光华讲坛

主题：重塑债券市场守夜人：卖空与信用评级质量

题目：Strengthening the night watch in the bond market: The impact of short sales on credit rating quality

主讲人：孟庆斌，经济学博士，中国人民大学商学院教授

主持人：高升好，管理学博士，副教授，西南财经大学 会计学院

时间：2021年 11月 30日 上午 10:00-11:30

举办地点：腾讯会议 932690059

主办单位：会计学院

主讲人简介：孟庆斌，中国人民大学商学院财务金融系教授，博士生导师。主要研究方向为资本市场与公司财务。到目前为止在国内外期刊发表和接收论文60篇，其中包括European Journal of Operational Research、Journal of Corporate Finance、Journal of Empirical Finance、Journal of Financial Markets、Quantitative Finance、SIAM Journal on Control and Optimization等国际期刊（SSCI、SCI）20余篇，《经济研究》《管理世界》《经济学（季刊）》《管理科学学报》等国内期刊30余篇，出版专著3部。长期以来在中国人民大学讲授《证券投资学》、《金融衍生工具》等课程。

内容简介：

Abstract: We investigate the impact of short sales on credit rating quality, using a sample of Chinese credit rating agencies’ (CRAs’) rating announcements and A-share listed firms from 2010 to 2019. Our findings suggest that when a firm’s abnormal short sales increase, CRAs are more likely to downgrade a firm’s credit rating. Moreover, the downgraded rating better predicts bond yields and CRAs downgrade the credit rating promptly as default risk rises. These results indicate that short sales alleviate CRAs’rating inflation and accelerate their response to the rising default risk, thus improving rating quality. Additional analyses show that (1) short sales’ impact on credit rating downgrade is more stringent for CRAs with higher conflicts of interest and firms with lower information transparency, confirming that short sales improve the rating quality by mitigating CRAs’ conflicts of interest and optimism bias; (2) short sales contribute more to credit rating downgrade when rating shopping is more likely to happen, meaning that short sales discourage such shopping; and (3) firms’ credit ratings after short sales deregulation are lower overall than those before short sales deregulation, further corroborate short sales improve rating quality. Our study provides new insights into the impact of short sales on restraining CRAs’ misconduct and offers valuable lessons to other emerging markets.

摘要：本文以2010年至2019年的A股上市公司和相应债券评级机构的评级公告为样本，研究了卖空对债券信用评级质量的影响。我们发现当上市公司的超额卖空数量上升的时候，国内信用评级机构更有可能降低该公司的信用评级。进一步地，下调后的信用评级对债券收益率的预测能力上升；当违约风险上升的时候，信用评级下降也更加及时。上述结果说明卖空有助于缓解信用评级虚高，加快评级机构对违约风险的响应速度，进而提高信用评级质量。在拓展性检验中，我们发现：（1）卖空数量对信用评级下调的影响在信用评级机构利益冲突更加严重或者上市公司信息质量更差的时候更加明显，与卖空通过缓解信用评级机构的利益冲突和乐观偏差来提高评级质量一致；（2）卖空数量对信用评级下调的影响在评级购买更有可能发生时更加明显，这说明卖空有助于约束评级购买行为；（3）卖空管制放松以后，上市公司信用评级整体出现下降，进一步说明卖空提高了信用评级质量。我们的研究为卖空有助于约束信用评级机构的不当行为提供了新的经验证据，对其他新兴市场也具有一定的借鉴意义。