
Regulatory Shock and the Effect of Credit Ratings on Bond Financing Cost: Empirical Evidence from the Perspective of Dagong Event’s Industry Effect
Ling-min XIE
Journal of Central University of Finance & Economics ›› 2024, Vol. 0 ›› Issue (1) : 87-101.
Regulatory Shock and the Effect of Credit Ratings on Bond Financing Cost: Empirical Evidence from the Perspective of Dagong Event’s Industry Effect
We explore how regulatory shock to credit rating agencies caused by a regulatory action against Dagong affects investors’ perception of the quality of credit ratings issued by other rating agencies.We find that market participants increase their reliance on credit ratings as a whole, yielding a stronger negative relation between credit ratings and bond spreads after the event.The effect is stronger for issuers rated by credit rating agencies with low reputation, issuers in areas with weak legal environments, state-owned enterprise issuers, and issuers in top-level rating segment.We further find a stronger reaction of stock investors to credit rating changes after this reputational shock.Our findings enrich the studies on the important role of reputation and regulation in credit rating industry and have policy implications for regulators.
Credit rating agency / Reputation / Financing cost effect / Regulation shock {{custom_keyword}} /
表1 变量定义表 |
变量 | 定义 |
---|---|
Spread1 | 债券发行时的到期收益率 |
Spread2 | 债券发行时的到期收益率与可比期限国债收益率的差异 |
Rating | 离散变量,表示发行人信用评级水平对应的赋值,从19到1分别对应评级水平AAA—C |
Bondsize | 债券发行面值(1亿元人民币)的自然对数 |
Duration | 债券的存续年数 |
Put | 虚拟变量,若债券含有投资者回售条款,则Put=1,否则Put=0 |
Call | 虚拟变量,若债券含有发行人赎回条款,则Call=1,否则Call=0 |
Guarantee | 虚拟变量,若债券发行时有来自银行或其他机构的担保,则Guarantee=1,否则Guarantee=0 |
Fixed | 虚拟变量,若债券为固定利率债券,则Fixed=1,否则Fixed=0 |
Markettype | 虚拟变量,若是交易所债券市场交易的债券,则Markettype=1;若是银行间债券市场交易的债券,则Markettype=0 |
Bondtype | 离散变量,若为公司债券,则Bondtype =1;若为企业债券,则Bondtype=2;若为中期票据,则Bondtype=3;若为商业票据,则Bondtype=4 |
Listed | 虚拟变量,若债券发行人为上市公司,则Listed=1,否则Listed=0 |
Soe | 虚拟变量,若债券发行人为国有企业,则Soe=1,否则Soe=0 |
CRA | 以市值加权平均法计算的市场回报率(等权平均法计算的市场回报率)为基准,发行人在以评级变动生效日期为中心的三天窗口期内的累积超常收益率的绝对值 |
ABS_RAT_CHG | 评级数值变化的绝对值 |
DAYS_CHG | 自上次评级变化以来间隔天数的自然对数 |
表2 统计性描述 |
变量 | 观测值 | 平均值 | 标准差 | 下四分位 | 中位数 | 上四分位 |
---|---|---|---|---|---|---|
Spread1 | 4 468 | 5.352 | 1.314 | 4.270 | 5.100 | 6.500 |
Spread2 | 4 468 | 2.790 | 1.350 | 1.680 | 2.550 | 3.850 |
Rating | 4 468 | 1.669 | 0.866 | 1.000 | 1.000 | 2.000 |
Bondsize | 4 468 | 2.226 | 0.802 | 1.609 | 2.303 | 2.708 |
Duration | 4 468 | 3.491 | 1.655 | 3.000 | 3.000 | 5.000 |
Put | 4 468 | 0.348 | 0.476 | 0.000 | 0.000 | 1.000 |
Call | 4 468 | 0.113 | 0.316 | 0.000 | 0.000 | 0.000 |
Guarantee | 4 468 | 0.111 | 0.314 | 0.000 | 0.000 | 0.000 |
Markettype | 4 468 | 0.482 | 0.500 | 0.000 | 0.000 | 1.000 |
Listed | 4 468 | 0.234 | 0.423 | 0.000 | 0.000 | 0.000 |
Soe | 4 468 | 0.717 | 0.450 | 0.000 | 1.000 | 1.000 |
表3 基本回归结果 |
变量 | (1) | (2) |
---|---|---|
Spread1 | Spread2 | |
Rating×Post | -0.330*** (-11.151) | -0.309*** (-10.185) |
