JOURNAL OF EMPIRICAL FINANCE, VOL46, MARCH 2018

公司债券市场的行为偏差

作者：Jason Wei（University of Toronto Scarborough）

摘要：本文通过零售机构交易与公司债券收益之间的横截面联系来研究公司债券市场的行为偏差。研究发现，相比于被散户投资者大量卖出的债券，被散户投资者大量买入的债券在接下来的一个月表现不佳，而机构投资者的情形则相反。相对于通常的市场因素而言，高低投资组合（基于对买卖交易差额的十分位排序形成）的α值对散户投资者而言意义重大，但对机构投资者而言则不明显。总体结果表明，公司债券市场的散户投资者遭受行为偏差，但机构投资者却没有。然而，当购买价格与卖出价格之间的价差被纳入回报时，就不存在有利可图的交易策略了，这与有限套利是一致的。

关键词：公司债券回报,零售交易，零售投资者，机构交易，机构投资者

Behavioral Biases in the Corporate Bond Market

Jason Wei（University of Toronto Scarborough）

ABSTRACT

This paper investigates the behavioral biases in the corporate bond market through the cross-section association between retail and institutional trades and corporate bond returns. The study finds that bonds heavily bought by retail investors in one month underperform in the next month relative to bonds heavily sold, and the opposite holds for institutional investors. The alpha of the high-low portfolio (formed based on decile sorting on the buy–sell trade imbalance) relative to the usual market factors is significant for retail investors, but insignificant for institutional investors. The overall results indicate that retail investors in the corporate bond market suffer from behavioral biases but institutional investors do not. However, when the spread between the purchase and sell prices is factored into the returns, no profitable trading strategies exist, consistent with limits to arbitrage.

Keywords: Corporate Bond Returns, Retail Trades, Retail Investors, Institutional Trades, Institutional Investors

原文链接：

https://www.sciencedirect.com/science/article/abs/pii/S0927539817301214#!

翻译：王秭越