Implicit government guarantees, media tone and bond pricing

IF 2.2 3区管理学 Q2 BUSINESS, FINANCE

Journal of Business Finance & Accounting Pub Date : 2023-12-11 DOI:10.1111/jbfa.12772

Yashu Dong, Yi Dong, Wenshuang Xuan

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引用次数: 0

Abstract

By exploiting the first public bond default event in China—the Chaori bond default in 2014—we examine how implicit government guarantees shape the role of media information in bond pricing. We find an insignificant association between preissuance media tones and bond issuances’ yield spreads before the event; however, the association becomes negative and significant after the event. The role of media tone in bond pricing is more pronounced for regions with greater information demand for default risk and for media outlets with stronger information provisions toward implicit government guarantees after the event. Mechanism analyses suggest increased bond investors’ risk awareness, rather than strengthened information provisions in media tones, as the force behind the more pronounced role of media tone in bond pricing. Finally, lower yield spreads driven by more positive media tone do not suggest bond overpricing. Our study reveals the role of media tone in bond pricing and displays the evolution of the media tone's role in bond pricing due to changing institutions.

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政府隐性担保、媒体基调和债券定价

通过利用中国首例公开债券违约事件--2014 年超日债违约事件，我们研究了政府隐性担保如何影响媒体信息在债券定价中的作用。我们发现，在事件发生之前，发行前的媒体声调与债券发行的收益率利差之间存在不显著的关联；然而，在事件发生之后，这种关联变得负向且显著。对于违约风险信息需求较大的地区，以及事件发生后对政府隐性担保的信息规定较强的媒体，媒体语调在债券定价中的作用更为明显。机制分析表明，债券投资者风险意识的增强，而不是媒体语调信息规定的加强，是媒体语调在债券定价中发挥更明显作用的背后力量。最后，更积极的媒体基调导致的较低收益率利差并不表明债券定价过高。我们的研究揭示了媒体基调在债券定价中的作用，并展示了媒体基调在债券定价中的作用因制度变化而发生的演变。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Business Finance & Accounting BUSINESS, FINANCE-

CiteScore

4.40

自引率

17.20%

发文量

期刊介绍： Journal of Business Finance and Accounting exists to publish high quality research papers in accounting, corporate finance, corporate governance and their interfaces. The interfaces are relevant in many areas such as financial reporting and communication, valuation, financial performance measurement and managerial reward and control structures. A feature of JBFA is that it recognises that informational problems are pervasive in financial markets and business organisations, and that accounting plays an important role in resolving such problems. JBFA welcomes both theoretical and empirical contributions. Nonetheless, theoretical papers should yield novel testable implications, and empirical papers should be theoretically well-motivated. The Editors view accounting and finance as being closely related to economics and, as a consequence, papers submitted will often have theoretical motivations that are grounded in economics. JBFA, however, also seeks papers that complement economics-based theorising with theoretical developments originating in other social science disciplines or traditions. While many papers in JBFA use econometric or related empirical methods, the Editors also welcome contributions that use other empirical research methods. Although the scope of JBFA is broad, it is not a suitable outlet for highly abstract mathematical papers, or empirical papers with inadequate theoretical motivation. Also, papers that study asset pricing, or the operations of financial markets, should have direct implications for one or more of preparers, regulators, users of financial statements, and corporate financial decision makers, or at least should have implications for the development of future research relevant to such users.