环境信息透明度与企业信用评级——基于债券评级市场的经验证据
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摘要
基于2008至2015年期间公司债券发行主体的信用评级数据和手工收集的上市公司环境信息数据,本文研究了环境信息透明度对企业信用评级的影响。研究结果显示,公司获得高信用评级的概率与其环境信息透明度显著正相关;环境信息传递出公司的特质风险、盈余持续性以及盈余质量等信息,从而影响评级决策。进一步研究发现,环境信息透明度与企业信用评级之间的正相关关系在内部控制质量高、具有高质量外部审计的公司中更显著。采用工具变量两阶段回归方法、公司固定效应模型以及倾向得分配对方法控制内生性后,上述结论依然成立。此外,本文发现环境信息透明度可通过影响企业信用评级降低公司的债券融资成本,环境信息透明度对企业信用评级和债券融资成本的影响在污染行业中显著更强。上述研究发现有助于拓展环境信息披露对市场中介行为影响的相关研究,对认识非财务信息在资本市场中的作用和推进节能减排提供了重要参考。
Previous studies pay much attention to the impacts of corporate environmental information on firm value,the cost of capital,and firm risk. Nevertheless,there is little evidence regarding whether corporate environmental information affects the decision-making process of market intermediaries. Moreover,in China,environmental governance has attracted increasing attention from practitioners,the government,and the public.And they wish to figure out the mechanism of the relationship between environmental information and firm value. In response, this study investigates whether environmental information disclosures convey value information to investors via the conduit of rating agencies.We have several reasons for predicting a positive association between environmental information transparency and corporate credit ratings. In general,transparent environmental information plays an important role in signaling superior environmental performance,which may be conducive to reducing litigation risks and avoiding regulations. Clearly,litigation risks and regulations are more likely to result in many uncertainties,such as fines,compensations,mandatory close,rectification,and administrative sanction,which may lead to a downward shift in the mean of expected cash flows and/or an increase in the variance of expected cash flows and thus may increase the risk that a firm cannot pay off debts. Moreover,according to the consistency theory,managers with environmental responsibility usually are honest and trustworthy and thus are less likely to conduct opportunistic behavior, which may increase agency costs. Accordingly, we predict that environmental information transparency is associated with an increase in the likelihood of upgrading corporate ratings.To test above prediction, we construct an index to measure corporate environmental information transparency and hand-collect data from annual reports,CSR standalone reports or/and other sources such as corporate websites. We obtain data about corporate credit ratings from the China Stock Market Accounting Research( CSMAR) database. Data about ownership,financial performance,corporate characteristics,capital structure,and stock returns are also collected from CSMAR database. In this study,all continuous variables are winsorized at the top and bottom 1% of their distributions.Using a sample of Chinese listed firms over the period of 2008-2015,we find that environmental information transparency is significantly associated with upgrading corporate credit ratings and environmental information affects rating decisions by conveying the information about idiosyncratic risk,earnings persistence,and earnings quality. Moreover, we find that the positive association between environmental information transparency and corporate credit ratings is more pronounced for firms with superior internal control( high-quality auditing) than for their counterparts. Above results are still valid with several robustness checks,including controlling for the endogeneity issue between environmental information transparency and corporate credit ratings by adopting two-stage instrumental variable regression method,firm-level fixed effects model,and propensity score matching method. In the additional tests, we show that environmental information transparency can reduce the cost of bond financing through the conduit of upgrading credit ratings and the effects of environmental information transparency on corporate credit ratings and the cost of bond financing are more pronounced for firms in polluting industries than for their counterparts.Our study contributes the existing literature in several ways. First,this study adds to the extant literature about the determinates of credit ratings and provides an important reference for understanding the roles of environmental information in bond markets and how nonfinancial information influences investors' decision-making. Second, our study adds a novel insight to prior literature about economic consequences of environmental information disclosure. Third, we extend previous studies about the impacts of corporate governance on credit ratings by revealing a reinforcement effect between internal control( high-quality auditing) and environmental information transparency. Fourth,the existing literature about bond pricing can benefit from our findings by addressing how environmental information affects the cost of bond financing through credit ratings. Finally, our findings contribute to previous studies by showing the asymmetry effects of environmental information transparency on credit ratings and bond pricing between polluting and non-polluting industries.This study has several implications. First, regulators should take actions to improve the laws and regulations about environmental information disclosure. Second,the government should consider the role of environmental information in capital markets to guide environmental conservation. Third,practitioners should take advantage of the reinforcement effect between environmental information disclosure and corporate governance to improve environmental governance. Finally, managers and investors should improve communications with market intermediaries.Certainly,there exist several limitations in this study. First,environmental information transparency index is built on voluntary information disclosure,which may lead to sample selection bias. Second,this study covers the sample period of 2008-2015,and thus scholars can extend the sample period to further examine the validity of our findings. Finally,our findings are valid for listed companies. Scholars may provide additional evidence to address whether above findings still hold for non-listed companies.
