信用評(píng)級(jí)變化對(duì)股票價(jià)格的影響以中國(guó)股票市場(chǎng)為例

1、信用評(píng)級(jí)變化對(duì)股票價(jià)格的影響： 以中國(guó)股票市場(chǎng)為例The Impact of Credit Rating Changes on Stock Price:Evidence from the Chinese Stock Market ：王舒宣指導(dǎo)教師姓名 :牛霖琳助理教授袁宇菲助理教授郭曄副教授專(zhuān) 業(yè) 名 稱(chēng)：金融學(xué)摘要信用風(fēng)險(xiǎn)可以被定義為交易對(duì)方不能履行契約義務(wù)造成經(jīng)濟(jì)損失的風(fēng)險(xiǎn)。 它 的影響是由對(duì)方違約的重置成本來(lái)衡量的。 信用風(fēng)險(xiǎn)評(píng)級(jí)主要由信用評(píng)級(jí)機(jī)構(gòu)來(lái) 完成。信用評(píng)級(jí)機(jī)構(gòu)和市場(chǎng)的形成起源于 20 世紀(jì)初對(duì)美國(guó)鐵路債券的評(píng)級(jí)，現(xiàn) 在這些機(jī)構(gòu)的信用評(píng)級(jí)對(duì)象已經(jīng)發(fā)展到各種企業(yè)、 個(gè)人甚至國(guó)家。

2、數(shù)以百萬(wàn)計(jì)的 投資者依賴(lài)于他們獨(dú)立、 客觀(guān)的評(píng)級(jí)以做出合理的資產(chǎn)投資選擇。 根據(jù)巴塞爾協(xié) 議 II ，信用評(píng)級(jí)是測(cè)量信用風(fēng)險(xiǎn)的主要指標(biāo)。公司債券所獲得的信用評(píng)級(jí)不同， 就會(huì)有不同的債券價(jià)格和經(jīng)濟(jì)資本權(quán)重， 從而影響公司的融資和經(jīng)營(yíng)狀況。 正因 為如此，對(duì)信用評(píng)級(jí)作用的研究具有重要的理論和現(xiàn)實(shí)意義， 也已經(jīng)成為當(dāng)前學(xué) 術(shù)界關(guān)注的熱點(diǎn)之一。目前，對(duì)信用評(píng)級(jí)作用的研究主要分為對(duì)債券本身和對(duì)相對(duì)應(yīng)股票影響的 研究。由于和股票交易相比，債券交易不頻繁，并且數(shù)據(jù)難以獲得，因此文獻(xiàn) 中更傾向于研究 評(píng)級(jí)變化對(duì)股票價(jià) 格的 影響 (Holthausen 和 Leftwich,1986)28在中國(guó)的證券市場(chǎng)上，

3、信用評(píng)級(jí)正發(fā)揮著越來(lái)越重要的作用，然而在對(duì)信 用評(píng)級(jí)效應(yīng)的實(shí)證研究方面仍舊是空白。 本文以債券信用評(píng)級(jí)變化對(duì)股票價(jià)格的 影響為切入點(diǎn)， 運(yùn)用中國(guó)股票市場(chǎng)的日度數(shù)據(jù)和日內(nèi)數(shù)據(jù)， 著重檢驗(yàn)信息內(nèi)容假 說(shuō) (Information Content Hypothesis) 和 財(cái) 富 再 分 配 假 說(shuō) (Wealth RedistributionHypothesis) 在中國(guó)股票市場(chǎng)的實(shí)證效果。 進(jìn)一步地， 根據(jù)股票 收益及波動(dòng)率對(duì)國(guó)內(nèi)信用評(píng)級(jí)機(jī)構(gòu)和國(guó)際信用評(píng)級(jí)機(jī)構(gòu)評(píng)級(jí)變化的不同反應(yīng)， 研 究?jī)深?lèi)評(píng)級(jí)機(jī)構(gòu)的信用評(píng)級(jí)變化對(duì)股票市場(chǎng)影響的差異。本文首先利用事件分析法分析債券評(píng)級(jí)變化對(duì)中國(guó)股票市場(chǎng)股票收益

4、的影 響，發(fā)現(xiàn)債券評(píng)級(jí)下調(diào)對(duì)股票收益有顯著的負(fù)面影響，而評(píng)級(jí)上調(diào)對(duì)股票收益 的作用并不明顯。其中，國(guó)內(nèi)信用評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)變化比國(guó)際評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí) 變化對(duì)股票收益的影響更大。繼而，選取已實(shí)現(xiàn)波動(dòng)率 (Realized Volatility) 為衡量股價(jià)波動(dòng)率的指標(biāo)，對(duì) 82 支股票的信用評(píng)級(jí)變化進(jìn)行事件分析，發(fā)現(xiàn)國(guó) 內(nèi)及國(guó)際信用評(píng)級(jí)機(jī)構(gòu)的信用評(píng)級(jí)下調(diào)均會(huì)導(dǎo)致股票波動(dòng)率上升， 而國(guó)內(nèi)評(píng)級(jí)機(jī) 構(gòu)和國(guó)際評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)上調(diào)對(duì)股票波動(dòng)率的影響卻不一致。關(guān)鍵詞： 信用評(píng)級(jí)； 股票價(jià)格； 已實(shí)現(xiàn)波動(dòng)率AbstractCredit risk can be defined as the potential eco

5、nomic loss due to counterparty 'sfailures to meet its contractual obligation. Its effect can be measured by the reset cost of default. Credit rating agencies emerged in the early 20th century for the US railroad investment and now they issue a variety of ratings covering corporate bonds, individ

6、uals and even sovereign credits. Millions of investors rely on their independentand objective ratings to make investment decisions. According to BaselAccord II,credit rating is a key indicator for credit risk and companies with different credit ratings get different prices and economic capital weigh

7、ts. Therefore, the impact of credit rating changes is important both theoretically and practically.The influences of credit rating changes are divided into the influences on bonds and the related stocks. As the data is easier to get in stock market, literatures mainly focus on the impact of credit r

8、ating on stock market (Holthausen & Leftwich, 1986)28.In China's security markets, credit rating is playing an increasingly important role. However, the empirical research of impact of credit rating is still a blank area. This paper fills the gap by using daily data and intraday data to test

9、 the InformationContent Hypothesis and Wealth Redistribution Hypothesis.This paper utilizes the event study method and finds that creditrating downgrades have negative impact on stock returns. In contrast, the impact of credit rating upgrades is insignificant. Furthermore, credit rating changes from

10、 domestic credit rating agencies have larger impact on stock returns than changes from international rating agencies. Event study on realized volatility shows that credit rating downgrades of all credit rating agencies have a significant positive impact on theandvolatility of related stocks. However