Summary:
The centralized default in China's bond market has aroused widespread concerns about China's credit rating market. The academia has a serious debate about the information effects of credit rating. Some believe that the credit rating hasn't showed the information function correspondingly, while others think that the credit rating has certain information effects. Based on the inconsistent conclusions of the existing research related to the information effects of credit rating, this paper will study three questions below: Firstly, from the total amount of information, whether credit rating has an incremental contribution to the total amount of market information; secondly, from the quality of market information, whether the credit rating has an impact on the information quality; thirdly, what is the relationship between credit rating agencies and analysts and is it an alternative relationship or a complementary relationship？ In order to analyze the above three issues, this paper chooses the perspective of analysts' forecasts to test. The reasons for choosing this perspective are as following: Firstly, using the analysts' forecast performance (analysts' prediction accuracy and divergence) to measure the market information environment is based on the efficient market hypothesis. Under this hypothesis, the analysts' prediction accuracy is influenced by total amount information in the market. Therefore, analysts' predicting performance can be used to measure the level of market information environment. Secondly,as two information intermediaries in the capital market, credit rating agencies' and analysts' concerns about corporate information may be different under the limited attention hypothesis. Credit rating agencies focus on corporate asset repayment ability and corporate risk level, while stock analysts pay main attention to corporate profitability, future development opportunities and so on. The information provided by credit rating agencies and stock analysts can complete each other and improve their own information sets. Therefore, exploring whether credit rating agencies and analysts pay attention to corporate information differently will help us further understand the alternative or complementary relationship among market information intermediaries. Thirdly, up to now, the number of corporate bond default samples in China's bond market is less than 50, which limits us to directly test the information content of credit rating from the perspective of predictive ability. However, under the information efficiency market hypothesis, analysts can use the credit rating information to predict. Therefore, the credit rating information will affect the analysts' forecasting behavior, and then whether the credit rating has information effects can be checked. The results of this paper show that: Firstly, credit rating can significantly improve analysts' forecasts accuracy, reduce their prediction divergence and optimistic bias and this effect is more pronounced in companies with high information asymmetry or trached by low-capacity analysts and in foreign-invested rating agencies.This manifests that credit rating provides analysts with new information without compromising the informatim quality; Secondly, by dividing the analysts' forecast information into public and private information, we directly test and come to a conclusion that the credit rating can only increase the public information used by the analysts' forecasts, but has no significant impact on the private information. By conducting further analysis, we find that credit rating does not affect analysts' investigating behavior, either. These above conclusions indicate that the disclosure of credit rating information does not affect the private information advantage that analysts have, and the relationship between credit rating agencies and analysts is complementary, rather than substituted. This study has some inspirations both in theory and in practice. Firstly, strengthening the supervision of credit ratings can improve market information environment and increase the total amount of analysts' forecast information, which provides corresponding evidence for the existence of credit rating information effects. Secondly, as two information intermediaries in the market, credit rating agencies and analysts are not substitutes but complementary because of their different concerns in corporate information. Therefore, the government regulatory authorities should strengthen the construction of these market information intermediaries' function in order to promote the realization of the information efficient market. Thirdly, due to the information effect of credit rating, the regulatory authorities should strengthen the supervision of rating agencies to further ensure the functionality of rating information.
林晚发, 赵仲匡, 刘颖斐, 宋敏. 债券市场的评级信息能改善股票市场信息环境吗？ ——来自分析师预测的证据[J]. 金融研究, 2020, 478(4): 166-185.
LIN Wanfa, ZHAO Zhongkuang, LIU Yingfei, SONG Min. Can Rating Information of Bond Market Improve Stock Market Information Quality？Evidence from Analysts' Forecasts. Journal of Financial Research, 2020, 478(4): 166-185.
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