信用评级机构可以提供增量信息吗--基于短期融资券的实证检验  

Can Credit Rating Agencies Provide Incremental Information?——Empirical Tests Based on Short-term Financing Bonds

作　　者：沈红波[1] 廖冠民[2] 

机构地区：[1]复旦大学经济学院副教授,200433 [2]中央财经大学会计学院副教授,100081

出　　处：《财贸经济》2014年第8期62-70,共9页Finance & Trade Economics

基　　金：国家自然科学基金项目“劳动保护、人力资本专用性与公司价值:基于新《劳动合同法》的实证检验”(71272233);国家自然科学基金项目“政府干预与银行贷款监督的有效性研究”(71102016);上海高等学校创新能力提升计划竞争性引导项目的资助

摘　　要：短期融资券是我国企业最重要的债券融资方式,如何解决其定价过程中的信息不对称难题是一个值得深入研究的议题。本文主要考察我国信用评级机构是否可以在短期融资券的定价中提供增量信息。我们以2007—2012年发行的短期融资券数据为样本,按Agarwal和Hauswald(2012)提出的方法度量信用评级机构的专有信息,研究发现,当信用评级机构提供的关于发行企业信用风险的专有信息比较正面时,短期融资券的利率更低,并且当企业规模较小时,二者的相关性更为显著。本文结果表明信用评级机构可以提供增量信息,并且当投资者与企业之间的信息不对称程度越高时该信息越有用。Short-term financing bond is the most significant means of bond financing for Chinese enterprises. Under this circumstance, how to solve the information asymmetry when pricing is definitely worth exploring. This paper mainly makes research on whether Chinese credit rating agencies can offer incremental information in the process of pricing short-term financing bond. Based on the sample of the short-term financing bonds issued from 2007 to 2012 and according to the method provided by Agarwal and Hauswald（2012）, we measure the proprietary information of credit rating agencies. The study finds that interest rates of short-term financing bonds turn lower when credit rating agencies provide positive information regarding to the proprietary information about issuing enterprise credit risk. Furthermore, the correlation between the positive information and the interest rate of short-term financing bond becomes much more notable when the scale of the enterprise is small. The conclusion shows that credit rating agencies can provide incremental information, which becomes more useful when the extent of investor-enterprise asymmetry is high.

关 键 词：信用评级 专有信息 发行利率 短期融资券 

分 类 号：F832.51[经济管理—金融学]