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信用评级不仅能够为市场提供风险信息还能够增强市场对企业的约束,因此对资本市场的健康发展起着重要的作用。发达国家的信用评级活动既影响着投资决策也影响着监管行为,其公信力得到了市场的普遍认可。但是中国的评级行业发展历史较短,其内在技术实力和外在发展环境较国外都有一定的差距。在这种情况下,市场对中国本土信用评级的认可和依赖程度就成了一个值得研究的问题。本文采用实证的方法研究本土信用评级对债券回报率的影响。利用国内最大的三家评级机构在2007至2009年间发布的评级公告分别建立正面和负面的事件研究模型,考察公告前后的债券价格反应,分析信用评级在二级市场中对债券回报率的影响。
Credit rating can not only provide risk information for the market, but also enhance the restriction of the market to the enterprise. Therefore, credit rating plays an important role in the healthy development of the capital market. Credit rating activities in developed countries not only affect the investment decision-making also affect the regulatory behavior, its credibility has been generally recognized by the market. However, China’s rating industry has a short history of development and its internal technical strength and external development environment are somewhat different from those of other countries. Under such circumstances, the market’s recognition and reliance on China’s local credit rating has become a question worth studying. This paper uses empirical methods to study the impact of local credit ratings on bond yields. Using the rating announcements released by the three largest domestic rating agencies from 2007 to 2009, we set up a positive and negative event research model to examine the bond price response before and after the announcement and analyze the impact of credit rating on the bond yield in the secondary market.