浙江工商大学金融学院
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【钱塘金融学术论坛】第162期:Boosted Credit Ratings in China: The Effects of Credit Enhancement on Bond Pricing
发布日期:2020-07-16  供稿人:王芳芳   
 
题目: Boosted Credit Ratings in China: The Effects of Credit Enhancement on Bond Pricing
主讲人:高昊宇副教授
时间:2020-07-22 下午1:30-3:00
地点:钉钉会议(学院教工群)
摘要:

Bond rating can be significantly different from issuer rating. Using a comprehensive dataset of 7,626 enterprise bonds and corporate bonds issued between January 2009 and December 2019 in China, we find that 25.2% of bonds receive improved ratings at issuance in China and among them 96.6% used credit enhancement. The credit enhancement effectively lower debt spread and our results still hold after controlling for a variety of bond and issuer characteristics. We use the propensity score matching and instrumental variable analysis to control for the endogeneity of credit enhancement usage. We empirically identify the risk-reduction and the risk-sharing mechanism while preclude the information production and liquidity improvement mechanism. Our findings suggest an important role of credit enhancement vehicles in credit market. 


主讲人简介:

高昊宇博士,中国人民大学副教授,汉青经济与金融高级研究院金融系系主任,中国人民大学“杰出学者”青年学者,第5届中国科协“青年人才托举工程”入选人。曾在香港城市大学、南洋理工大学和美联储亚特兰大分储短期访问工作。研究兴趣主要集中在公司金融、金融中介与金融市场、债务违约和评级、中国资本市场等方面。代表性学术成果曾发表Review of Financial Studies (RFS), Journal of Financial and Quantitative Analysis (JFQA)、Journal of Financial Services Research (JFSR)、《金融研究》和《中国管理科学》等国内外金融管理领域核心刊物。他的论文还曾获得12届亚太金融市场年会(2017, 首尔)和31届亚洲金融学年会(2018, 东京)最佳论文奖。他的学术兼职有金融科技教育与研究50人论坛青年成员, 中国运筹学会金融工程与金融风险管理分会理事, 中国优选法统筹法与经济数学研究会量化金融与保险分会理事,美国金融学会会员和中国系统工程学会会员等。此外,他还主持一项国家自然科学基金项目。