摘要
本文以2008—2019年A股上市公司为研究样本,实证检验了企业信用评级与股票错误定价之间的关系。研究发现,具有信用评级和高信用评级的公司股票错误定价水平较低;金融脱媒、产权性质与企业战略差异度显著影响信用评级作用的发挥。具体而言,信用评级在金融脱媒程度较高的宏观环境下、产权性质为国有以及战略差异度较大的企业中对股票错误定价的缓解作用更为显著。作用机制分析表明,企业信用评级具有信息效应和监督效应,通过缓解信息不对称和降低盈余管理,修正了股价偏离价值的程度;信用评级等级则是通过提高投资者关注和降低企业融资约束缓解了股票错误定价。研究结论有助于投资者更好地理解信用评级在资本市场发挥的作用,也为信用评级监管提供了理论证据。
This study investigate the prominent role of credit ratings in stock market and the relationship between credit ratings and stock mispricing.With data collected from 20082019 A-share listed companies of China,our study showed that companies with either credit ratings or high credit ratings have comparatively less stock mispricing.Further,the effect of credit rating in mitigating stock mispricing is found to be associated with the company s macro-background of financial disintermediation,the nature of property and the diversity of strategies.The former is magnified when enterprises are of high financial disintermediation,state-owned property.Mechanism analysis suggested an information effect and a supervision effect of credit rating,which corrects the deviation of stock price from the value through reducing information asymmetry and alleviating earnings management.Moreover,the level of credit rating may also contribute to correct stock mispricing as it notifies investors and alleviates corporate financing constraints.Our conclusion provides guidance to investors in understanding the role of credit rating in capital market,as well as theoretical evidence for credit rating supervision.
作者
王生年
牛慧君
聂晓
WANG Sheng-nian;NIU Hui-jun;NIE Xiao
出处
《中央财经大学学报》
CSSCI
北大核心
2022年第3期27-44,共18页
Journal of Central University of Finance & Economics
基金
国家自然科学基金项目“分析师关注与资产定价效率——基于会计异象的视角”(项目编号:71862029)
国家自然科学基金项目“基于行为金融与信息不对称视角的资产误定价研究”(项目编号:71562029)。
关键词
信用评级
股票错误定价
信息效应
监督效应
Credit rating
Stock mispricing
Information effect
Monitoring effect
