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英文文献：Working Paper 331 - Mispricing of Sovereign Risk and Investor Herding in African Debt Markets-工作文件331 -主权风险的错误定价和非洲债务市场的投资者聚集
英文文献作者：Hanan Morsy,Eman Moustafa
英文文献摘要：
In light of the limited evidence on herd behavior in frontier debt markets, this paper examines whether African sovereign risk is mispriced due to international investor herding and the tendency to cluster as one asset class rather than being driven by macroeconomic fundamentals. Exploiting high-frequency financial datasets of 55 countries between 2004 to 2019, we estimate several regression specifications and apply the Blinder-Oaxaca decomposition approach to reflect the determinants of sovereign risk pricing in Africa compared to other world regions. The results confirm an asymmetric and herd behavior in African debt markets and demonstrate that African debt assets are treated as one category or class. Our results also indicate that the mispricing of Africa's sovereign risk is mainly due to discriminatory behavior by international investors rather than to differences in the quality of macroeconomic fundamentals between Africa and non-Africa regions.
鉴于前沿债务市场羊群行为的证据有限，本文研究了非洲主权风险是否由于国际投资者的羊群行为和作为一个资产类别聚集的趋势而被错误定价，而不是受到宏观经济基本面的驱动。利用2004年至2019年55个国家的高频金融数据集，我们估计了几种回归规范，并使用blin- oaxaca分解方法来反映与世界其他地区相比，非洲主权风险定价的决定因素。结果证实了非洲债务市场的不对称和羊群行为，并表明非洲债务资产被视为一个类别或类别。我们的研究结果还表明，非洲主权风险的错误定价主要是由于国际投资者的歧视行为，而不是非洲和非非洲地区之间宏观经济基本面质量的差异。
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