环境信息透明度与企业信用评级——基于债券评级市场的经验证据

Environmental Information Transparency and Corporate Credit Ratings:Evidence from Bond Ratings Markets

基于2008至2015年期间公司债券发行主体的信用评级数据和手工收集的上市公司环境信息数据,本文研究了环境信息透明度对企业信用评级的影响。研究结果显示,公司获得高信用评级的概率与其环境信息透明度显著正相关;环境信息传递出公司的特质风险、盈余持续性以及盈余质量等信息,从而影响评级决策。进一步研究发现,环境信息透明度与企业信用评级之间的正相关关系在内部控制质量高、具有高质量外部审计的公司中更显著。采用工具变量两阶段回归方法、公司固定效应模型以及倾向得分配对方法控制内生性后,上述结论依然成立。此外,本文发现环境信息透明度可通过影响企业信用评级降低公司的债券融资成本,环境信息透明度对企业信用评级和债券融资成本的影响在污染行业中显著更强。上述研究发现有助于拓展环境信息披露对市场中介行为影响的相关研究,对认识非财务信息在资本市场中的作用和推进节能减排提供了重要参考。

Previous studies pay much attention to the impacts of corporate environmental information on firm value, the cost of capital, and firm risk. Nevertheless, there is little evidence regarding whether corporate environmental information affects the decision-making process of market intermediaries. Moreover, in China, environmental governance has attracted increasing attention from practitioners, the government, and the public. And they wish to figure out the mechanism of the relationship between environmental information and firm value. In response, this study investigates whether environmental information disclosures convey value information to investors via the conduit of rating agencies. We have several reasons for predicting a positive association between environmental information transparency and corporate credit ratings. In general, transparent environmental information plays an important role in signaling superior environmental performance, which may be conducive to reducing litigation risks and avoiding regulations. Clearly, litigation risks and regulations are more likely to result in many uncertainties, such as fines, compensations, mandatory close, rectification, and administrative sanction, which may lead to a downward shift in the mean of expected cash flows and/or an increase in the variance of expected cash flows and thus may increase the risk that a firm cannot pay off debts. Moreover, according to the consistency theory, managers with environmental responsibility usually are honest and trustworthy and thus are less likely to conduct opportunistic behavior, which may increase agency costs. Accordingly, we predict that environmental information transparency is associated with an increase in the likelihood of upgrading corporate ratings. To test above prediction, we construct an index to measure corporate environmental information transparency and hand-collect data from annual reports, CSR standalone reports or/and other sources such as corporate websites. We obtain data about corporate credit ratings from the China Stock Market Accounting Research (CSMAR) database. Data about ownership, financial performance, corporate characteristics, capital structure, and stock returns are also collected from CSMAR database. In this study, all continuous variables are winsorized at the top and bottom 1% of their distributions. Using a sample of Chinese listed firms over the period of 2008-2015, we find that environmental information transparency is significantly associated with upgrading corporate credit ratings and environmental information affects rating decisions by conveying the information about idiosyncratic risk, earnings persistence, and earnings quality. Moreover, we find that the positive association between environmental information transparency and corporate credit ratings is more pronounced for firms with superior internal control (high-quality auditing) than for their counterparts. Above results are still valid with several robustness checks, including controlling for the endogeneity issue between environmental information transparency and corporate credit ratings by adopting two-stage instrumental variable regression method, firm-level fixed effects model, and propensity score matching method. In the additional tests, we show that environmental information transparency can reduce the cost of bond financing through the conduit of upgrading credit ratings and the effects of environmental information transparency on corporate credit ratings and the cost of bond financing are more pronounced for firms in polluting industries than for their counterparts. Our study contributes the existing literature in several ways. First, this study adds to the extant literature about the determinates of credit ratings and provides an important reference for understanding the roles of environmental information in bond markets and how nonfinancial information influences investors' decision-making. Second, our study adds a novel insight to prior literature about economic consequences of environmental information disclosure. Third, we extend previous studies about the impacts of corporate governance on credit ratings by revealing a reinforcement effect between internal control (high-quality auditing) and environmental information transparency. Fourth, the existing literature about bond pricing can benefit from our findings by addressing how environmental information affects the cost of bond financing through credit ratings. Finally, our findings contribute to previous studies by showing the asymmetry effects of environmental information transparency on credit ratings and bond pricing between polluting and non-polluting industries. This study has several implications. First, regulators should take actions to improve the laws and regulations about environmental information disclosure. Second, the government should consider the role of environmental information in capital markets to guide environmental conservation. Third, practitioners should take advantage of the reinforcement effect between environmental information disclosure and corporate governance to improve environmental governance. Finally, managers and investors should improve communications with market intermediaries. Certainly, there exist several limitations in this study. First, environmental information transparency index is built on voluntary information disclosure, which may lead to sample selection bias. Second, this study covers the sample period of 2008-2015, and thus scholars can extend the sample period to further examine the validity of our findings. Finally, our findings are valid for listed companies. Scholars may provide additional evidence to address whether above findings still hold for non-listed companies.