信用评级业的功能、缺陷与市场结构研究

发布时间：2018-01-23 14:46

  本文关键词： 信用评级 融资成本 并购支付方式 周期性 市场结构　出处：《山东大学》2016年博士论文　论文类型：学位论文

【摘要】：本文以信息不对称理论、公司财务理论和产业组织理论为基础,采用规范分析法和实证分析法研究信用评级业所具有的功能,分析信用评级业存在的内生性缺陷,探求合理的评级业市场结构。信用评级业是由信用评级机构组成的从事信用评级业务的金融中介行业,是评级对象与投资者间的中间人,能够向投资者提供关于评级对象信用风险的信息,为投资者做出决策提供参考。信用评级业所提供的信用评级是根据评级对象的相关信息,按照一定的评级技术,得到的反映评级对象未来偿债风险的等级符号。信用评级根据评级对象分为针对国家的主权信用评级、针对公司的主体信用评级和针对债券的债券信用评级。尽管信用评级业所提供的主权信用评级、主体信用评级和债券信用评级三种类型评级分别在一国经济发展、公司财务安排及资本市场运行中发挥着重要的功能,但是在全球性金融危机中,信用评级业的表现饱受诟病。在危机爆发前,国际三大评级机构标准普尔、穆迪和惠润并未能够发挥其独特的功能给予投资者以必要的提醒,实际上却是存在周期性行为等诸多缺陷。针对评级业存在的缺陷,学者提出从建立合理的信用评级业市场结构角度来约束评级机构的行为。那么信用评级业所提供的主权、主体和债券三种不同类型信用评级发挥着怎样的功能?周期性行为是否为信用评级业的内生性缺陷?中国信用评级业的市场结构是否存在最优的竞争程度来降低信用评级业的缺陷?本文在现有文献的基础上,对信用评级业的功能、缺陷与市场结构作比较系统的理论和实证分析。论文的研究框架遵循从规范分析到实证分析的研究范式。在第一章的绪论介绍了论文的研究背景、研究问题、创新点等之后,第二章分别从信用评级业的功能、信用评级业存在的内生性缺陷、信用评级业缺陷的解决方案三个方面对国内外相关研究进行了评述。学术界对于信用评级业提供的三种类型信用评级所具有的功能已达成共识。主权信用评级会影响到国家主权债务融资成本和资本流动方向进而影响宏观经济增长,具有向投资者提供国家信用风险信息和引导资源在国家间配置的功能。主体信用评级与多种公司财务安排活动有着密切的关联,具有降低企业债务融资约束的功能。债券信用评级具有降低资本市场信息不对称的重要功能,进而降低债券的融资成本。尽管信用评级业所提供的三种不同类型评级具有重要的功能,但是信用评级业存在周期性行为、声誉机制无效性、利益冲突和评级高估等内生性缺陷,使得信用评级具有不准确性。针对信用评级业存在的缺陷,相关文献提出建立合理的信用评级业市场结构、采用投资者付费模式、加强监管和建立激励约束机制等解决方案。中国信用评级业发展历史较短,运作方式主要模仿国际信用评级业而来,国内针对信用评级业的理论研究和实证分析相对滞后。因此,本文需要借鉴国外理论分析框架,结合中国信用评级业发展的特点,论证和检验信用评级业的功能、缺陷与市场结构。第三、四、五章分别从主权信用评级、主体信用评级和债券信用评级三个角度研究信用评级业的功能。第三章探讨信用评级业提供的主权信用评级如何影响欧元区本国和其他国家经济增长以及这种影响在债务危机期间的异质性。实证结果发现,主权升级会带来本国经济增长率的提升,主权降级会导致本国经济增长率的下跌。在债务危机时期,主权降级对于本国经济增长率的降低作用更小。同时,主权降级会带来其他国家经济增长率的下跌,主权升级没有表现出对于其他国家经济增长的影响。在债务危机时期,主权降级对于其他国家经济增长的效应变弱。进一步地,对于高贸易赤字率、经济规模更小、实际评级改变、加入欧元区前和主权评级水平低于A1级的国家来说,主权降级对于经济增长的影响力更强。对于评级改变次数更多的国家而言,主权升级对于经济增长的影响力更大。实证结果证明主权信用评级能够向投资者传递国家信用风险的信息,具有引导资源在国家间配置的功能。第四章将研究视角从宏观经济转向微观主体,考察中国信用评级业提供的主体信用评级如何影响并购企业选择支付资金的方式。结果发现,具有主体评级和高主体评级的并购方在并购交易价格中现金支付比例更高,且更容易选择现金作为支付方式。当并购目标公司的信息不对称程度变大时,主体评级存在性对现金支付方式的正向影响力变小。实证结果说明主体信用评级具有降低企业债务融资约束的功能。第五章采用中国债券市场中信息不对称程度更为严重的中小企业私募债,研究了中国信用评级业提供的债券信用评级对私募债融资成本的影响。结果显示,高债券评级能够降低中小企业私募债的融资成本,并且对于民营中小企业发行的中小企业私募债和没有披露财务信息的中小企业私募债而言,债券信用评级的融资成本效应更大。实证结果表明,债券信用评级具有降低资本市场信息不对称的功能。第六章转向对于中国信用评级业内生性缺陷的分析,揭示中国信用评级业的周期性行为。实证检验所归纳的结论是,相比于经济萧条期,在经济繁荣期,信用评级机构进行评级高估的可能性更大,信用评级的信息含量下降。实证结果表明,在经济繁荣期,信用评级机构的评级准确性降低,这容易给投资者的判断造成误导,甚至可能引起风险积聚。如何解决信用评级业存在的周期性行为等内生性缺陷,是后危机时代各国监管当局、国际金融学界予以关注的重要议题之一。本文的第七章探讨中国信用评级业采用怎样的市场结构才有利于降低评级业的内生性缺陷。研究结果显示,中国信用评级业竞争程度越大,评级水平越低,且发生降级的可能性越大,即市场竞争降低了评级被高估的可能性。进一步地,债券收益率差价对信用评级的敏感度随着竞争程度的增加而增加,说明市场竞争有利于提高信用评级的信息价值。上述两方面结果表明,竞争程度的加剧有利于提高评级准确性。对于民营企业以及市场化水平更低的地区所在企业,对于由法制化水平更高地区所在评级机构进行评级的企业而言,竞争对于评级准确性的正面效应更大。另外,本文探讨中国信用评级业是否存在最优的竞争程度。结果发现,评级准确性随着信用评级业竞争程度的加剧先升后降,中国信用评级业应采取适度竞争的市场结构。最后第八章为本文的研究结论、政策建议与研究展望。总体而言,本文借鉴国外针对信用评级业的先进研究范式,结合中国信用评级业的特殊国情,较为系统地研究了信用评级业提供的三种类型信用评级所具有的功能,分析了信用评级业的周期性行为缺陷,并从建立合理的评级业市场结构角度寻求信用评级业缺陷的解决方案。本文突破了过去国内研究以描述性分析和定性分析为主的状态,采用规范性的实证分析方法对信用评级业的相关问题做出论证。本文的研究对于建立健康完善的中国本土信用评级业具有重要启示,为优化中国金融市场资源配置提供理论观点和经验证据的支持。
[Abstract]:Based on the information asymmetry theory, financial theory and industrial organization theory, adopts the method of normative analysis and empirical analysis of the credit rating industry has the function of endogenous defects of the credit rating industry, credit rating industry market structure and explore reasonable. Credit rating credit rating industry is engaged in the business of financial intermediary industry composed of credit rating agencies, is the intermediary between investors and the rating object, can provide a rating of credit risk information to investors, provide a reference for investors to make decisions. The credit rating industry provided the credit rating is based on relevant information rating object, according to the rating technology level reflects the rating symbol the object of future debt risk. Credit rating according to the rating object for sovereign credit rating, according to the company's main credit rating And the bond bond credit rating. Although the credit rating industry provided by the sovereign credit rating, the main credit rating and bond credit rating of three types of ratings were in a country's economic development plays an important function in the financial arrangements of the company and in the capital market, but in the global financial crisis, the credit rating industry's performance suffered criticized. Before the crisis, the three major international rating agency, Moodie and Hui Yun can not play its unique functions to give investors with the necessary reminder, there are actually many defects such as periodic behavior. According