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| Information Quality of Bank Credit Rating and Ex ante Discipline of Subordinated Debt |
| XU Youchuan
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| School of Economics, Fudan University |
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Abstract The paper studies the information content and information quality of bank credit rating and their reflections in the risk pricing or ex ante discipline of subordinated debt market. It shows the risk pricing of subordinated debt reflects bank credit rating, which partially embeds the implicit government bailout expectation and risk characteristics of issuer simultaneously. Compared with credit rating, the market measures of bank risk can more significantly explain the risk premium of subordinated debt issued by listed commercial banks, but the signs are opposite to the intrinsic requirement of market discipline. It indicates relevant investors not only don't constraint the risk-taking behavior of issuers, but may also encourage the greater risk-taking propensity of banks in the future. The study tends to support that it's unreasonable to attribute the lack of ex ante discipline of subordinated debt market to improper external credit rating and non-efficiency market which cannot provide valuable risk information or warning signals.
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Received: 28 October 2014
Published: 18 January 2018
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