关键词: 风险预测, 退市风险警示, 其他风险警示, 债券违约, 债券发行

Abstract: The linkage between stocks and bonds represents a classic issue in asset pricing, while risk transmission constitutes a critical concern in corporate risk management. From the perspective of information content in risk signals, this study examines the “hard information” from bond defaults, the “soft information” from stock risk warnings, and the “implied risk information” from corporate bond issuance behaviors. By exploiting the public dissemination of firm risk signals and employing machine learning models on data from the Chinese securities market (2014–2022), we investigate the incremental predictive power of these three types of risk signals for subsequent risk events—namely bond defaults and stock risk warnings. Empirical findings demonstrate that all three indicators provide incremental predictive ability, with corporate bond issuance characteristics and bond defaults exhibiting more stable predictive power. The results contribute novel indicators that help mitigate information asymmetry in risk assessment, and lend support to the existence of bad news hoarding agency theory and financial market feedback effects.

Key words: risk prediction, delisting risk warning, other risk warning, corporate default, bond issuing