一、主讲学生与论文题目：
刘艳（2017级博士生）：
1. Factors affecting investor acceptance and recognition of Chinese credit ratings
2. The Impact of the Failure to Accurately Predict Bond Defaults on Credit Rating Agencies in China
3. Does issuer importance affect rating inflation?
4. Does Reputational Capital Affect Credit Rating Agencies?: Empirical Evidence from a Natural Experiment in China
二、时间：2022年12月8日（周四）下午19:00-21:00
三、地点：腾讯会议
四、点评与讨论教师：
姜富伟 中央财经大学金融学院 教授
吴锴 中央财经大学金融学院 副教授
陈锐 原中央财经大学金融学院 副教授
五、主持人：陈锐
六、论文摘要
1. Factors affecting investor acceptance and recognition of Chinese credit ratings
This study systematically investigates the factors affecting investor acceptance and recognition of credit ratings in the Chinese bond market. We measure market recognition of credit ratings by excess spread, and examine the impact of cooperation with international credit rating agencies (CRAs) on Chinese CRAs. We find that investor acceptance and recognition of Chinese credit ratings issued by CRAs with connections to the Big 3 is better than for other CRAs, and excess spreads of the bonds rated by CRAs with connections to the Big 3 are lower by 8 bps on average. This highlights the importance of improving international cooperation by CRAs. Our findings also confirm that factors identified in previous studies, such as the distance from CRAs to issuers and various bond and issuer characteristics, significantly affect investor acceptance of ratings.
2. The Impact of the Failure to Accurately Predict Bond Defaults on Credit Rating Agencies in China
This study examines the impact of the failure to accurately predict bond defaults on credit rating agencies (CRAs) in China. The spreads of bonds rated by reputable CRAs (who have international cooperation) can decrease, on average, by 10 basis points (bps). After a year with many defaults, the market will penalize higher ratings given by reputable CRAs more severely. This tends to reduce the spread differential of adjacent ratings by 34 basis points for every 1% increase in the default rate of reputable CRAs, indicating that the rating distinction decrease. Moreover, the market share of reputable CRAs is reduced after a bond default, indicating that this seems to have a negative impact on the reputation of the relevant CRAs. An increase in the default rate leads to a tightening of rating standards by reputable CRAs and issuing of more prudent credit ratings. The findings also suggest that CRAs with poor reputation tend to adopt a less strict credit rating policy with respect to bond issuers.
3. Does issuer importance affect rating inflation?
This paper analyzes the effect of issuer importance on the rating inflation in the Chinese bond market, providing empirical evidence in support of the theoretical model put forward by Bolton et al. (2012). Four hypotheses are articulated pertaining to how high issuer importance affects credit ratings: rating catering, reputation effect, information production, and competition effect. Through exploring credit rating and spread, the results indicate the presence of rating catering and support reputation effect hypotheses. Ratings are inflated more when competition between CRAs is stronger, regardless of the issuer importance in question. Moreover, the conclusions have some policy implications, such as the list disclosure of major clients, market-based bond market promotion, and restricting competition in the rating industry.
4. Does Reputational Capital Affect Credit Rating Agencies?: Empirical Evidence from a Natural Experiment in China
The subprime mortgage crisis of 2007-2008 has led major economies to reform their credit rating regulations, and China is not an exception. This paper employs a difference-in-difference research design to investigate whether the reputational capital of credit rating agencies affects their rated bonds. The first market-oriented evaluation of the Chinese inter-bank bond market is chosen as the source of the exogenous reputational shock. Using the medium term notes rated by China Chengxin International Credit Rating as benchmarks, a causal relationship is identified revealing that the average yield spread at the issuance of medium term notes, as rated by China Lianhe Credit Rating, increases by between 0.23% and 0.33% due to its decreased reputational capital. This research provides favorable evidence for the recent reform measures that aim to increase the disciplinary power of reputational capital.
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