本文分析了截止2019年的中国发债公司主体评级特征，并与标准普尔（S&P）北美及全球主体评级做出了对比。与S&P评级截然相反，我国发债公司主体评级偏高，且随时间明显变高；评级上调多于下调，且对违约预警差，断崖式下调多。本文的研究表明，评级偏高与企业基本面并不相符，而是评级标准大幅放松所致：在控制发行人基本面特征后，发行人付费模式下的公司主体信用评级标准，2019年较2006年放松了1.4至1.7级（AA至AA+为1级），而同期投资者付费主体信用评级以及S&P评级均明显变严。发行人付费模式下，评级与审慎监管挂钩能够解释评级标准的变松。由于我国评级标准变动情况情况与国际市场完全相反（Baghai等，2014；Hung等，2019），因而本文得以检验Goldstein和Huang（2020）关于评级标准放松及其经济后果的理论。与理论相一致，获得虚高评级后，发债公司的债券融资成本显著下降；评级标准放松程度越高的公司更可能发债，净发债规模更高，负债率也更高。与理论不一致的是，评级放松程度更高的公司投资水平显著更低。基于发债资金用途的文本分析表明，评级放松程度越高的公司更可能发债来“补充资金”和“偿还债务”，而更不可能发债来“投资项目”。进一步的分析表明，评级放松程度更高的公司财务情况更为紧张，违约风险更高，盈利能力更差，且承担更高经营风险。本文的结果表明，评级标准放松对实体经济的负面影响并非由企业投资高风险项目所致，而是潜在的债务展期风险和信用风险（He和Xiong，2012）。为了解标准放松后的评级反应何种程度的信用风险，本文利用S&P评级的实际违约率和使用动态逻辑回归估计得到的违约概率，为国内评级与S&P评级建立了匹配关系。从违约概率中位数来看，国内AAA，AA和A评级分别对应S&P的BB+，BB和BB-评级，表明国内评级严重低估了信用风险。基于违约概率隐含的S&P评级具有应用价值，其在违约预警上表现强于国内评级；在控制国内评级后，仍能用于解释公司债、企业债信用利差。
We investigate the characteristics of Chinese issuer ratings as of 2019, in comparison with S&P ratings. Different from S&P ratings, the Chinese domestic ratings cluster within a few highest grades, become higher gradually over time, have more upgrades than downgrades, and perform poorly in detecting default. The highly clustered ratings in China are not justified by firm fundamentals, but a result of relaxing rating standards: holding firm fundamentals constant, rating standards of the issuer-pays rating agencies have loosened by 1.4 to 1.7 notch (AA to AA+ equals one notch) on average during 2006 to 2019. In contrast, both domestic investor-pays ratings and S&P ratings have tightened. Under the issuer-pays rating business model, rating-contingent regulations play prominent roles in explaining the loosening rating standards.We use the unique Chinese rating settings to examine the theory of Goldstein and Huang (2020) on laxer rating standards and their real effects. Consistent with the theory, laxer rating standards partially reduce the bond issuance cost. Firms with laxer rating standards are more likely to issue bonds, increase net bond issuance, and have higher leverage. Inconsistent with the theory, firms with laxer rating standards have significantly lower investment levels. We conduct textual analysis of the bond prospectus and find that firms with laxer rating standards are more likely to issue bonds for “Cash” or “Debt Rollover” purpose rather than “Investment”. Further evidence shows that firms with laxer rating standards are more financially distressed and are more likely to default. These firms have poorer performances and take more risk. Our findings suggest that laxer rating standards have negative economic outcomes from the potential rollover risk and default risk (He and Xiong, 2012).To understand what level of credit risk does the Chinese domestic ratings reflect, we establish a mapping between Chinese domestic ratings and S&P global ratings by matching firms' probability of default estimated using a dynamic logit model with the actual default rates of S&P ratings. The domestic AAA, AA, and A correspond to S&P BB+, BB, and BB- by median default probability, suggesting that Chinese domestic ratings are significantly inflated in the light of commonly accepted S&P rating standards. The default probability-implied ratings outperform the conventional ratings in predicting default and complement the latter explaining corporate bond yield spreads.
