Implicit government guarantees, media tone and bond pricing
利用中国首例公募债券违约事件（2014年超日债违约），研究发现违约前媒体语气与债券利差无关，违约后负面相关显著，且该效应在信息需求高的地区和媒体中更强，机制是投资者风险意识提升而非媒体信息增强。
Abstract By exploiting the first public bond default event in China—the Chaori bond default in 2014—we examine how implicit government guarantees shape the role of media information in bond pricing. We find an insignificant association between preissuance media tones and bond issuances’ yield spreads before the event; however, the association becomes negative and significant after the event. The role of media tone in bond pricing is more pronounced for regions with greater information demand for default risk and for media outlets with stronger information provisions toward implicit government guarantees after the event. Mechanism analyses suggest increased bond investors’ risk awareness, rather than strengthened information provisions in media tones, as the force behind the more pronounced role of media tone in bond pricing. Finally, lower yield spreads driven by more positive media tone do not suggest bond overpricing. Our study reveals the role of media tone in bond pricing and displays the evolution of the media tone's role in bond pricing due to changing institutions.