会计信息在公司债信用等级迁移中的预测作用研究

Accounting Information and Corporate Bond Credit Rating Migration

本文利用中国银行间债券市场和交易所市场中公司债的数据,基于因子分析法构建Logistic模型探讨会计信息在公司债信用等级动态迁移中的预测作用。研究表明本文所构建的模型无论是对建模用的训练样本还是模型之外的测试样本均有较高的预测精度,发债主体的财务状况与经营成果是公司债信用等级迁移的重要驱动力,特别是发债主体的盈利能力、营运能力和现金流量显著影响信用等级的变化。本文的实证结果证明会计信息在我国公司债市场中具有价值相关性。

This paper investigates the role of accounting information in predicting credit bond rating migration, using corporate bond data in China market. We construct a logistic model based on factor analysis so as to forecast the credit rating change. Accounting information displays significant explanatory power in both training sample and test sample, particularly profitability, operating efficiency and cash flow information. The results show that even in an emerging bond market like Chinas, accounting information shows value-relevance.