Rating-Based Restriction, Credit Rating Inflation and Bond Covenants - Evidence from Chinese Bond Market
Rating-Based Restriction, Credit Rating Inflation and Bond Covenants - Evidence from Chinese Bond Market
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DOI：
10.2139/ssrn.3245027
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发表时间：
2018-09
期刊：
影响因子：
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通讯作者：
Zhongkuang Zhao;Wanfa Lin;F. Song
中科院分区：
文献类型：
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作者：
Zhongkuang Zhao;Wanfa Lin;F. Song
本文强调了两个独立的文献流，关于债券契约的文献和关于信用评级膨胀的文献之间的关系，并讨论了如何利用债券契约来膨胀债券评级以符合市场准入规定。代理成本理论预测债券契约可以降低发行人的借贷成本，特别是对于低等级债券。与此预测相反，我们的广义DID估计发现，在中国债券市场，投资者对有抵押品和担保的AA级债券的风险溢价要求远高于AAA级债券（180个基点）。AA级债券的事后表现也比其他债券差，其发行人比其他发行人进行更多的事前盈余管理。更重要的是，这种影响集中在监管机构设定的信用评级门槛AA级债券上。这些发现不能用代理成本、信用评级机构（CRAs）的付费模式或竞争来解释。这种影响在不受这种基于评级的监管的不同细分债券市场中要弱得多，我们进一步估计AA债券（即受监管影响最大的边际债券）的无谓损失至少为84个基点。
This paper highlights the relation of two independent streams of the literature, the literature on bond covenants and literature on credit rating inflation and addresses how bond covenants are used to inflate bond ratings to comply with regulation on market access. Agency cost theory predicts that bond covenants can decrease the borrowing cost of issuers, especially for low-grade bonds. In contrast to this prediction, our generalized DID estimations find that in the Chinese bond market, investors require a much higher risk premium (180 bps) for AA bonds that are secured with collateral and guarantees than they do for AAA bonds. AA bonds also have worse ex post performance than other bonds, and their issuers engage in more earnings management ex ante than other issuers. More importantly, such an effect clusters in AA bonds, which is the threshold for credit ratings set by regulation. These findings cannot be explained by agency costs, the pay-model of credit rating agencies (CRAs) or competition. This effect is much weaker in a different segmented bond market that is not subject to such rating-based regulation, and we further estimate the deadweight loss of AA bonds (i.e., the marginal bonds most influenced by regulation) to be at least 84 bps.