Multiple Ratings And Bond Credit Rating Migration

Since 1981,we have reissued national debt and restarted the bond market.Bond market,as an important part of capital market and one of the important channels of direct financing,plays a very important role in the development of financial market and the promotion of macroeconomic.With the rapid development of the bond market,the importance of the bond market in our direct financing market is steadily increasing.But since 2014 “11 CHAORI Bond” declared default,the rigid payment in our country bond market has been broken,and the bond default event occurs frequently.The credit rating of a bond is issued by a rating agency,and its rating result reflects the future default situation of the bond to a large extent,which has the function of transmitting information and evaluating value.The impartiality and authority of credit rating agencies are the basis for the normal and stable operation of a country’s bond market,and also the bellwether of a country’s macroeconomic development.However,as one of the ways to solve the problem of credit rating expansion,multiple rating has attracted more and more attention from the academic circle.In order to provide theoretical basis and practical reference for the implementation of multiple rating system,this paper studies its impact on the migration of bond credit rating from the perspective of multiple rating,and then studies the heterogeneity and function path.This paper is divided into six parts,the specific content is described as follows.Firstly,it introduces the research background of multiple ratings and systematically reviews the literature on bond credit rating,credit rating influence mechanism and multiple ratings.At the same time,it proposes the research ideas,methods and potential innovations of this paper.Secondly,it defines related concepts such as credit risk,information asymmetry,bond credit rating and multiple ratings,introduces the three hypotheses of multiple ratings,and puts forward hypothesis 1 and hypothesis 2 based on theoretical analysis.Then it introduces the research design of multiple rating and bond credit rating migration,the selection of samples and data sources,as well as the selection and construction of models.Then,the regression results of hypothesis 1 and hypothesis 2 are analyzed,and robustness test is conducted from four perspectives: solving sample selection bias,replacing explained variables,subdividing explained variables,and replacing regression models.In addition,heterogeneity analysis is carried out from five aspects: rating agency type,rating agency reputation,enterprise scale,AA boundary and audit situation,and action path analysis is carried out from four aspects: coupon rate,Z value,information asymmetry and risk events.Finally,conclusions and recommendations.Research shows that multiple ratings do significantly improve the probability of bond credit rating migration,and promote bond credit rating downward migration,and more inclined to downward migration of 6 to 10 levels(according to the 21 level rating standard).The empirical results show that multiple ratings help the credit rating to be closer to the real corporate bond risk and reduce rating inflation.In addition,the relationship between multiple ratings and bond credit rating migration is heterogeneous in the following five aspects: type of rating agency,reputation of rating agency,AA boundary,firm size and audit situation.Among them,if the rating agency is a local institution,the bond credit rating is more likely to fluctuate during the issuance period,the direction is uncertain.Ratings from agencies with low reputations tend to migrate down more than those with high reputations.If the initial bond rating is at the AA boundary,the possibility of bond credit rating transfer will be greatly increased,and tends to move downward.Enterprise scale also has a significant impact on the migration of bond credit rating,but the direction of migration is not clear,that is,enterprise scale will increase the volatility of the upward and downward migration of bond credit rating.When the auditing institution of the bond issuer is not one of the four international accounting firms,the possibility of bond credit rating migration will also be significantly increased.However,when the four international accounting firms are selected as the auditing institution,the bond credit rating tends to maintain the original rating.In the analysis of action path,this paper finds that the influence of multiple ratings on bond credit rating migration is partly realized through coupon rate,Z value and risk events,while information asymmetry does not play a significant role in mediating the path.