“投资人付费”vs.“发行人付费”:谁的信用评级质量更高？

本文选择2011-2015年被中债资信覆盖的发债A股上市公司作为主要研究对象,比较了“投资人付费”与“发行人付费”模式下的评级质量高低。研究发现:(1)与“发行人付费”评级相比,采用“投资人付费”模式的中债资信所作评级显著更低。(2)与“发行人付费”评级相比,当采用“投资人付费”模式的中债资信所作评级越低时,发行人未来盈利能力越差、预期违约风险越高,投资者要求的风险补偿也越高,这表明“投资人付费”模式下的信用评级质量更高。(3)“发行人付费”模式的评级结果可以在一定程度上反映公司的内部私有信息,但由于同时存在独立性缺失问题,“发行人付费”模式的信用评级质量仍然不如“投资人付费”模式的信用评级质量,这说明独立性对于评级机构尤其重要。

“Investor-Paid” versus “Issuer-Paid” Credit Ratings: Which One Conveys Better Quality？

Bond rating agencies play a critical role as intermediaries in bond markets by providing information to investors about the default risk of bond issues. A frequent concern regarding the rating process is that the bond issuer generally pays the rating agency, which could compromise the information content of the rating due to a lack of independence. The three major credit rating agencies—Standard & Poor's (S&P), Moody's Investor Service (Moody's), and Fitch—have been heavily criticized since 2002, when they failed to foresee the bankruptcies of Enron and WorldCom. During the recent financial crisis, the major rating agencies were again criticized for not providing accurate ratings for subprime mortgage-backed securities. Critics argue that the issuer-pay revenue model drives the failure of rating agencies, and they blame it for creating potential conflicts of interest and ratings inflation (Livingston et al., 2018; Becker and Milbourn, 2011; Bolton et al., 2012.)
A well-established credit rating industry is crucial for a healthy and vigorous bond market. Along with the development of the bond market, the Chinese credit rating industry has experienced significant growth. Major credit rating agencies in China adopted the issuer-paid model from the beginning. Issuer-paid agencies tend to cater to issuers' interests and understate credit risk, which could lead to less informative ratings. Credit rating agencies in China have faced growing criticism and regulatory pressure for their inability to adequately predict firm defaults. It is widely acknowledged that the ratings provided by major rating agencies lack timeliness and are unresponsive to market-based risk measures.
Consequently, investor-paid rating agencies have generated growing attention due to the market's criticism of issuer-paid raters. On September 29, 2010, China's first investor-paid agency, the China Bond Rating Corporation (hereafter CBR), was established in Beijing. CBR is funded by the National Association of Financial Market Institutional Investors (NAFMII). The establishment of the CBR provides us with an ideal setting to examine how various institutional arrangements affect credit ratings, and in particular how pay models affect agencies' performance.
There are two opposing perspectives on whether investor-paid will lead to more informative ratings than issuer-paid. From one perspective, the issuer-paid model leads to an independence problem. Issuer-paid creates incentives for rating agencies to become more aligned with their clients, which could lead them to only communicate information that benefits their clients, resulting in less informative ratings under issuer-paid than investor-paid. From the other perspective, the issuer-paid model allows for economic bonding between rating agencies and issuers through explicit contractual arrangements, which should improve the flow of nonpublic information. These rating agencies would gain greater access to private information and better resources. From this perspective, issuer-paid should promote the sharing of value-relevant information with rating agencies.
In this paper, we utilize a set of publicly listed firms in China from 2011 to 2015 to compare the quality of credit ratings issued by an investor-paid agency (CBR) and issuer-paid agencies. We find that CBR gives more negative ratings than issuer-paid rating agencies, and the negative ratings given by CBR are associated with worse future profitability, higher default risk, and higher risk compensation requirements by investors compared to ratings from issuer-paid rating agencies. This indicates that the investor-paid agency's ratings have better quality. Even though issuer-paid credit ratings can benefit from private information, the better quality of the investor-paid ratings suggests the importance of credit rating agencies' independence.
The findings of this paper have important theoretical and practical implications. First, our paper contributes to a growing body of literature concerning rating agencies' rating quality. Second, our major findings suggest that the quality of ratings given by CBR, which has adopted the investor-paid model, is higher than that of issuer-paid rating agencies' ratings. This provides empirical evidence for the rationality and necessity of the establishment of CBR, the first investor-paid rating agency in China. However, we also find that CBR has little access to the private information of issuers. Measures should be taken to ensure that CBR has greater access to nonpublic information for its rating process. Lastly, this paper will provide information for regulators who wish to improve the behavior of rating agencies.