信用评级机构是否具有前瞻性信息挖掘能力  

Do Credit Rating Agencies Have the Ability of Forward-Looking Information Mining?

作　　者：张宗新[1] 周聪 Zhang Zongxin;Zhou Cong

机构地区：[1]复旦大学金融研究院 [2]复旦大学经济学院

出　　处：《财经科学》2022年第3期16-28,共13页Finance & Economics

基　　金：国家自然科学基金面上项目“基于机器学习算法优化的中国资本市场系统性风险监测、预警与管控研究”(72073035)。

摘　　要：近年来,超预期的违约事件引发了社会各界对信用评级机构专业能力的质疑,信用评级是否拥有前瞻性的企业信息成为备受关注的重要话题。通过区分不同类型的信息集,本文从债券市场信息环境视角出发,分析具体的评级行为和评级外部环境,评估评级机构的前瞻性企业信息挖掘能力。研究结论表明:(1)评级调整显著有利于改善债券市场的信息环境,评级机构具备前瞻性企业信息的挖掘能力,而与评级下调不同,评级上调并无显著影响,并随着评级调整强度的提高而信息挖掘能力提升。(2)评级机构的信息挖掘能力针对不同的评级行为存在异质性,对于信息披露不足的企业而言,私有信息的获取行为有助于挖掘信息,而对于公告信息披露充分的企业而言,公告信息的整合加工行为则难以挖掘到有效的信息。(3)评级外部环境会影响评级行为,剧烈的评级市场竞争会引起评级膨胀,而较低的声誉约束和监管强度在导致评级膨胀现象的同时,会减少评级机构对信息的挖掘。In recent years,the unexpected default event has aroused doubts about the professional competence of rating agencies from all walks of life,and whether credit rating has forward-looking enterprise information has become an important topic of concern.By distinguishing different types of information sets,from the perspective of bond market information environment,this paper analyzes the specific rating behavior and external rating environment,and evaluates the forward-looking enterprise information mining ability of rating agencies.The results show that:(1)the rating adjustment is significantly conducive to improving the information environment of the bond market,and the rating agencies generally show a certain forward-looking enterprise information mining ability.Unlike rating downgrade,rating upgrade has no significant impact,and the information mining ability increases with the increase of rating adjustment intensity.(2)The information mining ability of rating agencies is heterogeneous for different rating behaviors.For enterprises with insufficient information disclosure,the acquisition of private information is conducive to the mining of information,while for enterprises with sufficient information disclosure,the integrated processing of announcement information is difficult to mine effective information.(3)The external environmental factors of rating will affect the rating behavior.The fierce competition in the rating market will cause rating inflation.While the low reputation constraints and regulatory intensity will lead to rating inflation,it will reduce the information mining of rating agencies.

关 键 词：评级调整 前瞻性信息挖掘 市场竞争 债券违约 监管强度 

分 类 号：F830.9[经济管理—金融学]