股票市场投资者情绪的跨市场效应——对债券融资成本影响的研究
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财经研究 2013 年 第 39 卷第 02 期, 页码：48 - 58
摘要
参考文献
摘要
文章研究了股票市场投资者情绪对债券融资成本的影响。基于股票市场和债券市场的联动机制,股票市场过度乐观的投资者情绪或者传染到债券市场,或者理性投资者为规避泡沫风险而投资债券套利,两者都会提高债券的需求,从而降低债券的融资成本。实证结果表明,债券发行决策时股票市场投资者情绪越高,债券发行利率就越低;这一作用对信用等级高、经营业绩好、政府控股的企业以及含股权选择的债券影响更加显著,从而支持了理性套利假说;股票市场投资者情绪与企业债券融资倾向正相关,从而进一步支持了投资者情绪更高时债券融资成本更低的结论。
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[3]Anderson R C,Mansi S A,Reeb D M.Board characteristics,accounting report integrity,andthe cost of debt[J].Journal of Accounting and Markets.2004,37(3):315-342.
[4]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of FinancialMarkets.2004,7(3):271-299.
[5]Baker M,Stein J C,Wurgler J.When does the market matter?Stock prices and the in-vestment of equity-dependent firms[J].Quarterly Journal of Economics.2003,118(3):969-1005.
[6]Baker M,Wurgler J.Investor sentiment and the cross-section of stock returns[J].TheJournal of Finance.2006,61(4):1645-1680.
[7]Campbell J Y,Ammer J.What moves the stock and bond markets-A variance decom-position for long-term asset returns[J].The Journal of Finance.1993,48(1):3-37.
[8]Chordia T,Roll R,Subrahmanyam A.Market liquidity and trading activity[J].TheJournal of Finance.2001,56(2):501-530.
[9]Connolly R,Stivers C,Sun L.Stock market uncertainty and the stock-bond return re-lation[J].Journal of Financial and Quantitative Analysis.2005,40(1):161-194.
[10]De Long J B,Shleifer A,Summers L H,et al.Noise trader risk in financial-markets[J].Journal of Political Economy.1990,98(4):703-738.
[11]Fleming J,Kirby C,Ostdiek B.Information and volatility linkages in the stock,bond,andmoney markets[J].Journal of Financial Economics.1998,49(1):111-137.
[12]Graham J R,Harvey C R.The theory and practice of corporate finance:Evidencefrom the field[J].Journal of Financial Economics.2001,60(2-3):187-243.
[13]Krishnaswami S,Yaman D.Contracting costs and the window of opportunity forstraight debt issues[J].Journal of Banking and Finance.2007,31(3):869-888.
[14]Lamont O A,Stein J C.Investor sentiment and corporate finance:Micro and macro[J].American Economic Review.2006,96(2):147-151.
[15]Lamy R E,Thompson G R.Risk premia and the pricing of primary issue bonds[J].Journal of Banking and Finance.1988,12(4):585-601.
[16]Mansi S A,Maxwell W F,Wald J K.Creditor protection laws and the cost of debt[J].Journal of Law and Economics.2009,52(4):701-726.
[17]Polk C,Sapienza P.The stock market and corporate Investment:A Test of cateringtheory[J].Review of Financial Studies.2009,22(1):187-217.
[18]Richard C.G Investment incentives,debt,and warrants[J].Journal of Financial Eco-nomics,1984,13(1):115-136.
[19]Tang D Y,Yan H.Market conditions,default risk and credit spreads[J].Journal ofBanking and Finance.2010,34(4):724-734.
引用本文
徐浩萍, 杨国超. 股票市场投资者情绪的跨市场效应——对债券融资成本影响的研究[J]. 财经研究, 2013, 39(2): 48–58.
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