定性文本信息与信用评级:基于年报文本分析的研究

Qualitative Textual Information and Credit Rating:A Study Based on Risk Information in the Annual Report Text Content

本文从文本语气和文本信息复杂性两个维度选取了负面词语占比、不确定性词语占比、专业术语词语占比、复杂句占比四个年报文本风险信息指标,采用主成分分析构建了年报文本风险信息指数,以公司债为样本对评级机构能否解读复杂文本内容中的风险信息进行了研究。实证结果表明:(1)年报文本风险信息指数与公司债信用评级显著负相关,即评级机构对年报文本内容中的风险信息进行了有效解读;(2)年报文本风险信息与定量风险信息存在一定的替代关系,在发行人市场风险和财务风险较低时会具有更高的信息价值;(3)刚性兑付的打破以及债券无担保都会促使评级机构更为重视年报文本风险信息;(4)年报文本风险信息能反映公司当前的盈余质量和未来的经营业绩,具有一定的增量信息价值。

Credit rating is a basic mechanism for the capital market,but the series of default events in recent years have raised the challenge for the ratings agencies.Since the credit rating is based both on quantitative and qualitative information,whether the rating agencies can interpret risk information in the qualitative text or not is examined.A text mining on the content of annual reports,which are the most reliable text information disclosed by the corporations.A textual content risk information factor of annual reports is built on the basis of text tone and complexity,which includes the portion of negative words,uncertainty words,professional words and complex sentences.With an empirical study on the credit rating of corporate bonds and the textual content risk information factor,the main findings indicate:(1)the textual content risk information factor of the annual reports has a significantly negative relation with the credit rating of corporate bonds,which means the rating agency can interpret the risk information in the text content in an efficient way;(2)the risk information in the annual report will have greater value for corporate bonds with no guarantee,issuers with lower market and financial risk;(3)the breakup of the rigid payment has brought greater pressure for the rating agencies and encourage the rating agencies to upgrade the ability to interpret the risk information,which can evidence the effectiveness of the credit rating in China to some extent.What’s more,the textual content risk information fac⁃tor of the annual reports reflects the earnings quality and future operating performance,and has incremental information.