投資人付費與發行人付費對信用評等之影響－以中國大陸公司債券為例

The Effect of Investor-pay and Issuer-pay on Credit Rating: An Example of China Corporate Bonds

林鴻儒(Hung-Ju Lin)

指導教授 ： 沈中華

國立臺灣大學/管理學院/財務金融學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.02584

摘要

本文根據萬得資訊和中債資訊提供的債券資料，以上市公司在證券交易所掛牌的中國大陸公司債券為樣本，中債資信評估責任有限公司做為投資人付費的代表，中國大陸其他信用評等機構做為發行人付費的代表，分析投資人付費模式和發行人付費模式對於信用評等高低的影響，並且研究投資人付費模式相較發行人付費模式是否有其他因素能夠更適合的解釋信用評等。先用成對樣本檢定對兩種付費方式進行檢定，並使用順序對數迴歸模型做為主要分析模型，最後利用鄒檢定對各模型的結果進行結構檢定。實證結果顯示，投資人付費的信用評等顯著低於發行人付費的信用評等。在財務特徵資料方面，投資人付費模式和發行人付費模式皆已經充分考慮公開財務資料。在債券特徵資料方面，投資人付費模式的債券發行量、債券距離到期時間和債券掛牌證券交易所都能更合理的解釋對於信用評等的影響。在公司特徵資料方面，投資人付費模式的政治關聯效果、公司治理效果和會計品質效果也都能更合理的解釋對於信用評等的影響。此外，根據鄒檢定的檢定結果，不論是財務特徵資料、債券特徵資料還是公司特徵資料，投資人付費模式和發行人付費模式對於信用評等分析模型的結構都存在顯著的差異。

關鍵字

投資人付費 ； 發行人付費 ； 信用評等 ； 中國大陸 ； 公司債券

並列摘要

This article analyzes the effect of investor-pay model and issuer-pay model on credit rating. The sample is China corporate bonds listed on securities exchange and the data come from Wind Information and China Credit Rating Corporation. Comparing the ratings issued by China Credit Rating Corporation which follows investor-pay model to those issued by the others rating agencies which adopt the issuer-pay model. First, we test the difference between investor-pay model and issuer-pay model by using Paired Sample Test. Second, we use Ordered Logistic Model to explain the ordinal scale credit rating. Third, we test the structure of the models by using Chow test. Our evidence shows that the credit rating of investor-pay is significantly lower than the credit rating of issuer-pay. In financial characteristic, both investor-pay model and issuer-pay model sufficiently included the public financial information. In bond characteristic, the volume, maturity and listed market of investor-pay can be more appropriate explanation on credit rating. In corporate characteristic, the political connection, corporate governance and audit quality can also be more appropriate explanation on credit rating. Besides, the structures of all models have significant difference.

並列關鍵字

Investor-pay ； Issuer-pay ； Credit Rating ； China ； Corporate Bond

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