Rating | -0.538*** (-19.989) | -0.558*** (-20.245) |
Post | 5.721*** (10.493) | 5.140*** (9.210) |
Bondsize | -0.105*** (-5.538) | -0.133*** (-6.885) |
Duration | 0.047*** (5.415) | -0.097*** (-10.962) |
Put | 0.143*** (4.133) | 0.157*** (4.440) |
Call | 0.486*** (12.173) | 0.269*** (6.569) |
Guarantee | -0.443*** (-9.673) | -0.491*** (-10.481) |
Markettype | 0.261*** (4.389) | 0.061 (0.994) |
Listed | -0.293*** (-9.740) | -0.320*** (-10.411) |
Soe | -0.769*** (-23.764) | -0.759*** (-22.913) |
Observations | 4 468 | 4 468 |
R-squared | 0.636 | 0.639 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
注:括号内为t值,***、**和*分别表示在1%、5%、10%的水平上显著。下同。 |
表4 稳健性检验 |
变量 | (1) | (2) | (3) | (4) | (5) | (6) |
---|---|---|---|---|---|---|
Spread1 | Spread2 | Spread1 | Spread2 | Spread1 | Spread2 | |
Rating×Post | -0.296*** (-9.436) | -0.298*** (-9.349) | -0.479*** (-17.628) | -0.470*** (-17.084) | -0.308*** (-10.417) | -0.282*** (-9.291) |
Rating | -0.556*** (-19.107) | -0.551*** (-18.677) | -0.043 (-0.794) | -0.155*** (-2.825) | -0.468*** (-16.148) | -0.496*** (-16.707) |
Post | 5.026*** (8.656) | 5.058*** (8.592) | 8.239*** (16.280) | 7.975*** (15.538) | 5.278*** (9.666) | 4.625*** (8.262) |
Baseline controls | YES | YES | YES | YES | YES | YES |
Additional firm-level controls | NO | NO | NO | NO | YES | YES |
Observations | 3 852 | 3 852 | 4 468 | 4 468 | 4 254 | 4 254 |
R-squared | 0.640 | 0.636 | 0.929 | 0.931 | 0.664 | 0.666 |
CRA FE | YES | YES | YES | YES | YES | YES |
Firm FE | NO | NO | YES | YES | NO | NO |
Industry FE | YES | YES | NO | NO | YES | YES |
Year-Month FE | YES | YES | YES | YES | YES | YES |
表5 时间趋势检验 |
变量 | (1) | (2) | (3) | (4) | 变量 | (5) | (6) |
---|---|---|---|---|---|---|---|
Spread1 | Spread2 | Spread1 | Spread2 | Spread1 | Spread2 | ||
Rating×Post | -0.111 (-0.978) | -0.165 (-1.503) | -0.046 (-0.332) | -0.044 (-0.315) | Rating×Pre3 | 0.120** (2.028) | 0.116* (1.922) |
Rating | -0.694*** (-9.706) | -0.671*** (-8.066) | -0.931*** (-10.780) | -0.967*** | Rating×Pre2 | 0.316*** (4.869) | 0.322*** (4.848) |
Post | 1.666 (0.821) | 2.613 (1.326) | -0.085 (-0.032) | -0.106 (-0.040) | Rating×Pre1 | -0.029 (-0.455) | -0.034 (-0.517) |
Rating×Post2 | -0.232*** (-4.827) | -0.211*** (-4.297) | |||||
Rating | -0.634*** (-13.619) | -0.653*** (-13.700) | |||||
Pre3 | -1.595 (-1.492) | -1.609 (-1.471) | |||||
Pre2 | -4.898*** (-4.151) | -5.181*** (-4.289) | |||||
Pre1 | 0.974 (0.830) | 0.866 (0.721) | |||||
Post2 | 3.957*** (4.539) | 3.391*** (3.801) | |||||
Baseline controls | Yes | Yes | Yes | Yes | Yes | Yes | |
Observations | 696 | 696 | 919 | 919 | 4 468 | 4 468 | |
R-squared | 0.673 | 0.705 | 0.596 | 0.600 | 0.639 | 0.641 | |
CRA FE | YES | YES | YES | YES | YES | YES | |
Industry FE | YES | YES | YES | YES | YES | YES | |
Year-Month FE | YES | YES | YES | YES | YES | YES |
表6 基于信用评级机构市场声誉的分组分析 |
变量 | (1) | (2) |
---|---|---|
Spread1 | Spread2 | |
