The Impact of Credit Rating Adjustment on Credit Spread of Medium-Term Notes ——An Empirical Analysis Based on Panal Data of Medium-Term Notes in Chinese Banks
ZHANG Yan-hong, LI Ya-ping, HUANG Ze-min
Department of Finance, East China Normal University, Shanghai 200241, China
Abstract：
Taking as samples medium-term notes that underwent credit rating adjustment between January of 2012 and July of 2016, this paper empirically examined the influence of credit rating adjustments on credit spread of medium-term notes. The empirical results show that compared with investors, credit rating agencies can obtain more effective information during the rating procedure, but tend to overrate bond issuers for their own interests. Downgrading of bond issuers from credit rating agencies lag behind the one from the market, while upgrading come immediately from the agencies when the bond issuers credit improves. Investors tend to overreact to credit downgrading of issuers, but are quite slow to their credit upgrading. As more and more information about bond issuers is collected, investors’ understanding of issuers credit risks will gradually move towards that from credit rating agencies.
ZHANG Yan-hong, LI Ya-ping, HUANG Ze-min.The Impact of Credit Rating Adjustment on Credit Spread of Medium-Term Notes ——An Empirical Analysis Based on Panal Data of Medium-Term Notes in Chinese Banks[J] Economic Survey, 2018,V35(2): 135-142
2018 