to the defects of existing credit rating industry, scholars put forward to restrain the behavior of rating agencies from the establishment of a reasonable credit rating the market structure perspective. Then the credit rating industry provided by the sovereign, the subject and the bond credit rating of three different types of play to periodic function? Endogenous defect behavior whether the credit rating industry? The defect of market structure China credit rating industry are optimal to reduce the degree of competition in the credit rating industry? In this paper, based on the existing literature on credit rating industry, market structure defects and compare system theory and empirical analysis the research framework of the dissertation. The follow from the normative analysis to the research paradigm of empirical analysis. In the first chapter introduces the research background, the research question, after innovation, the second chapter respectively from the credit rating industry, has defects existing in the credit rating industry, related research at home and abroad on the three aspects of the solution of credit rating industry defects were reviewed. Three types of credit rating for academic credit rating industry which has the function of consensus has been reached. The sovereign credit rating will affect sovereign debt The cost of financing and capital flow direction and the impact of macroeconomic growth, has provided national credit risk information and guide the allocation of resources in the country to investors. The main credit rating and a variety of financial activities are closely related with lower corporate debt financing constraints. The bond credit rating is an important function of reducing capital market asymmetric information, thus reducing the cost of debt. Although three types of rating credit rating industry provided with important function, but the credit rating industry cyclical behavior, reputation mechanism is invalid, conflicts of interest and ratings overestimated such endogenous defects, makes the credit rating has defects for inaccuracy. The credit rating industry, put forward relevant literature to establish a credit rating industry market structure is reasonable, the investor pay model, strengthen supervision and The establishment of incentive and restraint mechanism solutions. China credit rating industry short development history, operates mainly in imitation of the international credit rating industry, domestic credit rating industry according to the theoretical analysis and empirical research is lagging behind. Therefore, we need to learn from foreign theory analysis frame in this paper, combined with the characteristics of the development of Chinese credit rating industry, demonstration and check the function of the credit rating industry, defect and market structure. The third, fourth and five chapter respectively from the sovereign credit rating, the main credit rating and credit rating of bonds three perspective of credit rating industry. The third chapter discusses how to provide the credit rating industry's sovereign credit rating to heterogeneity in the debt crisis during the euro zone country and other the national economic growth and the impact. The empirical results show that sovereign upgrade will bring its economic growth rate increase, the sovereign downgrade will lead to their own The economic growth rate fell. During the debt crisis, sovereign downgrade for their economic growth rate reduced smaller. At the same time, sovereign downgrade will bring other countries economic growth rate fell, sovereign upgrade for other countries showed no influence on the economic development. In the period of debt crisis, sovereign downgrade for other countries' economic growth the effect becomes weak. Furthermore, the high rate of trade deficit, the economic scale is smaller, the actual rating change, to join the euro zone sovereign rating level is lower than before and A1 countries, sovereign downgrade for economic growth influence stronger. For the rating change more number of countries, sovereign upgrade for economic growth more influential. The empirical results show that sovereign credit rating can transfer the risk of country credit to investors with information, guide the allocation of resources between countries. The fourth chapter will function Research from the perspective of macro to micro subject, how