An Analysis Of The Factors Affecting The Migration Of Corporate Bond Credit Ratings In My Country

Profitability is a common trait of all enterprises.When the company's own assets cannot meet its development needs,it needs to finance through external channels.Financing Order Theory holds that issuing corporate bonds is the best choice for companies compared to bank loans and issuing stocks.Companies are scrambling to issue corporate bonds,which has continuously expanded the bond market and gradually formed a rich and multi-level market-oriented system.But default incidents also followed,especially when the “rigid redemption” of corporate bonds ceased to exist,and defaults became more frequent.This poses huge risks to the bond market.How to control the risks of corporate bonds and obtain higher returns has become a problem that participants in the bond market have pondered for many years.The corporate bond rating result is one of the important indicators used to evaluate its credit risk,and can reveal the quality of the bond.Therefore,it is of practical significance to analyze which factors have a significant impact on the migration of corporate bond credit ratings.This article mainly analyzes from the theoretical and empirical research.The empirical research part mainly establishes a model and analyzes which factors have a significant effect on the corporate bond credit rating migration.This part of the data and rating results are derived from the wind financial terminal.The main contents of the empirical analysis include two aspects.First,it analyzes the influencing factors of whether the credit rating of corporate bonds has migrated.Using the corporate bond data issued in 2016 and previous years,the influencing factors are established by establishing a panel model.Through tests such as hausman and LR,a logistic fixed-effect model was finally established and the prediction accuracy of the model was calculated.Second,the influencing factors of its migration direction(including three states of lowering,maintaining,and increasing)were analyzed.Selected are corporate bond data for 2015-2018.First,the importance of the predictive variables of the primary index is obtained through the random forest algorithm,and then the more important indicators in each dimension are selected.The evaluation index system is re-established,and Multinomial Logistic Regression is included for analysis.The final model is a random forest-disordered logistic model.Based on the results of the model analysis,indicators that have a significant effect on the upward and downward migration of corporate bond credit ratings are found,and the fit of the model is tested,and the accuracy of the model prediction is calculated.The conclusions reached in this article are: Among the factors that affect the credit rating migration,the return on net assets and coupon rate are more important than other indicators.Therefore,the issuers of corporate bonds should pay attention to the development of their own profitability,and issue corporate bonds with appropriate coupon rates in accordance with the financial status of their own companies.Market regulators should implement supervision of rating agencies and rating results,and strictly verify indicators such as return on net assets and cash flow per share to prevent bond issuers from “painting” financial statements and causing “falsely high” credit ratings.The innovations of this article are mainly reflected in:(1)When constructing a logistic model,most of the existing literature uses cross-sectional data.This article innovatively uses panel data to construct a logistic fixed-effects model to analyze the factors that affect the credit rating migration;(2)In the study of the factors affecting the direction of credit rating migration,the credit rating status has been divided more carefully,including the three states of lowering,maintaining and increasing.At the same time,the random forest algorithm is combined with the traditional Multinomial Logistic Regression.The shortcomings of this paper are as follows:(1)This paper only studies corporate bonds listed on the Shanghai and Shenzhen Stock Exchanges,so the results of the study do not represent the migration of the credit ratings of all corporate bonds in China;(2)The ability to discriminate the downward migration and upward migration of corporate bonds is not as good as that of corporate bonds with unchanged credit ratings.