12*100%=2.054%。
- (7)删除样本少于10的月份。
- (8)删除数据不足10个的月份。