to study Chinese credit rating industry to provide the main credit rating of enterprises choose to pay the way funds. The results showed that the higher is the main rating and high main rating acquirer cash in the transaction price paid in proportion, and are more likely to choose cash as payment information. When the asymmetric merger of the Target Corp becomes large, the main rating of existence of cash payment positive influence smaller. The empirical results show that the main credit rating can reduce the corporate debt financing constraint functions. The fifth chapter uses the information asymmetry Chinese bond market more private debt is serious, to study the influence of Chinese credit rating industry the bond credit rating of private debt financing cost. The results show that high bond rating can reduce the private small and medium sized enterprises Offering of debt financing costs, and for private debt issuance of small and medium-sized private enterprises and private debt did not disclose financial information, financing cost effect bond credit rating is larger. The empirical results show that the bond credit rating can reduce the information asymmetry in the capital market function. The sixth chapter analysis of the credit rating industry to Chinese a defect, reveal the cyclical behavior of China credit rating industry. The empirical conclusion is summarized and compared to the recession, in the period of economic prosperity, the credit rating agencies rating greater possibility of overestimation, decrease the information content of credit rating. The empirical results show that in the period of economic prosperity, reducing the accuracy of credit rating the rating agencies, it is easy to mislead investors to judge, and may even lead to the accumulation of risks. How to solve the credit rating industry cycle in A defect of sexual behavior, is the national regulatory authorities of the post crisis era, one of the important topics in international financial circles pay attention to. The seventh chapter discusses the China credit rating industry by how market structure is conducive to reduce the endogenous defect rating industry. The research results show that the degree of competition in the credit rating industry is China the rating, the lower the level of, and demoted the greater the possibility of market competition, which reduces the possibility of rating was overvalued. Further, the bond yield spreads on credit rating sensitivity increases with the degree of competition and increasing market competition, that is helpful to improve the information value of credit ratings. The results show that two the intensification of competition, is conducive to improve the rating accuracy. The level of the market for private enterprises and lower areas of the enterprise, the legal level by the higher area Credit rating agencies of enterprises, more competition for the positive effect of rating accuracy. In addition, the degree of competition in this paper to investigate whether there is optimal Chinese credit rating industry. The results showed that the accuracy rating with the degree of competition in the credit rating industry increased first and then decreased, China credit rating industry should adopt the market structure of moderate competition finally. The eighth chapter is the conclusion of this study, suggestions and research prospects policy. Overall, this paper advanced research paradigm for foreign credit rating industry, combined with the special situation of Chinese credit rating industry, compared with the three types of credit rating system of credit rating industry to provide the function, analysis of the cyclical behavior the defect of the credit rating industry, and finding solutions to the defects from the perspective of the establishment of the credit rating industry rating industry rational market structure. This breakthrough in the past Based on descriptive analysis and qualitative analysis, to demonstrate using empirical normative analytical method of credit rating industry related issues. This study has important implications for the establishment of sound Chinese domestic credit rating industry, provide theories and evidences for optimizing Chinese financial market allocation of resources.

【学位授予单位】：山东大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.5
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本文编号：1457786