本文關(guān)鍵詞： 信用評級 融資成本 并購支付方式 周期性 市場結(jié)構(gòu)　出處：《山東大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：本文以信息不對稱理論、公司財務(wù)理論和產(chǎn)業(yè)組織理論為基礎(chǔ),采用規(guī)范分析法和實證分析法研究信用評級業(yè)所具有的功能,分析信用評級業(yè)存在的內(nèi)生性缺陷,探求合理的評級業(yè)市場結(jié)構(gòu)。信用評級業(yè)是由信用評級機(jī)構(gòu)組成的從事信用評級業(yè)務(wù)的金融中介行業(yè),是評級對象與投資者間的中間人,能夠向投資者提供關(guān)于評級對象信用風(fēng)險的信息,為投資者做出決策提供參考。信用評級業(yè)所提供的信用評級是根據(jù)評級對象的相關(guān)信息,按照一定的評級技術(shù),得到的反映評級對象未來償債風(fēng)險的等級符號。信用評級根據(jù)評級對象分為針對國家的主權(quán)信用評級、針對公司的主體信用評級和針對債券的債券信用評級。盡管信用評級業(yè)所提供的主權(quán)信用評級、主體信用評級和債券信用評級三種類型評級分別在一國經(jīng)濟(jì)發(fā)展、公司財務(wù)安排及資本市場運(yùn)行中發(fā)揮著重要的功能,但是在全球性金融危機(jī)中,信用評級業(yè)的表現(xiàn)飽受詬病。在危機(jī)爆發(fā)前,國際三大評級機(jī)構(gòu)標(biāo)準(zhǔn)普爾、穆迪和惠潤并未能夠發(fā)揮其獨(dú)特的功能給予投資者以必要的提醒,實際上卻是存在周期性行為等諸多缺陷。針對評級業(yè)存在的缺陷,學(xué)者提出從建立合理的信用評級業(yè)市場結(jié)構(gòu)角度來約束評級機(jī)構(gòu)的行為。那么信用評級業(yè)所提供的主權(quán)、主體和債券三種不同類型信用評級發(fā)揮著怎樣的功能?周期性行為是否為信用評級業(yè)的內(nèi)生性缺陷?中國信用評級業(yè)的市場結(jié)構(gòu)是否存在最優(yōu)的競爭程度來降低信用評級業(yè)的缺陷?本文在現(xiàn)有文獻(xiàn)的基礎(chǔ)上,對信用評級業(yè)的功能、缺陷與市場結(jié)構(gòu)作比較系統(tǒng)的理論和實證分析。論文的研究框架遵循從規(guī)范分析到實證分析的研究范式。在第一章的緒論介紹了論文的研究背景、研究問題、創(chuàng)新點(diǎn)等之后,第二章分別從信用評級業(yè)的功能、信用評級業(yè)存在的內(nèi)生性缺陷、信用評級業(yè)缺陷的解決方案三個方面對國內(nèi)外相關(guān)研究進(jìn)行了評述。學(xué)術(shù)界對于信用評級業(yè)提供的三種類型信用評級所具有的功能已達(dá)成共識。主權(quán)信用評級會影響到國家主權(quán)債務(wù)融資成本和資本流動方向進(jìn)而影響宏觀經(jīng)濟(jì)增長,具有向投資者提供國家信用風(fēng)險信息和引導(dǎo)資源在國家間配置的功能。主體信用評級與多種公司財務(wù)安排活動有著密切的關(guān)聯(lián),具有降低企業(yè)債務(wù)融資約束的功能。債券信用評級具有降低資本市場信息不對稱的重要功能,進(jìn)而降低債券的融資成本。盡管信用評級業(yè)所提供的三種不同類型評級具有重要的功能,但是信用評級業(yè)存在周期性行為、聲譽(yù)機(jī)制無效性、利益沖突和評級高估等內(nèi)生性缺陷,使得信用評級具有不準(zhǔn)確性。針對信用評級業(yè)存在的缺陷,相關(guān)文獻(xiàn)提出建立合理的信用評級業(yè)市場結(jié)構(gòu)、采用投資者付費(fèi)模式、加強(qiáng)監(jiān)管和建立激勵約束機(jī)制等解決方案。中國信用評級業(yè)發(fā)展歷史較短,運(yùn)作方式主要模仿國際信用評級業(yè)而來,國內(nèi)針對信用評級業(yè)的理論研究和實證分析相對滯后。因此,本文需要借鑒國外理論分析框架,結(jié)合中國信用評級業(yè)發(fā)展的特點(diǎn),論證和檢驗信用評級業(yè)的功能、缺陷與市場結(jié)構(gòu)。第三、四、五章分別從主權(quán)信用評級、主體信用評級和債券信用評級三個角度研究信用評級業(yè)的功能。第三章探討信用評級業(yè)提供的主權(quán)信用評級如何影響歐元區(qū)本國和其他國家經(jīng)濟(jì)增長以及這種影響在債務(wù)危機(jī)期間的異質(zhì)性。實證結(jié)果發(fā)現(xiàn),主權(quán)升級會帶來本國經(jīng)濟(jì)增長率的提升,主權(quán)降級會導(dǎo)致本國經(jīng)濟(jì)增長率的下跌。在債務(wù)危機(jī)時期,主權(quán)降級對于本國經(jīng)濟(jì)增長率的降低作用更小。