信用评级在中国债券市场的影响力

信用评级能够为市场提供风险信息从而增强市场对企业的约束,因此对资本市场的健康发展起着重要的作用。在中国,评级市场刚刚起步。本文利用2007至2009年间发行的企业债数据,用实证的方法研究本土信用评级在债券市场上的影响力。我们建立真实利息成本(TIC)回归模型,以信用评级和其他相关因素对债券的真实利息成本进行计量回归,分析信用评级在一级市场中对债券发行成本的影响。我们发现债券评级和主体评级分别对发行成本具有解释力,但债券评级对发行成本的影响力大于主体评级。

On the Impact of Credit Rating on Bond Market of China

Credit rating plays an important role in the capital market.It provides the market with risk related information, thus helps the market to discipline the corporations.In China,however,the credit rating industry is under-developed.This paper,using the data from 2007 to 2009,empirically studies the impact of domestic credit rating on bond pricing.The authors build aTrue Interest Cost(TIC)regression model,and study the influence of credit ratings on issue cost in the primary market.The authors finally find tha...