| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 107 === In recent years, the bond market in mainland China has been very prosperous. With the continuous development of bond scale, the problem of default has become increasingly prominent. The importance and limitations of the rating industry have also received more attention. Compared with issuer-paid rating agencies, China Bond Rating Co., Ltd.(CBR) , a investor-paid rating agency, has lower rating and higher rating differentiation, which has attracted market attention. It also triggers a discussion on the impact of the investor-paid rating on the existing issuer-paid rating.
This paper uses the cumulative abnormal return (CAR) to measure the degree of response to the appeal issue, and selects the data of the initial rating of CBR, the rating changes of CBR and the changes of issuer-paid rating from 2008 to 2018 to test the degree of market response to the rating announcements. The greater market reaction indicates that rating changes contain more information that has not been impounded in the market, suggests the rating's higher information content. Empirical results show that with the help of coverage of CBR, downgrades of issuer-paid rating are associated with a more negative CAR, suggests that issuer-paid rating have higher information content following CBR's coverage. But this finding has not been confirmed in the issuer-paid rating upgrades. The coverage of investor-paid rating can improve the information content in the downgrades of issuer-paid rating, but this promotion is not symmetrical, which also reflects that the coverage of investor-paid rating enhances the reputation concerns of issuer-paid rating agencies.
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