成本粘性、信用评级与债券信用利差

2016年债券市场的集中违约严重损害了债权人的权益,债权人开始对信用评级功能与独立性产生了严重质疑.以经营杠杆为视角,利用2008—2016年中国债券市场上市公司发债数据,研究成本粘性对发行主体信用评级的影响,以此检验信用评级机构的独立性.研究结果表明,企业成本粘性越大,主体信用评级越低,即成本粘性风险效应会被评级机构所关注.进一步分析发现,成本粘性降低信用评级的作用在风险高的企业中更显著.另外,成本粘性的风险也会被投资者所关注,即成本粘性通过信用评级影响债券信用利差.文章也进一步证实了成本粘性主要通过增大企业资产波动率与会计信息风险来降低信用评级,研究结论对债券市场的监管者、上市公司与债权人有着一定的借鉴与启示.监管部门、信用评级机构与债权人应积极对企业成本粘性行为进行监督,从而保护债权人利益;上市公司应该努力提高公司治理机制,减少管理层基于自利行为的成本管理行为.

Cost Stickiness, Credit Rating and Bond Credit Spread

The centralized breach of contract in the bond market in 2016 severely damaged the rights of creditors,who began to seriously question the function and independence of credit rating. From the perspective of operating leverage,with the data of bond issuance in the listed companies on China's bond market during the period from 2008 to 2016, we study the effect of cost stickiness on the credit rating of issuers to verify the independence of credit rating agencies. The results of the study indicate that the greater the cost stickiness of the firm is,the lower the credit rating of the entity,i.e. the risk effect of cost stickiness will be identified by the rating agencies. The further analysis finds that the role of cost stickiness in reducing the credit rating is more sig-nificant in the companies with high risk. In addition, the risk of cost stickiness will be also of concern to investors, i.e. cost stickiness influences bond credit spreads through credit rating. This article further confirms that cost stickiness reduces credit rat-ing mainly by increasing the corporate asset volatility and the accounting information risk. The research conclusions have certain reference and enlightenment for the regulators,the listed companies and the creditors on the bond market. The regulators,credit rating agencies and creditors should actively supervise the cost stickiness behavior of the company to protect the interests of credi-tors. The listed companies should strive to improve corporate governance mechanism and reduce the cost management behavior of management based on self-interest.