信用评级调整有信息含量吗?——基于中国资本市场的证据  

Do Credit Rating Adjustments Have Addition Information? Evidence based on China's Capital Market

作　　者：林晚发[1] 陈晓雨 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]上海证券交易所,上海200120

出　　处：《证券市场导报》2018年第7期29-37,共9页Securities Market Herald

基　　金：国家自然科学基金"信息评级的信息效应与功能效应:基于评级机构异质性视角"(项目批准号:71602148);教育部人文社科青年基金"卖空压力;信息传递与债券市场反应"(项目批准号:16YJC630065)的阶段性成果;武汉大学自主科研项目(人文社会科学)"债券信用评级的影响因素与经济效应"研究成果;"中央高校基本科研业务费专项资金"资助

摘　　要：随着2016年债务违约潮的出现,信用评级受到了广泛的质疑。在此背景下,本文以中国资本市场为研究对象,分析信用评级调整是否存在信息含量。研究发现,信用评级调整有着显著的市场反应。当信用评级上调时,债券累计超额信用利差将减小;当信用评级下调时,债券累计超额信用利差将增大,且信用评级上调的市场反应大于信用评级下调。通过进一步分析发现,上述结论在股票市场中也存在。另外,在2016年之前,投资者更关注信用评级上调,而在2016年之后,投资者更关注信用评级下调。最后,评级机构类型也会影响信用评级调整的市场反应。With the emergence of the debt default in 2016, the credit rating has been widely criticized. Focusing on the Chinese capital market, this paper analyzes whether there is valuable information in credit rating adjustment. The study finds that credit rating adjustment has significant market reactions. When the credit rating increases, the cumulative excess credit spread will decrease. When the credit rating downgrades, the cumulative excess credit spread will increase, and the market response to the credit rating upgrade is greater than the credit rating downgrade. Through further analysis, the above conclusions are also found in the stock market. In addition, investors are more concerned about the credit rating upgrade before 2016, and investors are more concerned about the downgrade after 2016. Finally, rating agency types also affect the market reaction of credit rating adiustments.

关 键 词：信用评级 信息效应 债券市场 评级机构 

分 类 号：F830[经济管理—金融学]