與國際信評機構合作是否改善中國大陸信用評等品質？

Does Cooperating with the International Credit Rating Agency Improve Rating Quality in China?

本文以2002年至2014年，探討中國大陸上市公司之債券信用評等決定因素，衡量中國信評機構與國際信評機構利用入股或技術合作方式，其合作前後對於債券評等品質是否造成影響。本文以在上海及深圳交易所上市的公司債及企業債的信用評等為研究對象，實證結果顯示，中國企業債及公司債呈現評等膨脹現象，大多集中於AA等級以上，評等普遍偏高；其次，債券評等的決定因素，發現總資產報酬率越大、流動比率越高、負債比率越低、利息保障倍數越大、總資產周轉率越高、公司規模越大、債券到期期間越長、上市於上海交易所、為國有企業，可獲得較佳的評等等級。以個別機構探討，財務、債券與公司較能解釋評等的為大公及中誠信兩家信評機構；第三，實證發現中國大陸本土的信評機構與國際信評機構合作後，公司債的評等等級有向下調整的現象，支持評等品質改善的結果。

This paper uses credit ratings of Chinese corporate bonds during 2002-2014 as sample and tries to investigate the determinant of credit ratings in China. This paper focuses on whether the credit rating quality can be improved when the local rating agencies in China cooperate with the international credit rating agency, i.e., Standard & Poor's, Moody's or Fitch. This paper uses the credit rating of corporate bonds that issued in Shanghai Stock Exchange and Shenzhen Stock Exchange as the sample and we use ordered logit model to estimate. The empirical results show that credit rating inflation does exist in Chinese bond market. The majority of ratings concentrate on AA- or higher than AA-. The factors that affect credit rating include the return on asset, the liquidity indicators, leverage ratio, the TIE, asset turnover ratio and the bond duration. The bond issued in Shanghai Stock Exchange, governance-owned company and the higher ownership ratio of big shareholder also obtained higher credit ratings. As a whole, the rating quality is improved when the local credit rating agency cooperate with the three international credit rating agency. When considering an individual agency, we find the rating quality does not improve when Lianher corporates with Fitch.