摘要
准确的信用评级对推动债券市场高质量发展具有重要作用。本文选取万得和国泰安数据库2007-2019年发行的信用债主体的非平衡面板数据,以信用利差为评级虚高的代理变量,通过固定效应、GMM和DID等模型研究了企业规模、企业杠杆率、企业类型、付费模式等对信用评级虚高的影响,得出:企业规模、杠杆率、企业类型显著影响了信用评级准确度。并且,信用评级市场在引入投资者付费模式之后,信用评级利差有所下降,信用评级虚高的问题得到了一定的缓解。
Accurate credit rating plays an important role in promoting high-quality development of bond market.This paper selects unbalanced panel data of credit debt subjects issued by Wind and GTAI’an from 2007 to 2019,takes credit spreads as proxy variable of inflated credit rating,studies the influence of enterprise size,leverage ratio,type of enterprise and payment mode on inflated credit rating through fixed effect,GMM and DID models,and concludes:Enterprise size,leverage ratio and enterprise type significantly affect the accuracy of credit rating.In addition,after the introduction of the investor payment model in the credit rating market,credit rating spreads have decreased,and the problem of inflated credit rating has been alleviated to some extent.
出处
《投资研究》
CSSCI
北大核心
2021年第7期142-158,共17页
Review of Investment Studies
关键词
信用评级
评级虚高
利差
DID模型
Credit rating
Rating inflation
Credit spread
DID model
