不同付费模式下评级结果的实证研究

发布时间：2018-02-16 12:43

本文关键词： 银行间债券市场评级机构发行人付费投资人付费排序Logistic模型　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：2005年以来,随着我国债券品种的不断丰富,银行间债券市场规模迅速扩大,从而带动了我国评级行业的高速发展。信用等级的高低将直接影响到企业债券发行成功与否及发行成本,评级机构在债券市场中的影响力越来越大。然而,我国评级机构基本都是采用发行人付费模式,潜在的利益冲突可能造成评级虚高。2010年8月,中国银行间市场交易商协会代表全体会员出资设立中债资信评估有限责任公司(简称“中债资信”),成为国内首家且是唯一一家采用投资人付费模式的评级机构。成立至今,中债资信已为数百家企业进行评级或提供主动评级,并出具评级报告。对比中债资信的评级结果和其他发行人付费模式下的评级结果,前者要明显低于后者1-2个级别,即评级虚高的现象很有可能存在。在此背景下,本文选取同时具有中债资信评级和其他发行人付费评级机构评级的企业作为样本,通过描述性统计分析不同付费模式下评级结果的差异及差异的分布情况,并分析造成上述差异的可能原因。然后,利用排序选择模型对两种模式下的评级模型进行实证检验,挖掘不同模式下评级模型各自所关注的指标及各指标的影响程度,并比较两者之间的差异。同时,运用多元线性回归模型进一步分析影响两种模式下级差大小的具体因素。此外,本文对国外付费模式的演变做了一定的梳理,其中既包括改进模式,如政府裁决模式、投资人所有评级机构模式、集中结算平台模式和基于评级结果的付费模式等,也包括替代模式,如投资人付费模式和公用事业模式等,以便为推动我国评级机构付费模式改革提供借鉴。最后,本文简要分析了投资人付费模式下可能存在的“搭便车”、“利益冲突”等问题,并针对上述问题,提出若干建议。
[Abstract]:Since 2005, with the increasing variety of bonds in China, the scale of interbank bond market has expanded rapidly. The credit rating will directly affect the success and cost of corporate bond issuance, and the rating agencies will have more and more influence in the bond market. Our country's rating agencies are basically using the issuer's payment model, the potential conflict of interest may lead to false ratings. August 2010, The China Interbank Market Dealers Association, on behalf of all its members, has contributed to the establishment of China National debt Credit Appraisal Co., Ltd. (hereinafter referred to as "China debt Credit"), becoming the first and only rating agency in China to adopt the investor-paying model. Since its establishment, China debt credit has rated hundreds of enterprises or offered active ratings, and issued rating reports. Compared with the rating results of the Chinese debt credit rating and other issuers' payment mode, the former is significantly lower than the latter by 1-2 grades. That is, the phenomenon of false ratings is likely to exist. In this context, this paper selects enterprises with credit rating of Chinese debt and other issuer rating agencies as samples. This paper analyzes the difference and distribution of rating results under different payment modes by descriptive statistics, and analyzes the possible causes of the above differences. Then, the ranking selection model is used to test the rating models under the two models. Mining the indexes concerned by different models and the degree of impact of each index, and comparing the differences between the two. At the same time, Using the multiple linear regression model to further analyze the specific factors that affect the difference between the two models. In addition, this paper makes a certain combing of the evolution of the foreign payment model, which includes the improved model, such as the government ruling model. The investor model of all rating agencies, the centralized settlement platform model and the payment model based on rating results, and so on, also include alternative models, such as investor payment model and public utility model, etc. Finally, this paper briefly analyzes the possible problems of "free rider", "conflict of interest" and so on under the investor-paid mode, and puts forward some suggestions in view of the above problems.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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