中國企業信用評等決定因素：以新華遠東為例

Abstract

中國境內的信評機構所提供的評等有普遍過高的現象，因此機構投資人或銀行等市場上的專業機構往往不認為中國信評機構所提供的評等能真實反應受評標的之信用品質。然而，在「評級通膨」普遍的市場中，新華遠東所公布的中國上市企業信用評等為唯一最接近國際評比標準的評等，較被市場所接受。本研究試圖利用 Ordered Probit 模型找出中國上市的非金融業之信用評等的決定因素，探討新華遠東所公布的企業長期債務信用評等與利息保障倍數、獲利能力指標、財務槓桿指標、債務保障比率四項財務比率和系統性風險指標的關聯性。實證結果發現，利息保障倍數、獲利能力指標與債務保障比率越高，企業越容易得到較高評等；財務槓桿指標與系統性風險指標越高，企業則越容易得到較低評等。與美國和澳洲經驗不同的是，在四項財務指標中，獲利能力指標對中國企業的評等高低影響程度最大，而利息保障倍數對評等高低的影響程度則最小。

Credit rating agencies (CRAs) in China tend to provide ratings that are higher than what they are supposed to be, so institutional investors and banks do not expect those credit ratings to reveal the real credit quality of the respective rating targets. However, due to the high rating standard that is close to the international ones, Xinhua Far East is an exception in the Chinese credit rating market, which is deemed to have “rating inflation.” Therefore, the credit ratings provided by Xinhua Far East are considered meaningful in the financial market. This paper tried to find out the determinants of listed Chinese companies’ long-term debt ratings provided by Xinhua Far East with Ordered Probit model. Five explanatory variables were used in the model: the interest coverage ratio, profitability, financial leverage, the debt coverage ratio, and the systematic risk indicator. The result showed that the long-term debt rating tends to be higher with higher interest coverage ratio, profitability, and debt coverage ratio; the rating tends to be lower with higher financial leverage and systematic risk. It also showed that profitability plays the most important role in determining the long-term debt credit rating and the interest coverage ratio is the least important one among the four financial indicators, which is different from the results of the previous studies on the credit rating determinants of companies in the U.S. and Australia.