金融中介机构竞争的市场反应--来自信用评级机构的证据

目前已有研究认为金融中介机构竞争会带来市场效率的提高,本文利用2012-2017年债券市场的微观数据研究“发行人付费”模式评级机构之间的竞争对评级结果的影响。研究发现,评级机构竞争会导致评级结果膨胀与评级质量下降。进一步研究发现,当评级竞争加剧时,“发行人付费”模式的评级机构会对有较多业务联系的企业放松评级标准,给予更高信用评级。我们的研究也发现评级机构的外资背景、承销商的良好声誉和媒体关注均有助于减小“发行人付费”模式下评级机构竞争的负面影响。同时,债券市场评级竞争还存在对股票市场的溢出效应,评级竞争导致的评级质量下降也降低了股票市场的信息效率。这说明,“发行人付费”模式下的评级机构竞争会降低资本市场的信息效率,“投资者付费”模式的推广和评级行业的对外开放有助于改善国内评级行业的评级质量。本文的研究也为国内债券市场进一步发挥双评级、多评级以及不同模式评级的交叉验证作用提供了一定证据支持。

Market Response to Competition between Financial Intermediaries: Evidence from Credit Rating Agencies

The rate of defaults in China's bond market has rapidly increased. However, the ratings allocated to bonds by credit rating agencies (CRAs) have not keep pace with this increase and have thus failed to efficiently reflect changes in corporate default risk. Some CRAs have even awarded overly high ratings to deliberately mislead investors, which has intensified doubts about these CRAs' independence. Improving the independence, authenticity and international recognition of China's domestic CRAs has thus become an urgent problem for the country's bond market.
As of July 2021, 14 CRAs in China's bond market have obtained regulatory rating certification: four investor-paid CRAs and 10 issuer-paid CRAs. These CRAs are locked in fierce competition for ratings business. Since 2017, the People's Bank of China and the China Securities Regulatory Commission have promoted the gradual opening-up of the credit rating industry, allowing overseas CRAs to apply for domestic rating business. As this will further intensify competition in the domestic rating industry in the future, this is an important area of study.
In theory, the intensification of competition between financial intermediaries should improve their internal management efficiency and reputation, thus reducing moral hazard. This is supported by empirical studies on the banking industry that show competition reduces moral hazard and risk-taking behavior, and thus improves credit quality and efficiency. As CRAs are the most important intermediary in the bond market, it is worth exploring whether the intensification of competition between them will also have a positive impact on the reliability of the credit ratings they issue. On the one hand, from a reputational perspective, the intensification of competition between CRAs could increase their level of attention to their reputations and thus increase the quality of their internal control, thereby reducing the level of moral hazard behavior and in turn improving the quality of the ratings they issue. On the other hand, unlike in the banking industry, CRAs mainly accrue income from bond issuers under an “issuer pays” business model. Thus, CRAs are incentivized to cater to bond issuers and may therefore do so by upwardly adjusting their ratings of the issuers' bonds. Consequently, when competition between CRAs intensifies, ratings will increase, thereby reducing the quality of ratings and increasing the implied risk of the bond market.
To study the impact of inter-CRA competition on rating scores, we use corporate bond issuance data from the exchange bond market from 2012 to 2017, combined with an exogenous event: the intensification of CRA competition brought about by the establishment of a new CRA, Oriental Jincheng International Credit Assessment. Our empirical results lead to several conclusions. First, in a rating market dominated by the issuer-pays business model, increased competition leads to higher credit rating scores, and thus a declining impact of credit ratings on credit spreads and on the predictability of future enterprise defaults. This suggests that increased competition between CRAs leads to higher rating scores and lowers the quality of credit ratings. Second, the above-mentioned impact is greater on issuers that have a greater conflict of interest with CRAs than a lesser conflict of interest with CRAs. This shows that in a market where the reputational mechanism of CRAs is weak, CRAs operating under the issuer-pays model will relax their rating standards for issuers with whom they do more business, and thus give these enterprises higher rating scores than those with whom they do less business. Third, heterogeneity analysis shows that CRA competition does not lead to higher rating scores being issued by domestic CRAs who have foreign shareholders, highly reputable underwriters and more media attention; thus, these characteristics effectively reduce the negative impact of competition in the rating industry. Fourth, our results show that rating competition leads to a decline in stock market information efficiency, which is manifested as increases in stock mispricing, stock price synchronization and analyst forecast bias.
This study makes three contributions to the field. First, we use bond market data to study the consequences of CRA competition, which reveals that the intensification of competition between CRAs under the issuer-pays model leads to higher rating scores and a decline in rating quality. This finding—that competition between financial intermediaries can have a negative impact on their performance—enriches the literature on competition between financial intermediaries. Second, this study obtains solid evidence on the consequences of CRA competition, with this evidence being robust to endogeneity problems. Moreover, we discuss how to mitigate the negative impact of this competition. Third, we study the economic consequences of competition between CRAs on the stock market, and furnish evidence on the spillover effect of CRA competition on the financial market.