东吴威尼斯欢乐娱人城v3676学术报告- 周雷
发布者：韩祥宗 发布时间：2019-06-17 浏览次数：231
时间：2019年6月17日（周一）下午14:00
地点：财经科学馆三楼EMBA教室
报告人：周雷博士
报告题目：Do Bond Investors Know Better than the Credit Rating Agencies?（债券投资者是否比信用评级机构知道的更多？）
报告摘要：This study examines the ability of corporate bond investors to detect and adjust for potentially biased credit ratings. It finds evidence that bond investors require higher yield spreads on bonds with upwardly biased ratings. In addition, the unusual yield spreads, or deviations from model-implied yield spreads, have predictive power for future rating changes and bond defaults within three years of initial issuance. Bonds with unusually high yield spreads are more (less) likely to be downgraded (upgraded). Further, three-year default rates for those bonds are three times those of bonds with unusually low yield spreads. These findings suggest that yield spread could be a better measure of credit risk than bond ratings.
本研究考察了公司债券投资者检测和调整可能存在偏差的信用评级的能力。它发现证据表明债券投资者要求对具有向上偏见的债券的债券收益率更高。此外，不寻常的收益率差价或与模型隐含的收益率差异的偏差，对于未来评级变动和初始发行后三年内的债券违约具有预测能力。具有异常高收益率差价的债券更多（不太）可能被降级（升级）。此外，这些债券的三年违约率是具有异常低收益率息差的债券的三倍。这些发现表明，与债券评级相比，收益率差异可能是衡量信用风险的更好指标
报告人简介：Lei Zhou is the Jones, Diedrich, Mennie Professor of Finance at Northern Illinois University. He graduated from Suzhou University in 1991 and earned his Ph.D. from the University of Florida in 2002. His research focuses on fixed income securities, credit ratings, and mutual funds. Given his expertise on credit ratings, he had worked at the US Securities and Exchange Commission as an Academic Visiting Scholar from 2017-2018. Dr. Zhou’s research has been published in premier finance journals, include Journal of Money, Credit and Banking, Journal of Banking and Finance, Financial Management, Journal of Corporate Finance, Financial Analyst Journal and Journal of Financial Research. Dr. Zhou also has research interest in Chinese bond market. In 2018, he published a paper on Chinese bond market and credit rating in the Journal of Banking and Finance. Prior to joining NIU in 2005, Dr. Zhou had taught at Miami University of Ohio from 2002-2005.
周雷博士是北伊利诺伊大学金融系的Jones, Diedrich, Mennie讲座教授。 他于1991年毕业于苏州大学并于2002年从佛罗里达大学获得博士学位。他的研究重点是固定收益证券，信用评级和共同基金。鉴于他在信用评级方面的专业知识，他曾在2017 - 2018年期间在美国证券交易委员会担任学术访问学者。周博士的研究成果发表在主流金融期刊上，例如Journal of Money, Credit and Banking, Journal of Banking and Finance, Financial Management, Journal of Corporate Finance, Financial Analyst Journal and Journal of Financial Research。周博士对中国债券市场也有研究。他于2018在Journal of Banking and Finance 期刊上发表了一篇关于中国债券市场和信用评级的论文。在2005年加入NIU之前，周博士于2002年至2005年在俄亥俄州迈阿密大学任教。
