CAJ | 학술논문

短期融资券是我国企业最重要的债券融资方式，如何解决其定价过程中的信息不对称难题是一个值得深入研究的议题。本文主要考察我国信用评级机构是否可以在短期融资券的定价中提供增量信息。我们以2007—2012年发行的短期融资券数据为样本，按Agarwal和Hauswald（2012）提出的方法度量信用评级机构的专有信息，研究发现，当信用评级机构提供的关于发行企业信用风险的专有信息比较正面时，短期融资券的利率更低，并且当企业规模较小时，二者的相关性更为显著。本文结果表明信用评级机构可以提供增量信息，并且当投资者与企业之间的信息不对称程度越高时该信息越有用。
단기융자권시아국기업최중요적채권융자방식，여하해결기정개과정중적신식불대칭난제시일개치득심입연구적의제。본문주요고찰아국신용평급궤구시부가이재단기융자권적정개중제공증량신식。아문이2007—2012년발행적단기융자권수거위양본，안Agarwal화Hauswald（2012）제출적방법도량신용평급궤구적전유신식，연구발현，당신용평급궤구제공적관우발행기업신용풍험적전유신식비교정면시，단기융자권적리솔경저，병차당기업규모교소시，이자적상관성경위현저。본문결과표명신용평급궤구가이제공증량신식，병차당투자자여기업지간적신식불대칭정도월고시해신식월유용。
Short-term financing bond is the most significant means of bond financing for Chinese enterprises. Under this circumstance, how to solve the information asymmetry when pricing is definitely worth exploring. This paper mainly makes research on whether Chinese credit rating agencies can offer incremental information in the process of pricing short-term financing bond. Based on the sample of the short-term financing bonds issued from 2007 to 2012 and according to the method provided by Agarwal and Hauswald（2012）, we measure the proprietary information of credit rating agencies. The study finds that interest rates of short-term financing bonds turn lower when credit rating agencies provide positive information regarding to the proprietary information about issuing enterprise credit risk. Furthermore, the correlation between the positive information and the interest rate of short-term financing bond becomes much more notable when the scale of the enterprise is small. The conclusion shows that credit rating agencies can provide incremental information, which becomes more useful when the extent of investor-enterprise asymmetry is high.