同時,主權(quán)降級會帶來其他國家經(jīng)濟(jì)增長率的下跌,主權(quán)升級沒有表現(xiàn)出對于其他國家經(jīng)濟(jì)增長的影響。在債務(wù)危機(jī)時期,主權(quán)降級對于其他國家經(jīng)濟(jì)增長的效應(yīng)變?nèi)酢＿M(jìn)一步地,對于高貿(mào)易赤字率、經(jīng)濟(jì)規(guī)模更小、實際評級改變、加入歐元區(qū)前和主權(quán)評級水平低于A1級的國家來說,主權(quán)降級對于經(jīng)濟(jì)增長的影響力更強(qiáng)。對于評級改變次數(shù)更多的國家而言,主權(quán)升級對于經(jīng)濟(jì)增長的影響力更大。實證結(jié)果證明主權(quán)信用評級能夠向投資者傳遞國家信用風(fēng)險的信息,具有引導(dǎo)資源在國家間配置的功能。第四章將研究視角從宏觀經(jīng)濟(jì)轉(zhuǎn)向微觀主體,考察中國信用評級業(yè)提供的主體信用評級如何影響并購企業(yè)選擇支付資金的方式。結(jié)果發(fā)現(xiàn),具有主體評級和高主體評級的并購方在并購交易價格中現(xiàn)金支付比例更高,且更容易選擇現(xiàn)金作為支付方式。當(dāng)并購目標(biāo)公司的信息不對稱程度變大時,主體評級存在性對現(xiàn)金支付方式的正向影響力變小。實證結(jié)果說明主體信用評級具有降低企業(yè)債務(wù)融資約束的功能。第五章采用中國債券市場中信息不對稱程度更為嚴(yán)重的中小企業(yè)私募債,研究了中國信用評級業(yè)提供的債券信用評級對私募債融資成本的影響。結(jié)果顯示,高債券評級能夠降低中小企業(yè)私募債的融資成本,并且對于民營中小企業(yè)發(fā)行的中小企業(yè)私募債和沒有披露財務(wù)信息的中小企業(yè)私募債而言,債券信用評級的融資成本效應(yīng)更大。實證結(jié)果表明,債券信用評級具有降低資本市場信息不對稱的功能。第六章轉(zhuǎn)向?qū)τ谥袊庞迷u級業(yè)內(nèi)生性缺陷的分析,揭示中國信用評級業(yè)的周期性行為。實證檢驗所歸納的結(jié)論是,相比于經(jīng)濟(jì)蕭條期,在經(jīng)濟(jì)繁榮期,信用評級機(jī)構(gòu)進(jìn)行評級高估的可能性更大,信用評級的信息含量下降。實證結(jié)果表明,在經(jīng)濟(jì)繁榮期,信用評級機(jī)構(gòu)的評級準(zhǔn)確性降低,這容易給投資者的判斷造成誤導(dǎo),甚至可能引起風(fēng)險積聚。如何解決信用評級業(yè)存在的周期性行為等內(nèi)生性缺陷,是后危機(jī)時代各國監(jiān)管當(dāng)局、國際金融學(xué)界予以關(guān)注的重要議題之一。本文的第七章探討中國信用評級業(yè)采用怎樣的市場結(jié)構(gòu)才有利于降低評級業(yè)的內(nèi)生性缺陷。研究結(jié)果顯示,中國信用評級業(yè)競爭程度越大,評級水平越低,且發(fā)生降級的可能性越大,即市場競爭降低了評級被高估的可能性。進(jìn)一步地,債券收益率差價對信用評級的敏感度隨著競爭程度的增加而增加,說明市場競爭有利于提高信用評級的信息價值。上述兩方面結(jié)果表明,競爭程度的加劇有利于提高評級準(zhǔn)確性。對于民營企業(yè)以及市場化水平更低的地區(qū)所在企業(yè),對于由法制化水平更高地區(qū)所在評級機(jī)構(gòu)進(jìn)行評級的企業(yè)而言,競爭對于評級準(zhǔn)確性的正面效應(yīng)更大。另外,本文探討中國信用評級業(yè)是否存在最優(yōu)的競爭程度。結(jié)果發(fā)現(xiàn),評級準(zhǔn)確性隨著信用評級業(yè)競爭程度的加劇先升后降,中國信用評級業(yè)應(yīng)采取適度競爭的市場結(jié)構(gòu)。最后第八章為本文的研究結(jié)論、政策建議與研究展望。總體而言,本文借鑒國外針對信用評級業(yè)的先進(jìn)研究范式,結(jié)合中國信用評級業(yè)的特殊國情,較為系統(tǒng)地研究了信用評級業(yè)提供的三種類型信用評級所具有的功能,分析了信用評級業(yè)的周期性行為缺陷,并從建立合理的評級業(yè)市場結(jié)構(gòu)角度尋求信用評級業(yè)缺陷的解決方案。本文突破了過去國內(nèi)研究以描述性分析和定性分析為主的狀態(tài),采用規(guī)范性的實證分析方法對信用評級業(yè)的相關(guān)問題做出論證。本文的研究對于建立健康完善的中國本土信用評級業(yè)具有重要啟示,為優(yōu)化中國金融市場資源配置提供理論觀點(diǎn)和經(jīng)驗證據(jù)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.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F832.5
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本文編號：1457786