摘要
本文以2010年和2011年发行的非金融企业无担保企业债券为样本,发现发债企业前一年度的财务数据以及债券的发行规模、发行期限、所属行业和发行年度可以对债券的信用等级有解释作用,模型整体的预测准确率较高。实证结果表明,债券信用等级信息有相当大的部分可以被公共信息解释,即债券信用等级信息对提高债券市场效率的增量贡献较小,但模型预测的信用等级并没有系统性地低于实际信用等级,说明信用评级机构没有对债券的信用状况做出偏于乐观的估计。
This paper studied the explanatory power of financial information on bond credit rating. Taking un- ensured interprise bond of non-financial enterprises issued in 2010 and 2011 as samples, the empirical results show that financial data of one year before, debt volume, debt maturity, industry and the year of issuance can explain the credit rating to a large extend. The model can forecast the credit rating in high accuracy. That＇s to say, rating information has little contribution in addition to public information on improving market efficiency. The forecasted credit rating isn＇t systematicly higher or lower than real rating, showing that the credit rating companies are not over optimistic on their judgement.
出处
《首都经济贸易大学学报》
北大核心
2013年第1期30-36,共7页
Journal of Capital University of Economics and Business
关键词
财务信息
债券
信用等级
financial information
bond
credit rating
