基于评级的投资行为和债券市场分割?

文章阐述了分割的债券市场中评级影响市场价格的新渠道，相对于以往的研究，该渠道建立在非制度约束下资产管理行为的基础上。文章选用2005年雷曼债券指数的重新定义公告作为一项准自然实验，该公告宣布自2015年7月1日起，投资级债券的信用评级认证机构由两家评级机构(标普与穆迪)扩充至三家(第三家为惠誉)。原法则下的债券评级选用标普与穆迪评级的最低值，而新法则下是三家评级机构评级的中位数。新法则的实施使一些原先被认定为垃圾级(高收益)的债券在三大评级机构各自的评级水平保持不变的情况下被“机械升级”为投资级债券，从而债券估值发生了变化，其平均异常到期收益率在事件后下降了21个基点。文章发现这种估值变化主要来源于资产类别敏感型机构投资者的债券购买行为，因为他们认为新法则下这些债券是有投资价值的。信誉、法规、指数化和流动性等方面的假设均不能解释这些债券的价格走势及其交易方式。

Rating-based Investment Practices and Bond Market Segmentation

This paper documents a new channel for rating-based bond market segmen-tation,which,in contrast to prior research,is based on nonregulatory investment manage-ment practices.A 2005 Lehman Brothers index redefinition provides a quasinatural experi-ment in which a number of previously high-yield split-rated bonds were mechanically rela-beled as investment grade.Although their regulatory standing was unaffected,these bonds had abnormal yield declines of 2 1 basis points.These valuation changes can be traced to buying by asset-class-sensitive institutional investors for whom these bonds became invest-able.Reputation,regulation,indexation,and liquidity cannot explain the observed price and trading patterns.