中文摘要：

“11超日债”违约事件作为我国债券市场第一起实质性违约事件,动摇了投资者“刚性兑付”的信念,然而其是否系统证伪了“刚性兑付”的命题仍需检验。本文采用短时窗事件研究法,以交易所公司债为样本,检验其信用价差在事件前后的变化,对超日债事件对信用债定价机制的影响进行实证分析。实证结果显示（1）超日债事件引起交易所公司债信用价差显著增大,但是在经济意义上并不显著;（2）民营企业公司债信用价差增加值大于国营企业公司债信用价差增加值,（3）高收益公司债信用价差增加值大于低收益公司债信用价差增加值。研究结果说明“11超日债”事件仅形成了信用债定价在高低收益、不同发行人背景和市场间的分化,在信用债定价中“刚性兑付”信念仍广泛存在,尚未对市场形成根本性影响。

英文摘要：

Being the first bond default in China＇s bond market, the default of bond 112061 has shaken the belief of investors in its implicitly guaranteed repayment, but it needs to be tested whether this case breaks this mantra systematically. Based on the samples of corporate bonds, this paper uses short window event study methodology, tests the change of credit spreads pre and post, and examines the impact of this bond default on bonds pricing mechanism. The results show（1）that the bond default event results in the expansion of credit spread statistically significantly and economically insignificantly,（2）that the credit spread increment of private company bonds is higher than that of state-owned company bonds,（3）that the credit spread increment of high-yields company bonds credit spread is higher than that of low-yields company bonds, and（4） there is no significantly difference between the spread of the long maturity bond and that of the short maturity one. This default event leads to divergence of corporate bonds pricing between high and low yields bonds, state-owned and private-owned issuers, but it stops short of breaking the mantra of implicitly guaranteed repayment.