债券评级机构变更——基于评级选购与评级迎合视角

Switching Rating Agencies:Rating Shopping and Rating Catering

本文以2008年至2017年的公司债券为样本,研究了发行人变更评级机构的影响,以此来解释评级市场上发行人频繁变更评级机构的现象。本文发现发行人变更评级机构后,其信用等级得到显著提升。发行人变更评级机构的行为对信用等级的影响在以下两种情形中更显著:一是当发行人所处行业或评级机构所在的评级市场竞争激烈时;二是当发行人主体评级位于AA信用等级的临界点时。进一步研究发现,考虑到评级机构变更与信用等级之间的交互影响,变更评级机构的发行人整体上可实现发债成本的降低。但该类发行人未来的违约风险增加、经营业绩下降。最后,本文发现债券发行规模较大以及非国有发行人更倾向于变更评级机构来提高信用等级。本文通过分析发行人更换信用评级机构的动机和后果,为监管部门构建以评级质量为导向的良性竞争环境提供借鉴参考。

Summary:Credit ratings play an important role in information transmission and valuation in the bond market.In recent years,credit rating problems have cropped up frequently.One such problem is that some debt issuers frequently switch rating agencies and get higher credit ratings after switching.In view of this rating agency switching phenomenon,exploring the following questions is worthwhile.What is the motivation and purpose of switching rating agencies?What is the economic effect of switching rating agencies?This paper explores the effect of switching rating agencies on the credit ratings,default risk and issuance cost of corporate bonds in the exchange market from 2008 to 2017.We exclude financial institutions and corporate bonds rated by foreign rating agencies.We also exclude 1,501 bonds rated by two or more rating agencies.The final sample includes 1,657 issuers,4,017 corporate bonds and 17,217 observations.The results show that an issuer's subsequent rating is significantly better after a rating agency switch.Through a series of robustness tests,such as the construction of difference-in-differences models and the use of instrumental variables to alleviate endogeneity problems,the conclusions hold.This paper further explores the moderating influence of industry competition and the credit rating access boundary on the relationship between issuers'switching rating agencies and the credit ratings of corporate bonds.The results show that when issuers or rating agencies face fierce competition,the positive effect of switching rating agencies is stronger;that is,industry competition intensifies both the rating shopping behavior of bond issuers and the rating catering behavior of rating agencies.The results also show that the positive effect of switching rating agencies is stronger when the credit rating is at the AA rating boundary.Finally,this paper examines the consequences of issuers switching rating agencies and finds that it reduces the financing costs of corporate bonds,increases the default risk of corporate bonds and reduces the operating performance of the issuers.Studies typically focus on the three major rating agencies in the United States.However,China's rating market is quite different from that of the U.S.First,the U.S.has internationally influential rating agencies with strong international reputations,such as Standard&Poor's and Moody's.In contrast,the reputations of Chinese rating agencies are relatively low.Second,the U.S.rating market is monopolistic,whereas China's rating market is highly competitive.Third,U.S.investors pay a great deal of attention to the rating reports issued by rating agencies and use the ratings as an important basis for investment decisions.However,the market reputation mechanism is not established in China,so investors put less weight on ratings.Therefore,this study provides empirical evidence for understanding the rating market of China.This study contributes to the literature in several ways.First,most studies focus on the economic consequences of switching audit firms(Azizkhani et al.,2018),whereas this paper focuses on the motivation for and economic consequences of switching rating agencies.Second,this paper supplements the studies on rating shopping by issuers and rating catering by rating agencies.This paper provides a new research perspective by studying the behavior of bond issuers.The results show that rating shopping by bond issuers can significantly increase the credit ratings of corporate bonds,providing a reference for regulatory authorities to improve the regulatory system.