2120 
2239“唤醒效应”是指危机事件可能会产生一种外部刺激，“唤醒”投资者获取之前忽视的信息，并重新评估相似的风险因子，从而导致个别事件引发金融市场的风险传染。文章利用国企债券永煤违约事件，验证了我国信用债市场的风险会通过“唤醒效应”这一渠道进行传染，并考察了风险传染引发国企债券隐性担保预期下降的程度、表现形式和影响渠道。研究发现，此次违约事件“唤醒”并降低了
国企债券违约、隐性担保预期与唤醒效应——来自永煤违约事件的证据
摘要
参考文献
相关附件
思维导图
摘要
关键词
14 Ahnert T,Bertsch C. A wake-up call theory of contagion[J]. Review of Finance,2022,26(4):829−854. DOI:10.1093/rof/rfac025
15 Amihud Y. Illiquidity and stock returns:Cross-section and time-series effects[J]. Journal of Financial Markets,2002,5(1):31−56. DOI:10.1016/S1386-4181(01)00024-6
16 Bekaert G,Ehrmann M,Fratzscher M,et al. The global crisis and equity market contagion[J]. The Journal of Finance,2014,69(6):2597−2649. DOI:10.1111/jofi.12203
17 Billett M T,King T H D,Mauer D C. Bondholder wealth effects in mergers and acquisitions:New evidence from the 1980s and 1990s[J]. The Journal of Finance,2004,59(1):107−135. DOI:10.1111/j.1540-6261.2004.00628.x
18 Camerer C,Hua Ho T. Experience-weighted attraction learning in normal form games[J]. Econometrica,1999,67(4):827−874. DOI:10.1111/1468-0262.00054
19 Campbell J Y,Taksler G B. Equity volatility and corporate bond yields[J]. The Journal of Finance,2003,58(6):2321−2350. DOI:10.1046/j.1540-6261.2003.00607.x
20 Chernenko S,Hanson S G,Sunderam A. Who neglects risk? Investor experience and the credit boom[J]. Journal of Financial Economics,2016,122(2):248−269. DOI:10.1016/j.jfineco.2016.08.001
21 Collin-Dufresn P,Goldstein R S,Martin J S. The Determinants of credit spread changes[J]. The Journal of Finance,2001,56(6):2177−2207. DOI:10.1111/0022-1082.00402
22 Dasgupta A,Leon-Gonzalez R,Shortland A. Regionality revisited:An examination of the direction of spread of currency crises[J]. Journal of International Money and Finance,2011,30(5):831−848. DOI:10.1016/j.jimonfin.2011.05.004
23 Erev I,Roth A E. Predicting how people play games:Reinforcement learning in experimental games with unique,mixed strategy equilibria[J]. American Economic Review,1998,88(4):848−881.
24 Forbes K. The “Big C”:Identifying and mitigating contagion[R]. NBER Working Paper No.18465,2012.
25 Gennaioli N,Shleifer A,Vishny R. Neglected risks,financial innovation,and financial fragility[J]. Journal of Financial Economics,2012,104(3):452−468. DOI:10.1016/j.jfineco.2011.05.005
26 Gennaioli N,Shleifer A. What comes to mind[J]. The Quarterly Journal of Economics,2010,125(4):1399−1433. DOI:10.1162/qjec.2010.125.4.1399
27 Gilchrist S,Wei B,Yue V Z,et al. The Fed takes on corporate credit risk:An analysis of the efficacy of the SMCCF[R]. NBER Working Paper No.27809,2020.
28 Giordano R,Pericoli M,Tommasino P. Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis[J]. International Finance,2013,16(2):131−160. DOI:10.1111/j.1468-2362.2013.12033.x
29 Goldstein M. The Asian financial crisis:Causes,cures,and systemic implications[M]. Washington:Institute for International Economics,1998.
30 Jin S,Wang W,Zhang Z L. The real effects of implicit government guarantee:Evidence from Chinese state-owned enterprise defaults[J]. Management Science,2023,69(6):3650−3674. DOI:10.1287/mnsc.2022.4483
31 Karas A,Pyle W,Schoors K. Deposit insurance,banking crises,and market discipline:Evidence from a natural experiment on deposit flows and rates[J]. Journal of Money,Credit and Banking,2013,45(1):179−200. DOI:10.1111/j.1538-4616.2012.00566.x
32 Klein A,Zur E. The impact of hedge fund activism on the target firm’s existing bondholders[J]. The Review of Financial Studies,2011,24(5):1735−1771. DOI:10.1093/rfs/hhr016
33 Li H,Zhang X,Zhao Y. ESG and firm’s default risk[J]. Finance Research Letters,2022,47:102713. DOI:10.1016/j.frl.2022.102713
34 Maćkowiak B,Matějka F,Wiederholt M. Rational inattention:A review[J]. Journal of Economic Literature,2023,61(1):226−273. DOI:10.1257/jel.20211524
35 Malmendier U,Tate G,Yan J. Overconfidence and early-life experiences:The effect of managerial traits on corporate financial policies[J]. The Journal of Finance,2011,66(5):1687−1733. DOI:10.1111/j.1540-6261.2011.01685.x
36 Mo G Q,Gao Z,Zhou L. China's no-bailout reform:Impact on bond yields and rating standards[J]. Journal of Banking & Finance,2021,133:106282.
37 Sims C A. Implications of rational inattention[J]. Journal of Monetary Economics,2003,50(3):665−690. DOI:10.1016/S0304-3932(03)00029-1
38 Song Z,Storesletten K,Zilibotti F. Growing like China[J]. American Economic Review,2011,101(1):196−233. DOI:10.1257/aer.101.1.196
39 Tutino A. Rationally inattentive consumption choices[J]. Review of Economic Dynamics,2013,16(3):421−439. DOI:10.1016/j.red.2012.03.003
40 Walker T,Zhang X Y,Zhang A R,et al. Fact or fiction:Implicit government guarantees in China’s corporate bond market[J]. Journal of International Money and Finance,2021,116:102414. DOI:10.1016/j.jimonfin.2021.102414
41 Wang W L,Huang Y Q,Watson J,et al. The intra-regional spillover effects of bond defaults:Evidence from the Chinese corporate debt market[J]. Pacific-Basin Finance Journal,2023,77:101887. DOI:10.1016/j.pacfin.2022.101887
42 Wiederholt M. Rational inattention[A]. Vernengo M,Caldentey E P,Rosser B J Jr. The new Palgrave dictionary of economics[M]. London:Palgrave Macmillan,2010.
本论文包含如下附件：
| 序号 | 标题 | 大小 | 查看/下载 |
|---|---|---|---|
| 1 | 思维导图 | 192.3 (KB) |  |
引用本文
柳永明, 殷越. 国企债券违约、隐性担保预期与唤醒效应——来自永煤违约事件的证据[J]. 财经研究, 2024, 50(3): 122-137.
导出参考文献，格式为：
上一篇：国企混改与投资灵活性
