监管约束与信用评级的债券融资成本效应——基于大公事件行业效应视角的研究  

Regulatory Shock and the Effect of Credit Ratings on Bond Financing Cost:Empirical Evidence from the Perspective of Dagong Event's Industry Effect

作　　者：谢玲敏 XIE Ling-min

机构地区：[1]深圳大学经济学院

出　　处：《中央财经大学学报》2024年第1期87-101,共15页Journal of Central University of Finance & Economics

基　　金：广东省哲学社会科学规划一般项目“股权结构、公司治理与上市公司环境行为”(项目编号:GD22CGL40);教育部人文社科基金一般项目“创业生态系统视角下流动人口对城市创业的影响机制研究”(项目编号:20YJC630167)。

摘　　要：基于大公国际资信评估有限公司被监管处罚事件,本文研究监管约束如何影响其他信用评级机构的市场公信力,即信用评级对投资者的价值相关性。实证研究发现:其他评级机构给出的信用评级对债券发行成本的降低作用在大公事件后明显加强,即信用评级的债券融资成本效应增强。机制分析表明,当发行人所获信用评级来自声誉较低的评级机构、所在地区法律环境较为薄弱、为国有企业以及所获信用评级为高评级时,声誉冲击事件对整个行业信用评级债券融资成本效应的增强作用更为显著。进一步研究发现,股票市场投资者对信用评级调整的市场反应在大公事件后变得更为强烈。本文研究结论丰富了信用评级市场声誉机制和监管效应的相关研究,为我国深化评级行业监管提供了参考依据。We explore how regulatory shock to credit rating agencies caused by a regulatory action against Dagong affects investorsperception of the quality of credit ratings issued by other rating agencies.We find that market participants increase their reliance on credit ratings as a whole,yielding a stronger negative relation between credit ratings and bond spreads after the event.The effect is stronger for issuers rated by credit rating agencies with low reputation,issuers in areas with weak legal environments,state-owned enterprise issuers,and issuers in top-level rating segment.We further find a stronger reaction of stock investors to credit rating changes after this reputational shock.Our findings enrich the studies on the important role of reputation and regulation in credit rating industry and have policy implications for regulators.

关 键 词：信用评级机构 声誉机制 融资成本效应 监管约束 

分 类 号：F832.5[经济管理—金融学]