付费主体差异对信用评级结果的影响机制研究

Research on Influence Mechanism of Credit Ratings between Different Payers

2010年我国首家投资人付费评级机构——中债资信成立,由于我国投资人付费评级机构成立时间不长,目前国内鲜有研究投资人付费与发行人付费评级差异及产生原因的文献,并且国外相关文献主要关注评级方式对某一类债券评级结果的影响,而没有探讨两种评级方式对不同类型债券的影响之间是否存在差别。本文针对投资人付费与发行人付费评级之间的差异,基于声誉效应、竞争机制对发行人付费评级机构迎合选择进行了博弈分析,并分别以信贷资产支持证券和企业债主体的评级数据为样本,对评级差异及其产生原因进行了实证检验。研究结果表明:投资人付费评级结果显著低于发行人付费评级结果;不同付费模式下评级结果的差异受到是否为首次评级和发行人付费评级机构市场份额的影响,发行人付费评级机构对发行人的迎合是产生评级差异的主要原因;两种付费评级方式在企业债主体中的评级差异显著高于在信贷资产支持证券中的评级差异,表明付费评级方式对企业债主体的影响更大。本文较为全面地研究了我国投资人付费与发行付费评级之间的差异,使投资人、监管机构对不同付费模式下的评级结果有更加清晰的认识。

In 2010,China’s first investor-pay rating agency, China Bond Rating was established. Since investor-pay rating agencies have been established for only a short time in China, currently there is little domestic literature studying the differences and causes of differences between investor-pay and issuer-pay credit rating. On top of that, the foreign relevant literature mainly focuses on how the investor-pay and issuer-pay impact the rating results, but doesn’t discuss whether there is a difference between the investor-pay’s and issuer-pay’s impact on different types of bonds. In this paper, differences between investors’ payment and issuers’ payment rating are studied. Based on reputation effect and competition mechanism, game theory is applied to analyze the issuer-pay rating agencies’ catering to issuers. Moreover, the rating data of credit asset-backed securities and corporate bonds are used as samples to empirically test the rating difference and its causes by descriptive statistics, univariate analysis and multiple regression analysis. The findings of the research show that the result of the investor-pay credit rating is significantly lower than issuer-pay credit rating. The differences of rating results under different payment models are influenced by whether it is the first rating and the market share of the issuers. The main reason of the difference is that the issuer-pay rating agencies’ catering to issuers. The difference between investor-pay and issuer-pay credit rating in corporate bonds data is significantly higher than the credit asset-backed securities data, indicating that different payment method has a greater impact on corporate bonds. The differences between investor-pay and issuer-pay credit rating in China are comprehensively studied, which will make investors and regulators have a clearer understanding of the credit rating between investor-pay and issuer-pay rating agencies, and provide important reference for the further improvement and development of China’s credit rating industry.