JOURNAL OF EMPIRICAL FINANCE，VOL47 ,JUNE 2018

前景理论与公司债券收益：实证研究

作者：Xiaoling Zhong (University of Science and Technology of China)

Junbo Wang (University of Hong Kong)

摘要：自20世纪80年代以来，前景理论一直被认为是最成功的决策描述理论。本文中我们考察了前景理论在美国公司债券市场的预测能力。实证表明，前景理论对企业债券收益具有显著的预测能力，特别是对于垃圾债券收益。与股票市场的发现不同，损失厌恶因素在预测公司债券收益方面起着重要的作用。概率加权组合也对垃圾债券起到预测作用，但对投资级债券不起作用。

关键词：前景理论，债券收益，损失厌恶，概率权重

Prospect Theory and Corporate Bond Returns: An Empirical Study

Xiaoling Zhong (University of Science and Technology of China), Junbo Wang (University of Hong Kong)

ABSTRACT

Since the 1980s, prospect theory has been considered as the most successful descriptive theory for decision making. In this paper, we examine the predictive power of prospect theory in the U.S. corporate bond market. The empirical evidence shows that prospect theory has significant predictive power for corporate bond returns, especially for junk bond returns. Unlike the findings for the stock market, the loss aversion component plays the most important role in predicting corporate bond returns. The probability weighting component also plays a predictive role for junk bonds, but not for investment-grade bonds.

Keywords: Prospect Theory, Bond Return, Loss Aversion, Probability Weighting

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300136#!

翻译：王秭越