债券评级分析师任期、债项评级和信用利差

基于2008-2019年长期信用债数据,本文实证研究发现:评级分析师任期越长,信用评级越低;较长的分析师任期能够影响评级准确性,降低"未能预测违约"的第Ⅰ类错误,增加"错误违约预警"的第Ⅱ类错误;相比于短分析师任期,长分析师任期能够增强信用评级对信用利差的降低作用.本文还发现,相比于未被投资者付费评级机构评级的债券,投...     

Financial Reporting and Credit Ratings: On the Effects of Competition in the Rating Industry and Rating Agencies' Gatekeeper Role

This paper studies firms' financial reporting incentives in the presence of strategic credit rating agencies and how these incentives are affected by the level of competition in the rating industry and by rating agencies' role as gatekeepers to debt markets. We develop a model featuring an entrepreneur who seeks project financing from a perfectly competitive debt market. After publicly disclosing a financial report, the entrepreneur can purchase credit ratings from rating agencies that strategically choose their rating fees and rating inflation. We derive the following core results: (1) More rating industry competition leads to stronger corporate misreporting incentives if ratings are sufficiently precise or if rating agencies assume a gatekeeper role. Under imperfect rating industry competition, (2) agencies' gatekeeper role primarily weakens firms' misreporting incentives, which then influences rating agencies' strategies, and (3) firms' misreporting and rating agencies' rating inflation can be strategic complements when agencies assume a gatekeeper role. (4) Regulatory initiatives aimed at increasing rating industry competition or at weakening rating agencies' gatekeeper role improve investment efficiency as long as corporate misreporting incentives are not significantly strengthened.     

Unsolicited Versus Solicited: Credit Ratings and Bond Yields

This paper is the first attempt to analyze Standard & Poor’s unsolicited and solicited ratings by using bond-yield data in Japan. Our findings show that there are differences in firm characteristics between firms seeking solicited ratings and those that receive unsolicited ratings. Firms with solicited ratings have less information asymmetry and are more likely to be owned by foreign investors, generate more revenue from exports, be cross-listed in the US, and have higher firm quality. But, firms with unsolicited ratings pay higher costs for debt, and their bond prices react more strongly to credit-rating changes. Yield spreads for new bonds with unsolicited ratings are higher than those with solicited ratings, because unsolicited ratings have higher information asymmetry, and investors therefore demand higher yields. We find that bond-price reactions to the announcements of unsolicited rating downgrades (upgrades) are negative (positive) and significant, while bond prices do not react significantly to solicited rating downgrades or upgrades.     

Dual Bond Ratings: A Test of the Certification Function of Rating Agencies

Bond researchers have recently observed that issues with split ratings have yields more closely resembling the yields on bonds with the lower of the two ratings. This evidence could lead researchers to question why an issuer ever obtains more than one rating in an environment where two ratings, when split, can never reduce yields, whereas two ratings, when split, can increase yields. This paper explores the rating function in a certification framework and concludes that investors value a second rating. Bond issues with two identical ratings have yields significantly less than issues receiving that rating from only one rating agency.     

The Effect of Bond Rating Changes and New Ratings on UK Stock Returns

This is the first study to use daily data from a major capital market outside of the US to examine the role of corporate bond and commercial paper rating changes on common stock returns. Using data published by Standard and Poors' credit rating agency between 1984 and 1992, we examine the impact of new credit ratings, credit rating changes and Credit Watch announcements on UK common stock returns. We find significant negative excess returns around the date of a downgrade and positive returns close to the date of a positive CreditWatch announcement. Hence, the financial markets would appear to place some importance on rating agency pronouncements in the UK. New ratings, whether short or long-term, have no significant impact on returns. We also attempt to quantify the impact of a new credit rating upon firm cost of capital through measures of conditional volatility and systematic risk. However, we find only weak evidence to suggest that a stock's cost of capital is reduced after a long-term credit rating is awarded for the first time.     

