摘要
我国债券市场信用评级制度的有效性备受质疑,突出问题在于评级机构可能调高债券评级。然而,评级机构调高评级既可能是评级机构和发行人共谋的结果,也可能是评级机构基于对发行人私有信息的有效解读而做出的理性选择。鉴于此,本文研究信用评级机构的评级调整是否影响债券信用利差,以评估我国债券信用评级制度的有效性。研究发现,信用评级机构调高(调低)评级能显著降低(抬高)债券信用利差,该发现在考虑了各种稳健性检验后依然成立;本文还利用“大公国际被罚”事件进行安慰剂检验,并利用新冠疫情这一突发事件构建私有信息的外生冲击。结果表明,评级机构调高评级更多是基于对发行人私有信息的有效解读而做出的理性选择,即我国债券信用评级总体上是有效的。但进一步研究还发现,评级分析师的专业能力、债券市场的“刚性兑付”环境以及评级机构的付费模式竞争会影响我国债券信用评级制度的有效性。
Credit rating,as a fundamental institutional arrangement,is essential to the bond market,but the quality of credit rating in Chinese bond market has been questioned by the media and academia,and one prominent problem is that credit ratings may be inflated.However,a high rating does not necessarily mean an invalid one.Credit rating is only a relative ranking of issuers’credit risk,not an absolute measurement.Besides,the fact that the government implicitly guarantees most bonds in China,or the bonds themselves are of high quality,may explain the overall high credit rating of bonds in China.Therefore,it is necessary to conduct a comprehensive assessment of the quality of China’s credit ratings to answer whether the credit rating system in China is valid.This paper is vital,especially in the context of big countries competing during the profound changes unseen in a century,to enhance the credibility and voice of local credit rating agencies and stabilize the“credit anchor”in economic activities.Existing literature mainly assesses validity of credit ratings by examining the impact of public information on credit ratings.However,in determining credit ratings,rating agencies do not only rely on public information but also obtain private information through field research or interviews and adjust the initial rating results accordingly.In fact,the fundamental purpose of using private information to adjust the rating results is to increase the information content of credit ratings and enhance the validity of the rating results,which is the key to the difficulty of replicating credit rating results by other market participants at a low cost.However,the processing of private information significantly entails the subjective judgment of rating analysts.In addition,the general adoption of the issuer-pay model makes the conflict of interest between rating agencies and issuers inevitable.So,rating agencies may intentionally distort private information to cater to issuers,thus undermining the rating quality.Therefore,it is crucial to determine whether the credit rating in China’s bond market is valid by identifying whether the rating agencies are making rational choices based on the effective interpretation of issuers’private information or distorting decisions to meet the needs of their clients.Following Agarwal&Hauswald(2010)and Chang et al.(2014),we define the residuals from the regression of credit ratings on public information variables as the adjustment of rating results made by agencies based on private information,and assess the validity of credit ratings in China by examining the impact of rating adjustments on bond credit spreads.We find that credit rating agencies’upward(or downward)rating adjustments significantly reduce(or increase)bond credit spreads using all corporate bonds,enterprise bonds,and medium-term notes issued from 2008 to 2020 as the sample.This conclusion holds after the placebo test using instrumental variable method and the penalty of Dagong Global Credit Rating as object,and the robustness test using the exogenous shock of private information constructed from the Covid-19 pandemic.Therefore,rating agencies’upward rating adjustments are more of a rational choice based on the effective interpretation of issuers’private information.However,further research also finds that the professional competence of rating analysts,the rigid payment environment in the bond market,and the competition of payment models among rating agencies also affect the validity of credit ratings in China.This paper may contribute to several strands of existing literature.First,this paper pushes back against the doubt about the validity of credit ratings in China and affirm the validity of China’s credit ratings as a whole,contributing to maintaining the overall market reputation of China’s credit rating agencies and establishing the role of credit ratings as“credit anchor”in economic activities.Second,this paper verifies the importance of private soft information in credit ratings as a fundamental institutional arrangement in the bond market,further expanding the research boundary of hard and soft information theory in financial markets.Third,this paper also confirms that the role of soft information in the judgment of corporate credit risk in the digital economy is not negligible.
作者
杨国超
刘琪
YANG Guochao;LIU Qi(New Institutional Accounting Research Center,Schooling of Accounting,Zhongnan University of Economics and Law;Innovation and Talent Base for Income Distribution and Public Finance,Zhongnan University of Economics and Law;School of Accounting,Nanjing Audit University)
出处
《经济研究》
CSSCI
北大核心
2022年第10期191-208,共18页
Economic Research Journal
基金
国家社科基金重点项目(22AGL013)
国家社科基金重大项目(22ZDA031)
国家自然科学基金青年项目(71702192)
高等学校学科创新引智基地(B20084,B21038)的支持
作者简介
杨国超,中南财经政法大学会计学院新制度会计学研究中心、收入分配与现代财政学科创新引智基地,邮政编码:430073,电子信箱:yang.guochao@outlook.com;通讯作者:刘琪,南京审计大学会计学院,邮政编码:211815,电子信箱:liuqiangel@foxmail.com。
