A Research On The Influence Factors Of Credit Rating Migration Of Chinese Corporate Bonds

Along with the high speed development of Chinese bond market,corporate bond became to the important mechanism for enterprise financing.Both of listed company and unlisted company could isusse corporate bond,so the severe information asymmetry existed between the investor and bond issuer in coprporate market.The corporate bond credit rating could effectively mitigate the information asymmetry between the investor and bond issuer,thus the credit rating became to the significant index for investor's decision and also became to the siginificant index for exposing the credit risk of corporate bond.As the index of coroporate bond credit exposure,the uncertainty of corporate bond credit rating would produce the potential risk for investor.The credit rating quality would cause the significant impact on the healthy development of corporate bond market.Hence,the research of the influence factors on corporate bond credit rating migration is essential.The identification of different impact factors on corporate bond credit rating migration path could offer the theoretical and empirical evidence for investor's decision making and could provide the information of corporate bond credit rating quality for market regulator and also could offer the theoretical and empirical evidence for market regulation policy formulating.Based on the domestic and abroadresearch literature,this paper analyzes and summarizes the main factors caused by credit rating migration.On this basis,firstly,this paper analyzed the Chinese corporate bond marketbasing on the relevant theory of corporate bond.We attempt to summarize the main factors that influence the credit rating migration of corporate bonds in Chinese market through the matrix of credit rating migration.Meanwhile,in order to provide the empirical evidence for Chinese bond market development,we adopted the analysis of foreign bond market to conclude the experience and deficiencies from bond market in developed countries.Then,by using the credit rating data of corporate bonds in Chinese bond market,this paper makes an empirical analysis of several major factors that affect the credit rating of corporate bonds in China.We did the empirical analysis to measure the main factors that affect the credit rating migration of corporate bonds,and test the predictive effect of various factors on corporate bond credit rating migration.Finally,based on the conclusion of this study,we put forward some suggestions on policy for government and investors.In addition to the introduction,this study consists of five chapterswhich weredivided into three parts.The first part was the theoretical analysis,and included the first and second chapter.The detail wasbelow:Chapter one was theoretical foundation of corporate bond credit rating migration,which mainly introduced the general theory of corporate bond credit rating migration,the related concepts and rating process of credit rating and the measurement of credit risk.This chapter also introduces the meaning of the credit rating of corporate bond issuers and provides the theorysupport for the follow-up study.The second chapter was the current situation and problems of Chinese corporate bond credit rating migration.This chapter mainly statistically analyzes the current situationof China's corporate bonds credit rating migration through the credit rating transfer matrix.Through the credit rating transfer matrix,this articledemonstrated the current situation of China's corporate bond market development and found the main factors that affect the credit rating of corporate bonds.In the part of the development experience of foreign bond market,this paper analyzed the credit rating transfer matrix of two rating agencies,Moody's and S&P,and combined the development situationofChinese bond market to do the comparative analysis.The second part was the micro-analysis part,including the third and fourth chapter.The details were below:The third chapter was about the relationship between the characteristics of corporate bond and the credit rating of corporate bond.This chapter mainly researched the relationship between the characteristics of bonds and the credit rating of corporate bonds from three aspects:the maturity of bond,the size of bond issuance and the coupon rate.The fourth chapter was the differences of influence path that the bond issuer affected the corporate credit rating.This chapter mainly researched the credit rating and financial situation of debt issuer.In the study of the relationship between the credit rating of the bond issuer and the credit rating of corporate bonds,this paper studies the impact of the credit rating of the bond issuer and the credit rating relocation on the credit rating of the corporate bonds.Inthe part of corporate bond credit rating migration,this paper studied the impact of debt issuer's profitability,solvency and the issuance on corporate bond rating migration,and tested the predictability of corporate bond rating migration produced by financial factors of issuer.The third part was the macroscopic researchthat included the fifth chapter.The detail is below:The fifth chapter wasthe research of macroeconomic fluctuations,regional economic growth and the migration path differences of corporate bond credit rating..From the macroeconomics aspect,this chapter mainly researched the migration path of corporate bonds credit rating from three aspects:macroeconomic fluctuations,regional economic fluctuations and regional economic growth rate.This chapter also examined the predictability of macro-economy on corporate bond credit ratingmigration.Through the above research,this article demonstrated several main conclusions below:First,the credit rating migrationof corporate bonds has a significant age effect.Through the theoretical and empirical research on the relationship between the credit rating migrationof corporate bonds and the maturity of debt issuance,this paper finds that the credit rating migrationof corporate bonds decreases along with the maturity of corporate bonds.Namely,in the 4 years prior to the issuance of corporate bonds,the probability of a corporate bond credit rating migration is greater than the probability of the corporate bonds issuedover 4 years.Second,after the corporate bond issued,the credit rating migration of bond issuer would increase the probability of corporate bond credit rating migration.After theempirical research on the relationship between the credit rating of the bond issuer and the credit rating of the corporate bonds,this paper finds that,after the issuance of the corporate bonds,the migration of bond issuer credit rating would increase the probability of corporate bond credit rating migration in the future.Third,the profitability of debt issuers has a significant impact on the credit rating of corporate bonds.This paper studies the impact of profitability,solvency and operating ability of corporate bonds on corporate bonds credit rating migration.After the research,it found that the solvency and operating ability of corporate bonds do not have a significant impact on corporate bond credit rating migration.Only the profitability of debt issuer has a significant positive impact on credit rating migrationof corporate bonds.Fourthly,compared with the prediction accuracy of macro-economy on credit rating of corporate bonds,the prediction accuracy of the issuer's profitability on credit rating of corporate bonds is higher.This paper studies the predictability of the bond issuer's profitability and macroeconomic volatility on corporate bond credit rating.The study also claimed that the profitability of the debt issuer has higher prediction accuracyon corporate bond credit rating.Compare to the existing research,this article has several creative points below:On the research content,this article has several creative points.First,this article adopted the Chinese bond market as the research object to examine the corporate bond credit rating migration and enrich the study of corporate bond credit rating migration.Second,using the bond issuer as the research object,this article demonstrated the corporate bond credit rating migration from aspects on issuer rating,financial situation and industry factors,which made the study to be more comprehensive.Third,in the study of bond issuer,the research of corporate bond credit rating migration on finance aspect could overall reflect the impact of financial situation of bond issuer on corporate bond credit rating migration.Forth,on the basis of macro-economy,this article demonstrated the migration of corporate bond credit rating which made this area of research to be more sufficient.On the research methods,this article adopted PSM,IV Probit to solve the endogenous problem of study which made the results to be more reliable.Adopting dynamic factors analysis to compound the financial index,the compound method is more rational.