国际信用评级监管改革对我国信用评级行业的启示

信用评级机构虚高评级以及频繁下调主权评级等行为造成并加剧了金融市场动荡,各国政府以及实务界要求加强信用评级监管。美国明确了SEC对信用评级的监管责任,要求促进信用评级业的竞争,并认为评级机构应当适用于与审计师类似的法律责任和公共监管。欧盟对信用评级的监管也由遵守或解释模式转向行政监督。我国需要优化配置政府监管与评级机构对金融市场风险的监管权力界限,发挥各自监管优势,利用信用评级降低信用违约发生的概率,防止金融网络传播或放大信用风险;避免法规对信用评级的援引,激励大型金融机构发挥其在风险管理中的判断能力;加强对结构性金融产品基础资产信用风险和具体契约特征相关风险评级监管;探索利用双评级、投资者付费等模式以及评级机构声誉机制等提高信用评级的准确性,促进我国信用评级业的发展。     

透视CDO:类型、构造、评级与市场

担保债务权证(CDO)在美国次级债危机中扮演了至关重要的角色。本文试图对CDO产品和全球CDO市场作较为全面深入的介绍和评述。文章首先归纳了CDO的特征和类型,其次重点分析了两类最重要的CDO产品——现金型CDO和合成型CDO的构造,然后简单介绍了主要评级机构对CDO进行信用评级的方法。此外,文章回顾了全球CDO市场的发展现状,并归纳了CDO产生的历史意义,以及给金融市场带来的潜在风险。     

Split Ratings and Differences in Corporate Credit Rating Policy between Moody's and Standard & Poor's

This paper investigates split credit ratings awarded by Moody's and Standard & Poor's (S&P) to U.S. corporations. Bivariate probit model estimates, analyzing 5,238 firm‐year observations from dual‐rated S&P 500/400/600 index‐constituent corporations, indicate firm‐specific financial and governance characteristics predict split ratings. Large, profitable companies with enhanced interest coverage, a greater percentage of independent directors, and more institutional investment are less likely to receive splits. Moody's appears more conservative in its evaluations, assigning lower ratings to smaller, less profitable companies with low interest coverage. Moody's also associates external, independent constraints on managerial autonomy with a higher corporate credit standing relative to S&P.     

国外信用评级制度发展经验及对我国的启示

本文是从国外信用评级机构的发展历程来探讨如何借鉴国际经验,使我国的信用评级机构能够更加健康发展,更好地为资本市场服务。     

The Changing Relationship Between CAMEL Ratings and Bank Soundness during the Indonesian Banking Crisis

During the recent Southeast Asian financial crisis, numerous banks failed quickly and unexpectedly. This study uses a unique data set provided by Bank Indonesia to examine the changing financial soundness of Indonesian banks during this crisis. Bank Indonesia's non-public CAMEL ratings data allow the use of a continuous bank soundness measure rather than ordinal measures. In addition, panel data regression procedures that allow for the identification of the appropriate statistical model are used.We argue the nature of the risks facing the Indonesian banking community calls for the addition of a systemic risk component to the Indonesian ranking system. The empirical results show that during Indonesia's stable economic periods, four of the five traditional CAMEL components provide insights into the financial soundness of Indonesian banks. However, during Indonesia's crisis period, the relationships between financial characteristics and CAMEL ratings deteriorate and only one of the traditional CAMEL components—earnings—objectively discriminates among the ratings. The panel data results indicate systemic economy-wide forces must be explicitly considered by the rating system.     

日韩信用评级行业发展及对我国的借鉴

比较日韩评级行业在债券市场发展程度、行业监管、市场对外部信用评级结果需求以及双评级模式实施等特点,提出我国评级行业适当开放国内评级市场、降低评级结果在监管法规中的依赖作用、拓展评级结果应用领域等五个方面的建议. 力图寻求发展我国评级行业的新途径,推动评级行业进一步健康发展.     

银行个体的信用评级及银行债务评级（上）

国际信用评级制度已有一百多年的历史，评级是关于评级对象未来违约概率的估价，随着市场经济的发展和经济运行不确定性的增强，信用评级在社会经济金融活动中发挥着越来越重要的作用。从经济学角度讲， 信用评级的作用主要表现为：一是解决投资与筹资（债务人）之间的信息不对称，减弱投资风险；二是向投资提供筹资（债务人）或某一机构的违约概率，评价其履行金融义务的能力；三是拓宽债务发行（筹资）的融资渠道，帮助其降低筹资费用。由于信用评级机构的评级活动和行为模式不受股东的影响、评估对象的压力和政府的干预，具有较高的独立性、而且依靠专业技术和内部管理来保证其资信评估的客观性，所以信用评级尤其是权威评级机构的评级结构具有较高的可信度，从而，信用评级的服务范围和服务领域不断扩展。     

Disclosing Physician Ratings: Performance Effects and the Difficulty of Altering Ratings Consensus

