多重信用评级与债券融资成本——来自中国债券市场的经验证据

本文揭示了多重信用评级的信息生产机制和信用认证机制,排除了“信用评级购买”假说对于多重评级动机的解释,研究发现:多重信用评级有利于降低债券融资成本;相对于不一致的多重信用评级,一致的多重信用评级更有利于降低债券融资成本。在多重信用评级中,相对于评级机构均为“发行人付费”模式,兼有“投资者付费”模式的信用评级更有利于降低债券融资成本。此外,当多重信用评级的评级意见不一致时,平均评级的信息含量最高,即综合不同信用评级所包含的多种信息比任何单一信用评级更加具有信息含量。本研究为我国债券市场双评级制度提供了理论和经验证据的支持,有助于完善多元化信用评级制度和债券市场监管制度,并提示发债企业可以通过多重信用评级向市场传递更多和更具效度的评级信息,以弥补单一信用评级的信息不足和评级结果失准,减少投资者决策的不确定性,从而降低债券融资成本。

Multiple Credit Rating and Bond Financing Cost:Evidence from Chinese Bond Market

Since China resumed treasury bond issuance in 1981,there has been a rapid growth in both the market size and the variety of bond types.At the November of 2020,the Chinese bond market had a capitalization of about 115.7 trillion RMB and has become the world second largest bond market.The bond market plays an increasingly important role in the reform and opening-up of the finance system.A sound and healthy bond market requires active investors,while the moral hazard problem of the issuers and the information asymmetry between issuers and investors stand in the way.Bond rating is an important mechanism in mitigating the information asymmetry between issuers and investors and protecting the rights of investors,and therefore plays an important role in investors'decision making.While most issuers in the Chinese bond market disclose rating from only one rating agency nowadays,some issuers choose to have multiple ratings(MR)from more than one rating agency,and publicly disclose these ratings in the statement of bond issuance.There are three explanations for the existence of MR,such as informational production,rating shopping,and certification.Kronlund(2019)suggests that compared to single rating,MR is less likely to be the results of rating shopping,and the evidence shows that rating shopping is more likely to exist when issuers disclose single rating.This paper tries to provide evidence for the other two explanations,informational production and certification,while excluding the rating shopping explanation.Using a sample of ratings from 2004 to 2018 in the Chinese bond market,this paper finds that MR is associated with lower financing cost,indicating that MR provides incremental information,and reduces the information asymmetry between investors and bond issuers,and this effect is more pronounced for issuers with consistent ratings or using investor-paid mode.In addition,when multiple ratings are inconsistent to each other,the average rating is more informative than the single rating.Further analyses show that the effect of MR in reducing financing cost is more pronounced for private issuers or those obtaining ratings from agencies with better reputation.We conduct several robustness checks for our results by using PSM method,two-stage Heckman model,alternative samples and variables,and we use the exogenous event of double rating system implemented by Chinese regulatory authorities in 2012 to test the causal relationship between multiple ratings and bond financing cost.All test results support our major conclusions.We make three distinctive contributions in this paper.First,the existing studies on China's bond market mainly focus on single credit rating.We contribute to this line of literature by examining the relationship between multiple credit ratings and bond financing cost,which allows us to explore the implications of credit rating from a quantitative perspective.Second,the available mechanisms of multiple ratings in the literature are inconsistent with the empirical evidence,and most of these studies focus on the United States or other developed economies.Our focal point is on Chinese bond market system,and we reveal how the investors in the emerging market interpret the multiple ratings and the key mechanism of multiple ratings.Moreover,we provide a better theoretical explanation for the phenomenon of multiple ratings.Third,we evaluate the effect of different payment modes under multiple ratings on the cost of bond financing,which enable us to provide verification results under multiple rating system on the controversial question that whether“issuer payment”mode is better than“investor payment”mode.Our findings have several implications for regulators,issuers and bond rating agencies.For regulatory institutions,our paper suggests that it is necessary to gradually implement the mandatory multiple rating system and promote the multiple rating model embedded in the investor-paid rating agencies.For bond issuers,our findings imply that the market can extract more accurate information through multiple credit ratings when confronting with different ratings from multiple rating agencies,which helps reduce their cost of bond financing.For credit rating agencies,we provide evidence that reputation is a valuable asset.