信用评级与股价崩盘风险  

Credit Rating and Stock Price Crash Risk

作　　者：代冰彬[1] 尹雪妹 陈亚婷 史晓芬 Bingbin Dai;Xuemei Yin;Yating Chen;Xiaofen Shi

机构地区：[1]北京第二外国语学院商学院 [2]中国农业发展银行太康县支行 [3]中国农业发展银行长治县支行

出　　处：《会计论坛》2019年第2期63-85,共23页Accounting Forum

基　　金：国家自然科学基金项目(71202170)

摘　　要：本文以2008-2016年我国所有发行过债券的A股上市公司为研究对象,验证信用评级与股价崩盘风险之间的关系。结果表明:(1)信用评级能降低股价崩盘风险。信用评级等级越高,信用评级次数越多,越有利于降低股价崩盘风险。(2)盈余信息质量会影响信用评级对股价崩盘风险的作用效果。(3)市场化进程会影响信用评级对股价崩盘风险的作用途径。本文研究有助于丰富和拓展信用评级及股价崩盘风险领域的相关研究,同时为市场参与者提供相关的决策性依据。Using a sample of A-share listed firmsthat have issued bonds during the period of 2008-2016,this paper empirically investigates the relationship betw een credit rating and stock price crash risk. The results show that:( Ⅰ) Credit rating can reduce the stock price crash risk. With the higher and more credit rating, the stock price crash risk becomes low er.( Ⅱ) Earnings information quality can influence the effects of credit rating on stock price crash risk.( Ⅲ) The degree of marketization w ill affect the channel of credit ratings on the stock price crash risk. This study helps to enrich and expand relevant research in the areas of credit rating and stock price crash risk.

关 键 词：信用评级 股价崩盘风险 盈余信息质量 市场化进程 

分 类 号：F83[经济管理—金融学]