信用评级、机构异质性与债券利差

Credit Rating,Rating Agent Heterogeneity and Bond Spread

笔者选取2011年1月至2013年4月由大公等评级的384只无担保的固定利率非金融企业债,考察信用评级对债券利差的解释作用。实证研究发现,发行人的财务信息和信用评级都能显著地解释债券利差;在大公、联合和中诚信的样本中,在剔除了信用评级中的财务信息之后,信用评级对债券利差有显著的增量解释作用,而鹏元样本中的信用评级则没有这种作用。这反映了评级机构之间的异质性,即不能将各评级机构的相同信用评级看作是无差异的。本文的研究发现对债券市场投资者和监管层具有重要的启示作用。

The paper selects 384 unguaranteed fixed-rate non-financial corporate bonds issued from in January 2011 to April 2013 to examine the impact of credit rating on the bond spreads. Empirical studies find that the issuer＇s financial information and credit ratings could significantly explain bond spreads; in the sample of Dagong,Lianhe and Zhongchengxin,after peeling the financial information in the credit rating,the credit rating has significant incremental explanatory power on the bond spreads,while Pengyuan credit rating does not. This reflects the heterogeneity among rating agencies,which means one cannot regard the same rating rated by the different rating agency as the same. The findings of the paper have important implications for the bond market investors.