“投资人付费”评级影响“发行人付费”评级的得分和定价吗?  

Does Investor-Paid Rating Affect Issuer-Paid Rating Scores and Bond Pricing?

作　　者：程六兵[1,2] 张龑 CHENG Liubing;ZHANG Yan(Management College,Ocean University of China,Qingdao 266100,China;China Business Working Capital Management Research Center,Qingdao 266100,China)

机构地区：[1]中国海洋大学管理学院,山东青岛266100 [2]中国企业营运资金管理研究中心,山东青岛266100

出　　处：《中南财经政法大学学报》2022年第6期28-40,106,共14页Journal of Zhongnan University of Economics and Law

基　　金：国家自然科学基金青年项目“债务结构的影响因素、治理效应与债务违约风险”(71802184);青岛市社会科学规划项目“青岛市规模以上企业研发创新的现状评价与提升对策研究”(QDSKL1801001)。

摘　　要：本文利用2007—2019年A股上市公司数据,从直接和间接两方面,检验了中债资信的加入对“发行人付费”模式评级的得分和定价的影响。研究发现,直接效果上,中债资信的加入并未明显影响发行人付费机构给公司的评级得分,表明声誉机制在债券评级市场中并未发挥明显效果;间接效果上,中债资信评级显著影响了发行人付费模式评级的定价功能,起到了交叉认证的作用。在发行人付费模式评级一定的情况下,新增的中债资信评级对信用利差的影响取决于两类评级的差异:与被中债资信评级前相比,当中债资信评级与发行人付费模式评级相差小于等于2个等级时,信用利差明显降低;当评级差异大于等于3个等级时,信用利差明显增加。本文的研究结果对正确认识两类评级的作用具有重要意义,同时也为相关政策制定提供参考。Based on the sample of China′s A-share listed companies from 2007 to 2019,this paper examines the direct and indirect impact of China Bond Rating Corporation′s rating(hereafter CBR's rating)on issuer-paid rating scores and pricing.The results show that,CBR′s rating has no significant direct effect on issuer-paid rating,indicating that the reputation mechanism fails to play the role in the bond rating market.CBR′s rating has a significant indirect impact on the pricing function of the issuer-paid rating by playing the role of cross-authentication.The effect of CBR′s rating on the credit spread depends on the differences between the two ratings.Credit spreads decrease when the differences are less than or equal to two notches,and credit spreads increase when the differences are greater than or equal to three notches.The results help to understand the role of the two types of ratings and provide important policy implications.

关 键 词：债券评级 中债资信评级 投资人付费模式评级 发行人付费模式评级 信用利差 

分 类 号：F275[经济管理—企业管理]