Rating×Post×Lowrep | -0.106* (-1.786) | -0.122** (-2.016) |
Rating×Post | -0.293*** (-7.934) | -0.266*** (-7.014) |
Rating×Lowrep | -0.093** (-2.019) | -0.080* (-1.687) |
Post×Lowrep | 1.961* (1.810) | 2.306** (2.079) |
Rating | -0.503*** (-15.667) | -0.528*** (-16.053) |
Post | 5.042*** (7.418) | 4.328*** (6.221) |
Lowrep | 1.215 (1.365) | 0.842 (0.923) |
Baseline controls | Yes | Yes |
Observations | 4 468 | 4 468 |
R-squared | 0.639 | 0.641 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
表7 基于发行人所在地法律环境的分组分析 |
变量 | (1) | (2) |
---|---|---|
Spread1 | Spread2 | |
Rating×Post×Lowlegal | -0.112** (-1.989) | -0.132** (-2.292) |
Rating×Post | -0.246*** (-6.110) | -0.211*** (-5.136) |
Rating×Lowlegal | -0.025 (-0.579) | -0.030 (-0.684) |
Post×Lowlegal | 2.178** (2.112) | 2.566** (2.441) |
Rating | -0.498*** (-14.809) | -0.514*** (-14.993) |
Post | 4.102*** (5.491) | 3.250*** (4.267) |
Lowlegal | 0.805 (1.032) | 0.913 (1.148) |
Baseline controls | Yes | Yes |
Observations | 4 468 | 4 468 |
R-squared | 0.658 | 0.663 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
表8 基于发行人所有权特征的分组分析 |
变量 | (1) | (2) |
---|---|---|
Spread1 | Spread2 | |
Rating×Post×Soe | -0.135** (-2.142) | -0.120* (-1.876) |
Rating×Post | -0.170*** (-3.374) | -0.151*** (-2.930) |
Rating×Soe | -0.148*** (-3.135) | -0.162*** (-3.337) |
Post×Soe | 2.121* (1.863) | 1.828 (1.569) |
Rating | -0.505*** (-12.853) | -0.522*** (-12.983) |
Post | 3.051*** (3.369) | 2.541*** (2.744) |
Soe | 2.092** (2.455) | 2.361*** (2.709) |
Baseline controls | Yes | Yes |
Observations | 4 468 | 4 468 |
R-squared | 0.644 | 0.647 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
① 报告在2018年发布,但其指数涵盖期间为2008—2016年。 |
表9 评级可靠性检验 |
变量 | (1) | (2) |
---|---|---|
Rating | Rating | |
CreditRisk=LiquidityRisk | CreditRisk=DefaultRisk | |
CreditRisk×Post | -0.037** (-2.245) | -0.020*** (-3.219) |
CreditRisk | -0.102*** (-7.015) | -0.024*** (-3.936) |
Post | 0.211*** (3.150) | 0.337*** (2.677) |
Baseline controls | Yes | Yes |
Observations | 4 254 | 986 |
R-squared | 0.661 | 0.833 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
表10 基于评级区间的分析 |
变量 | (1) | (2) |
---|---|---|
Spread1 | Spread2 | |
AAAR×Post | -0.744*** (-11.552) | -0.704*** (-10.839) |
AA+R×Post | -0.282*** (-3.938) | -0.243*** (-3.372) |
AAAR | -1.264*** (-22.846) | -1.292*** (-23.161) |
AA+R | -0.520*** (-9.718) | -0.539*** (-10.015) |
Post | 0.156 (1.516) | 0.039 (0.377) |
Baseline controls | Yes | Yes |
Observations | 4 468 | 4 468 |
R-squared | 0.661 | 0.675 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
表11 基于股票市场反应的分析 |
变量 | (1) | (2) |
---|---|---|
CAR1 | CAR2 | |
Post | 0.015 7** (2.229 8) | 0.015 8** (2.178 6) |
ABS_RAT_CHG | 0.000 2 (0.812 8) | 0.000 2 (0.704 5) |
DAYS_CHG | -0.000 3** (-2.037 7) | -0.000 3* (-1.956 0) |
Observations | 409 | 409 |
R-squared | 0.265 | 0.261 |
CRA FE | YES | YES |
Industry FE | YES | YES |
Year-Month FE | YES | YES |
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