债券评级陈述与风险补偿:理论分析和实证证据  

Bond Rating Statements and Risk Compensation:Theoretical Analysis and Empirical Evidence

作　　者：周玮[1] 徐玉德 周琴 倪剑 ZHOU Wei;ZHOU Qin;NI Jian;XU Yude(Southwestern University of Finance and Economics,611130;Chinese Academy of Fiscal Sciences,100142)

机构地区：[1]西南财经大学金融学院,611130 [2]中国财政科学研究院,100142

出　　处：《财贸经济》2025年第1期46-62,共17页Finance & Trade Economics

基　　金：教育部人文社会科学规划项目“混合所有制董事任命及其驱动导向研究:治理、机制与后效拓展”(23YJA790109);国家社会科学基金项目“新时代国有经济布局优化和结构调整研究”(23STA017)。

摘　　要：受限于发行评级门槛,当前中国债券发行存在明显的评级通胀,无法充分反映发行人违约风险和偿债能力,故存在对我国评级市场有效性的争议。有鉴于此,本文提出债券评级“风险补偿陈述”这一理论假说,即评级公司运用更长的评级陈述释放风险信息,补偿评级等级信息含量的不足。投资人通过观察评级报告的内容承载,识别发债公司违约风险的私有信号,要求更高的债券利率。本文建立的理论分析模型表明,在控制评级等级后,信用评级报告的内容承载量与债券利率水平正相关。基于2008—2021年交易所信用评级报告样本,一系列实证检验均支持上述模型结论,且实证结果具有良好的稳健性。理论与实证两方面的证据说明,不能因为与欧美市场存在差异,就简单认为中国评级行业失效,而是要看到其具有中国特色的市场信息效率特征,特别是其中基于评级陈述的补偿性信息披露,应当被视作实现中国特色评级市场有效性的重要现实路径。政策制定者需要重视这一评级市场的微观机理,推进构建有效评级市场。The Chinese bond market exhibits clear rating inflation due to issuance rating thresholds that fail to adequately reflect issuers' default risk and debt repayment capacity.This issue has sparked ongoing debates about the effectiveness of the domestic rating market.To address the lack of meaningful information in third-party credit ratings,this paper examines the impact of the textual characteristics of credit rating reports on bond issuance yields.The study is of significant theoretical and practical importance for understanding the structural features and micro-mechanisms of credit risk disclosure in China's bond rating market.This paper develops a theoretical model that incorporates bond rating statements and proposes the “risk compensation statement” hypothesis.Specifically,it suggests that rating agencies issue longer rating statements to provide additional risk information,compensating for the limitations of the rating grade itself.Investors,by analyzing the content of these rating reports,can identify private signals of default risk and demand higher bond yields.The theoretical model demonstrates that,after controlling for the rating grade,the length of the rating report is positively correlated with bond yields.Empirical tests based on a sample of exchange-listed credit rating reports from 2008 to 2021 consistently support this hypothesis,with robust results.The policy implications of this study suggest that Chinese regulators should recognize these unique market features and enhance regulatory mechanisms for rating agencies,including appeal and exemption procedures.Such improvements would help prevent situations where investors,following defaults,place full responsibility onto issuers and intermediaries,thereby mitigating adverse selection in the market.The paper's contributions are twofold:First,it broadens the research perspective by constructing an analytical framework that examines how analysts use extended rating statements to compensate for the shortcomings of rating grades,offering scientific e

关 键 词：评级陈述 风险补偿 债券评级 

分 类 号：F832.5[经济管理—金融学]