信用评级对股价涨跌的影响  

The Impact of Credit Rating on Rise and Fall in Stock Price

作　　者：李明明[1] 刘海明[1] LI Ming-ming;LIU Hai-ming

机构地区：[1]山东财经大学金融学院,济南250014

出　　处：《金融论坛》2022年第3期53-62,共10页Finance Forum

基　　金：山东省社科规划项目“主权信用评级对中国企业投融资行为的影响研究”(19DJJJ05)的资助。

摘　　要：本文实证检验主体信用评级对股价涨跌的影响。结果发现:低的主体评级会提高个股的股价大幅下跌风险;信息不对称程度越高、代理成本越高,低评级影响股价大幅下跌风险的效应越强。从传导机制来看,较低的主体评级水平具有预测企业未来较差绩效的能力,并且伴随着股价信息含量增加,企业未来融资减少,这表明低评级会通过一般性信息渠道、差别信息渠道和融资渠道提高股价大幅下跌风险。评级上调不会影响股价大幅下跌风险,但降低评级则会提高股价大幅下跌风险。This paper empirically tests the influence of subject credit rating on rise and fall in stock price.The results show that a low subject rating will increase the big fall in stock price;the higher the degree of information asymmetry and the agency cost,the stronger the effect of low rating on big fall in stock price.From the perspective of transmission mechanism,a lower subject rating level has the ability to predict the future poor performance of the company,and with the increase in the information content of stock price,the company’s future financing will decrease,which indicates that the low rating will increase the big fall in stock price through the channels of general information,differential information and financing.A rating upgrade does not affect big fall in stock price,but a downgrade increases the risk.

关 键 词：信用评级 股价大幅下跌风险 信息不对称 企业融资 

分 类 号：F832.51[经济管理—金融学]