Research On Quality Characteristics Of Credit Rating In China

On March 4,2014,the"bond of Chaori issued in 2011”redemption default broke the practice of rigid redemption in China's bond market;the rating adjustment was not timely,and the rating was rushed across several levels,and the rating agencies were subject to Market questioning.In fact,because the regulatory authorities rely on the credit rating of corporate bond issuance,investment threshold and other credit ratings,the phenomenon of"rated purchase"is not uncommon,and the rating market has long been chaotic.For example,credit ratings do not present a reasonable normal distribution,are highly concentrated in AA and above,and high-rated bonds have similar corporate characteristics as high-risk junk bonds in other countries.After the breach of contract,the relevant departments strengthened the supervision of the rating industry,assessed the inflated rating and adjustment timelines,and punished the unqualified rating agencies such as serious disclosure of risks.With the re-establishment of market rules,whether the reputation mechanism can play its due role in constraining the behavior of rating agencies,thus improving the quality of credit ratings,deserves attention and research.This paper selects the corporate bonds and medium-term notes issued by A-share listed companies in 2008-2017,which are rated by China Chengxin International Credit Rating Co.,Ltd.,United Credit Rating Co.,Ltd.,Dagong international credit rating Co.,Ltd.,Shanghai New Century Credit Rating Investment Service Co.,Ltd.and Pengyuan Credit Rating Co.,Ltd.,from the level of rating,timeliness,volatility,Accuracy and market response,rating effectiveness and differentiation,and a comprehensive and systematic study of rating agencies'rating characteristics and quality.The study found that:1.After the first default event,the rating agency's overall rating level is reduced,timeliness and accuracy are improved,and volatility is increased;this change is not conservative,and the credit rating can better predict the future profitability of the company.Cash level,downgrade often means the issuer's poor operating conditions in the future;2.The first default event has a greater impact on low-reputation rating agencies,which significantly reduces the rating level and improves the accuracy,timeliness and volatility of the rating.Sex.3.The first case of default has an impact on investors,making them more responsive to rating downgrades;4.Before the default event,the impact of credit rating on credit spreads is more obvious in the AA and above levels,and the difference disappears after the default event,but the rating is not well differentiated,and financial indicators still have a significant impact on the credit spread of bonds of the same rating.The research contribution of this paper is reflected in both academic and practical aspects.Academically,this paper has comprehensively revealed the overall rating quality and its changing characteristics of rating agencies since the development of China's bond market,enriching the research on rating quality.In practice,the study of the quality characteristics of ratings can help investors to rationally identify the reliability of rating results of different institutions in different periods,and guide bond issuers to actively improve their solvency and profitability to improve ratines,instead of using "ratings" and other bad means.At the same time,it provides a reference for the regulatory authorities to formulate policies.