Research On The Impact Of Exchange Feedback On Corporate Bond Credit Spread

Since the Securities Regulatory Commission promulgated and implemented the "Administrative Measures on the Issuance and Transaction of Corporate Bonds" in early 2015,the corporate bond market has developed rapidly and corporate bond has become one of the mainstream credit bonds in the bond market since then.In recent years,especially in 2018 and 2019,the number and scale of corporate bond defaults have increased sharply,and the credit risk in the corporate bond market has intensified.More and more scholars have begun to study the credit risk of corporate bonds.Credit spreads are used as important indicators of credit risk and also become the mainstream research direction of scholars.At present,domestic and foreign scholars' research on bond credit spreads is mainly carried out through macro and micro aspects.Macro aspects include economic cycles,economic growth,inflation,risk-free interest rates,stock markets and monetary policies.Micro aspects include company characteristics,bond characteristics,information asymmetry,bond liquidity,investor sentiment,etc.In July 2015,the CSRC stated that it would further implement the "information disclosure as the core" regulatory concept,and publicize the public offering of corporate bond prospectuses and exchange feedback during the review process.This move gives this article the opportunity to study bond credit spreads from a regulatory perspective.This article studies the impact of exchange feedback on corporate bond credit spreads.The sample selected is publicly-issued corporate bonds that were successfully issued on the exchange from July 20,2015 to December 31,2019.This article believes that feedback has an early warning and revealing effect on the credit default risk of corporate bonds.The feedback is intended to be measured by two variables,the number of feedbacks and the number of feedback questions.Using multiple regression models,the overall and grouped regression empirical studies are obtained and the following conclusions were reached.Firstly,from the overall sample,feedback times and the number of feedback questions both have a significant positive effect on corporate bond credit spreads,that is,the exchange feedback has positive risk warning and revealing effects.Secondly,feedback times has a significant positive impact on AA + and AAA bonds,and the higher the bond rating,the more significant the effect;the number of feedback questions has a significant positive impact on AA,AA +,and AAA bonds.Also,the higher the rating,the more significant the effect.Therefore,on the whole,exchange feedback has a positive risk warning and disclosure effect in medium and high-rated bonds(AA + and AAA bonds),and the higher the bond rating,the more significant the exchange risk warning and disclosure effect.Thirdly,feedback times and the number of feedback questions have a significant positive effect on bonds issued by issuers of different property rights.Among them,the number of feedback questions has a more significant impact on the credit spread of nonstate-owned enterprises.That is,regardless of the nature of the issuer's property rights,the feedback has a positive risk warning and revealing effect.Finally,the number of feedback opinions and the number of feedback questions have a significant positive effect on the bonds issued by listed companies and non-listed companies,and have a more significant impact on the credit spreads of bonds issued by listed issuers.That is,regardless of the issuer 's listing attributes,the feedback has a positive risk warning and revealing effect.Overall,the number of feedback questions has a wider impact and better impact,indicating that investors pay more attention to the internal substantive content of feedback rather than external manifestations.The feedback mechanism at the regulatory level effectively interacts with market investors.For the first time,this article studies corporate credit spreads from a regulatory perspective.On the one hand,it broadens the research direction of bond credit spreads,on the other hand,it also provides empirical support for the regulators to further improve the regulatory system such as feedback.