Intra-industry Corporate Bond Defaults and Analyst Earnings Forecast

Our initial sample comprises Chinese A-share listed firms on the Shanghai and Shenzhen stock exchanges from 2010 to 2020. Following Clement and Tse (2005) and accounting for institutional features of Chinese markets, we apply these exclusion criteria: (1) financial sector firms; (2) firms under Special Treatment designation due to abnormal financial conditions; (3) observations with missing variables; (4) firm-years covered by only one analyst; (5) firms experiencing bond defaults themselves; and (6) earnings forecasts issued within 30 calendar days preceding annual report disclosures. The final sample consists of 44,792 firm-year-quarter observations and 340,312 analyst earnings forecasts.
The bond default data are obtained from the Wind database. The earliest year for corporate bond default in China is 2014. At the end of 2020, 810 corporate bonds had defaulted in China, involving 213 companies across 57 industries, where the industry classification is based on the three-digit 2012 China Securities Regulatory Commission classification code. The analyst earnings forecast data and financial data are from the China Stock Market & Accounting Research database. All continuous variables are winsorized at the 1st and 99th percentiles to mitigate outlier influence.