Research On The Two-way Impact Of Investor's Heterogeneity Beliefs And The Credit Spread Of China's Corporate Bonds

The scale of China's bond market has increased to the second largest in the world in 2019.While the bond market's booming,the credit risk of bonds cannot be ignored.An important indicator to measure credit risk of bonds is the credit spread,which reflects the credit premium of bonds relative to risk-free securities,which is affected by various macro and micro factors including heterogeneity beliefs from the investors,which represents the difference in expectations of different investors for the same bond.The mutual influence between credit spreads and heterogeneous beliefs lacks detailed and comprehensive analysis and discussion.This paper has conducted many empirical studies.First,this paper selects the monthly data of corporate bonds from 2017 to 2019 and establishes a Z-Spread(Zero-Volatility Spread)model to calculate the credit spread of all corporate bonds.As a result,we found that the credit spreads generally continue to decrease as the remaining years increase.The spreads of corporate bonds in information technology industries are significantly higher than those in other industries.The liquidity-adjusted excess turnover rate was established as a heterogeneous belief substitution variable to calculate the heterogeneous belief level of all corporate bonds.It is found that the heterogeneous belief of the bonds of the transportation industry is higher than that of other industries,and the heterogeneous beliefs of bonds which issued by the companies in the central and western regions are generally higher than those in the southeast coastal areas.Secondly,a multi-econometric regression model is established on the cross-sectional data of corporate bonds to research the effect of heterogeneous beliefs on credit spreads with credit spreads as the explanatory variables,heterogeneous beliefs as the explanatory variables,and the coupon,maturity,issuance,GDP and CPI growth rate as control variables for regression.The results show that heterogeneous beliefs are negatively correlated with corporate bonds.This effect is mainly due to the investment characteristics of bond debt servicing,short-selling constraints in China's bond market and near interest payment Extraordinary transactions on the day.Various control variables also have significant effects on bond spreads.Further introducing the product interaction term of bond characteristics and heterogeneous beliefs into the regression model,the results show that credit spreads have significant coupon interest rate sensitivity and residual term sensitivity to heterogeneous beliefs.In addition,through industry dummy variable regression,it is found that only the credit spread of the information technology industry is higher than other industries,and the spread does not have industry sensitivity to heterogeneous beliefs.Finally,a total discount model is constructed to calculate the average credit spread of newly issued bonds and the average heterogeneous beliefs of investors in the weighted market issuers to investigate the impact of the former on the latter.This paper uses the monthly time series of the two to establish VAR vector autoregressive models and impulse response analysis.The results show that the short-term increase in the credit spread of newly issued bonds will produce negative heterogeneous market fluctuations in the lagging first period,and return to normal after the lagging second period.