市场竞争降低评级质量了吗——基于新进入评级机构的实证研究

Does Market Competition Reduce the Rating Quality?—Empirical Study on the New Entrant to the Rating Industry

信用评级制度是实现债券市场长足发展、维护金融体系稳定的重要基础设施。基于鹏元资信进入企业债市场这一事件,本文利用2005—2011年企业债市场数据,研究了市场竞争对评级质量的影响。研究结果表明,市场竞争会导致评级虚高,并弱化信用评级降低信用利差的作用,即市场竞争降低了评级质量。基于利益动机与声誉动机的视角,本文研究发现,不同评级机构会对市场竞争做出异质性反应。进一步研究还发现,短期内投资者无法完全识别不同评级机构做出的异质性反应。本文的研究对于抑制评级市场竞争导致的负面效应,强化信用评级的风险揭示功能具有重要的启示意义。

The credit rating system is part of the most important infrastructure for the sound long-term development of the bond market,and for maintaining the stability of the financial system.In view of the entry of Pengyuan Credit Rating Co.,Ltd.into the enterprise bond market,this paper studies the impact of market competition on the rating quality by using the data of the enterprise bond market between 2005 and 2011.The results show that market competition could lead to rating inflation and hence,and weaken the role of credit rating in reducing credit spreads,that is,market competition might reduce rating quality.From the perspectives of interest motivation and reputation motivation,the paper finds that different rating agencies have heterogeneous reactions to the increased market competition,but investors could not fully identify these reactions in the short run.This research has important implications on how to overcome the negative effect of enhanced competition and strengthen the risk disclosure function of the credit rating.