I examine effects of a health care system's policy to publicly disclose patient ratings of its physicians. I find evidence that this policy leads to performance improvement by the disclosed, subjective ratings and also by undisclosed, objective measures of quality. These effects are consistent with multitasking theory, in that physicians respond to the disclosure by providing more of a shared input—time with patients—that benefits performance by ratings and underlying quality. I also find, as predicted by information cascade theory, that the ratings become jammed to some degree near initially disclosed values. Specifically, raters observe the pattern of initial ratings and follow suit by providing similar ratings. Finally, I find evidence that physicians anticipate rating jamming and so concentrate their effort on earlier performance in order to set a pattern of high ratings that later ratings follow. These results demonstrate that the disclosure of subjective ratings can benefit performance broadly but can also shift effort toward earlier performance.     

主权信用评级监管困境与信用评级机构的权力制度化——兼论非国家行为体在全球经济治理中的作用

截至2018年初,金融危机已过去近十年,信用评级机构仍然是全球许多国家公共政策重点关注的议题。本文将信用评级机构及其主权信用评级置于国际经济治理和市场监管的背景下,分析评级机构市场权力的来源,欧美监管改革的路径和监管困境,结合非国家行为体在全球经济治理中的作用,对主权信用评级价值异化进行讨论,并提出相应的政策建议。     

法、意出口退税制度及对我国的启示

法国、意大利出口退税的一般做法 (一)法国 法国是世界最早实行增值税的国家，在出口退税政策上也积累了丰富的经验。在对出口货物零税率的运作机制上，法国的做法具有典型的意义，……     

Implications of the Interaction Between Insurance Choice and Medical Care Demand

The gross price elasticity of demand for medical care is decomposed into two separate  observable  components: the medical care gross price elasticity of insurance choice and the cost-sharing elasticity of medical care. When consumers alter their choice of health-care plans, the price elasticity of medical care is no longer equivalent to the cost-sharing elasticity; using the latter as a proxy for the former may produce misleading results. We present conditions under which the medical care price elasticity is  positive , the case of a quasi-Giffen good, and provide a theoretical foundation for extant empirical findings of a positive medical care price elasticity of  insurance  demand.     

Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research

This paper gives an extensive overview on the avenues academic research has taken in exploring the role of credit ratings. In doing so, it relies on a strict methodological approach for the collection and evaluation of relevant studies to address the criticisms on the lack of profoundness in prior literature reviews in business research. It provides therefore to both academics and practitioners an exhaustive compendium on the role and relevance of credit ratings for each key stakeholder over the past 40 years. Second, it pinpoints specifically to how credit ratings impact corporate strategy. In this matter, it suggests to focus on this underresearched aspect in future as it has become a critical factor in the decision‐making of company boards.     

骆驼评价体系与商业银行风险管理

骆驼评价体系是金融监管机构通过对金融机构的资本充足程度、资产质量、管理水平、盈利水平和流动性五项指标进行评级打分，来评价金融机构的风险管理质量和经营安全程度，这对我国商业银行具有重要的借鉴意义。     

评级膨胀、双评级规范的网络效应与美国信用评级霸权

与通货膨胀一样,评级膨胀具有持久的、螺旋上升的和影响深远的危害性。信用评级在本质上只是一个相对风险措施,典型的信用评级并不能完全反映宏观经济周期。对国家和投资者来说,信用评级所导致的风险与威胁主要来自于＂信用评级膨胀＂。而究其根本,评级膨胀的大规模泛滥最终得益于美国两大评级机构的双评级规范霸权,以及由美国评级机构所垄断的国际评级网络。由于存在激励促使他们逃避基于评级的监管,因此道德风险在所难免,并一定会催生评级膨胀。因此,评级膨胀只是表象和媒介,双评级规范和网络效应才是美国评级霸权的最终顶点。     

Star Ratings and the Incentives of Mutual Funds

We propose a theory of reputation to explain how investors rationally respond to mutual fund star ratings. A fund's performance is determined by its information advantage, which can be acquired but decays stochastically. Investors form beliefs about whether the fund is informed based on its past performance. We refer to such beliefs as fund reputation, which determines fund flows. As performance changes continuously, equilibrium fund reputation may take discrete values only and thus can be labeled with stars. Star upgrades thus imply reputation jumps, leading to discrete increases in flows and expected performance, although stars do not provide new information.