报告人：方红艳
时间：2021年6月11日上午9: 00 -11: 00
地点：信息楼405
【内容摘要】
We examine the influence of implicit government guarantees on the information content of credit ratings in China, guided by a theoretical credit rating game model in the presence of government guarantees. Using issuers’ controlling shareholder identity as the defining metric of implicit government guarantees, we document a less sensitive relationship between credit ratings and primary market offer yields for SOE bonds (i.e., bonds issued by firms controlled by government or government related agencies) than that between ratings and non-SOE bonds. Moreover, non-SOE ratings have a stronger predictive power on both future downgrades and a market-based measure of issuers’ expected default probability than SOE ratings. These results hold after accounting for the potential association between controlling shareholder identity per se and bond prices or default risk, and are also robust to alternative interpretation that investors may have lower information requirement on SOE ratings. Taken together, our empirical findings are consistent with the model’s prediction that government guarantees can dampen the incentives for credit rating agencies to acquire costly information, thus lowering the equilibrium informativeness of ratings for SOE bonds.
