Credit Rating, Rating Agent Heterogeneity and Bond Spread
QU Guang-yu1,LIANG Zhu2
1.School of Economics and Management, Wuhan University, Wuhan 430072, China ; 2.Fixed Income Department, GuangZhou Securities Ltd, Guangzhou 510623,China
Abstract：
The paper selects 384 unguaranteed fixed-rate non-financial corporate bonds issued from in January 2011 to April 2013 to examine the impact of credit rating on the bond spreads. Empirical studies find that the issuer’s financial information and credit ratings could significantly explain bond spreads; in the sample of Dagong, Lianhe and Zhongchengxin, after peeling the financial information in the credit rating, the credit rating has significant incremental explanatory power on the bond spreads, while Pengyuan credit rating does not. This reflects the heterogeneity among rating agencies, which means one cannot regard the same rating rated by the different rating agency as the same. The findings of the paper have important implications for the bond market investors.
2016 
