中国公司债券市场信用评级与债券违约的相关性研究  

Research on the Correlation Between Credit Rating and Bond Breach of Chinese Bond Market

作　　者：陈瑞 

机构地区：[1]蒙彼利埃大学,奥古斯特34090

出　　处：《上海管理科学》2017年第3期39-45,共7页Shanghai Management Science

摘　　要：以2005年至2015年所发行的412家公司债券为样本,采用Ordinal回归模型以及逻辑回归模型来检验哪些因素会影响债券评级。实证研究了我国债券评级能否起到降低信息不对称和揭示企业财务风险的作用,实证结果表明:(1)大股东类型与公司类型以及评级水平呈正相关,这表明如果大股东是国有控股,其级别要比非国有控股的公司等级高;(2)总资产对数与评级水平正相关,即公司规模越大,评级水平越高;(3)公司财务指标与评级水平无显著关系,即ROE、现金收入比、资产负债率、流动资产率、已获利息倍数、总资产周转率、长期负债率以及其他财务指标与评级水平并无显著关系。This research takes 412 corporate bonds which issued from 2005 to 2015 as samples, to use the Ordinal regression model and Logistic regression model to test the factors which affect the bond issuer rat-ing. The empirical results show that： （1） the first major shareholder is positively related to the corpora-tion type and the rating level, which indicates that the companys largest shareholder is state-owned enter-prises ,the level is higher than the non-state-owned holding company; （2）In（asset） is positively related to the rating level,namely the greater the size of the company the higher the rating level; （3） the company＇s financial indicators except the In （asset） are not significant related to the rating level, that is to say the ROE, cash sale, debt ratio, liquid ratio, interest earned ratio, total asset turnover ratio and long-term debt ratio and other financial indicators of the companies have no significant effect on the rating level.

关 键 词：债券评级 债券违约 财务指标 Ordinal回归模型 LOGISTIC回归模型 

分 类 号：F810.5[经济管理—财政学]