信用评级变动能反映企业真实财务信息吗?——基于财务重述的视角

本文以2007-2018年拥有主体信用评级的A股上市公司为研究对象,利用企业财务错报在未来被重述这一场景,检验主体信用评级变动能否反映企业真实财务信息。研究发现,评级机构在发债企业财务错报年显著下调了主体信用评级,而在重述公告发布年没有上述现象,这表明主体信用评级下调反映了企业的真实财务信息。在控制内生性影响后,结论仍然成立。进一步研究发现,发债企业当期财务错报涉及盈余时,主体信用评级被下调的幅度更大,说明评级机构更加关注与盈余相关的财务信息。机制分析表明,评级机构维护自身声誉是主体信用评级变动能够反映企业真实财务信息的主要机制。此外,主体信用评级被下调还导致了资本市场投资者的负面反应。本文的研究结果为主体信用评级变动反映企业真实财务信息提供了直接的证据支持,揭示了主体信用评级的信息含量,也对理解中国情境下评级机构调整主体信用评级的行为动机提供参考。

Do Credit Rating Adjustments Reflect Issuers' Real Financial Information? A Financial Restatement Perspective

As a direct financing tool for companies, corporate bonds are an important aspect of deepening financial system reform and building a multilevel capital market. Establishing a credit rating system helps to classify issuers' credit risk using rating symbols, evaluate their solvency, provide incremental information to the bond market, and reduce information asymmetry. However, whether credit rating agencies (CRAs) can transfer information to the bond market carefully and objectively is still controversial. On the one hand, the network of interests between CRAs and issuers leads to a decrease in the information content of credit ratings. On the other hand, CRAs are constrained by their reputations and will forgo their short-term gains in favor of communicating true information about the bond market. Therefore, CRAs choose to publish credit rating downgrades when they believe that the negative information about issuers credibly damages their reputation.
Financial restatements by companies indicating their misrepresentation of prior years' financial information intuitively and clearly illustrate the lack of credibility of the restated financial reports. This provides a unique setting in which to study whether credit rating adjustments reflect issuers' true financial information. We distinguish between the years of the financial misstatement and restatement announcements. If the CRA downgrades the credit rating in the financial misstatement year based on the issuer's private information, the result can prove that the credit rating adjustment reflects the issuer's true financial information. We use data from Chinese A-share listed companies with issuer-level long-term credit ratings and find that the rating agencies significantly downgrade issuers' credit ratings in financial misstatement years, rather than in restatement announcement years. This result indicates that credit rating downgrades reflect issuers' real financial information prospectively. Our results hold in the presence of alleviating endogenous concerns and applying other robustness tests. In additional tests, when the issuer's financial misstatement involves their earnings, their credit rating is downgraded more fiercely. In a channel test, we find that protecting the reputation of the credit agency is the main channel by which credit rating adjustments reflect issuers' real financial information. We further find that credit rating downgrades result in investors' negative reactions to stock prices.
We contribute to the literature in the following ways. First, we use a unique setting in which issuers' financial misstatements may be restated in subsequent years. Thus, we discuss the behavior of CRAs in financial misstatement years. The results support the effectiveness of credit ratings. Cheng and Subramanyam (2008) and Bonsall IV et al. (2018) focus on the impact of issuers' public information in their credit rating assessments. We still do not know how the CRAs react to private information because of the lack of private information data. Following previous studies, we find that the credit rating adjustments include the issuers' real financial information obtained by CRAs. This finding indicates that CRAs transfer negative private information to the bond market through credit rating downgrades, which also complements findings in the literature for the validity of credit ratings from an ex post facto perspective. Second, we divide financial misstatements into earnings and non-earnings misstatements and find that the issuers' credit ratings are downgraded to a greater extent in the earnings misstatement year. This finding indicates that CRAs pay more attention to financial information related to earnings, which provides insight into the role of financial information in credit rating assessments. Third, we find that in the institutional context of rating inflation in the Chinese bond market, CRAs adjust credit ratings according to issuers' real financial information in consideration of their own reputation. Our finding enriches the literature on the mechanism of the impact of enterprise financial information quality on credit ratings and identifies the behavioral motivation of CRAs to adjust their credit ratings for the Chinese bond market.
Our findings should be of interest to regulators in other emerging economies attempting to suppress rating inflations and improve their bond market efficiency. First, reputation is one of CRAs' most important qualities; thus, they will adopt more stringent rating standards when considering the credibility of their reputational costs. It is necessary for regulators to increase their penalty for improper CRA ratings through the improvement of the relevant institutional systems and increase the reputational costs for CRAs. Second, CRAs should build their competitive advantages by establishing a brand effect with high-quality ratings. Meanwhile, CRAs should expand other revenue channels to get rid of their dependence on revenue from their credit ratings. Third, issuers should strive to improve their corporate fundamentals and value the role that high-quality financial information plays in improving their credit ratings and reducing their corporate bond financing costs.