Previous studies pay much attention to the impacts of corporate environmental information on firm value,the cost of capital,and firm risk. Nevertheless,there is little evidence regarding whether corporate environmental information affects the decision-making process of market intermediaries. Moreover,in China,environmental governance has attracted increasing attention from practitioners,the government,and the public.And they wish to figure out the mechanism of the relationship between environmental information and firm value. In response, this study investigates whether environmental information disclosures convey value information to investors via the conduit of rating agencies.We have several reasons for predicting a positive association between environmental information transparency and corporate credit ratings. In general,transparent environmental information plays an important role in signaling superior environmental performance,which may be conducive to reducing litigation risks and avoiding regulations. Clearly,litigation risks and regulations are more likely to result in many uncertainties,such as fines,compensations,mandatory close,rectification,and administrative sanction,which may lead to a downward shift in the mean of expected cash flows and/or an increase in the variance of expected cash flows and thus may increase the risk that a firm cannot pay off debts. Moreover,according to the consistency theory,managers with environmental responsibility usually are honest and trustworthy and thus are less likely to conduct opportunistic behavior, which may increase agency costs. Accordingly, we predict that environmental information transparency is associated with an increase in the likelihood of upgrading corporate ratings.To test above prediction, we construct an index to measure corporate environmental information transparency and hand-collect data from annual reports,CSR standalone reports or/and other sources such as corporate websites. We obtain data about corporate credit ratings from the China Stock Market Accounting Research( CSMAR) database. Data about ownership,financial performance,corporate characteristics,capital structure,and stock returns are also collected from CSMAR database. In this study,all continuous variables are winsorized at the top and bottom 1% of their distributions.Using a sample of Chinese listed firms over the period of 2008-2015,we find that environmental information transparency is significantly associated with upgrading corporate credit ratings and environmental information affects rating decisions by conveying the information about idiosyncratic risk,earnings persistence,and earnings quality. Moreover, we find that the positive association between environmental information transparency and corporate credit ratings is more pronounced for firms with superior internal control( high-quality auditing) than for their counterparts. Above results are still valid with several robustness checks,including controlling for the endogeneity issue between environmental information transparency and corporate credit ratings by adopting two-stage instrumental variable regression method,firm-level fixed effects model,and propensity score matching method. In the additional tests, we show that environmental information transparency can reduce the cost of bond financing through the conduit of upgrading credit ratings and the effects of environmental information transparency on corporate credit ratings and the cost of bond financing are more pronounced for firms in polluting industries than for their counterparts.Our study contributes the existing literature in several ways. First,this study adds to the extant literature about the determinates of credit ratings and provides an important reference for understanding the roles of environmental information in bond markets and how nonfinancial information influences investors' decision-making. Second, our study adds a novel insight to prior literature about economic consequences of environmental information disclosure. Third, we extend previous studies about the impacts of corporate governance on credit ratings by revealing a reinforcement effect between internal control( high-quality auditing) and environmental information transparency. Fourth,the existing literature about bond pricing can benefit from our findings by addressing how environmental information affects the cost of bond financing through credit ratings. Finally, our findings contribute to previous studies by showing the asymmetry effects of environmental information transparency on credit ratings and bond pricing between polluting and non-polluting industries.This study has several implications. First, regulators should take actions to improve the laws and regulations about environmental information disclosure. Second,the government should consider the role of environmental information in capital markets to guide environmental conservation. Third,practitioners should take advantage of the reinforcement effect between environmental information disclosure and corporate governance to improve environmental governance. Finally, managers and investors should improve communications with market intermediaries.Certainly,there exist several limitations in this study. First,environmental information transparency index is built on voluntary information disclosure,which may lead to sample selection bias. Second,this study covers the sample period of 2008-2015,and thus scholars can extend the sample period to further examine the validity of our findings. Finally,our findings are valid for listed companies. Scholars may provide additional evidence to address whether above findings still hold for non-listed companies.
引文
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[3]陈超和李鎔伊,2013,《审计能否提高公司债券的信用评级》.《审计研究》第3期,第59~66页。
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1详细内容请参看:http://fiinance.sina.com.cn/money/bond/market/2017-10-12/doc-ifymviyp0360355.shtml.
2据统计,本文样本中超过80%的公司获得了AA级及以上等级的信用评级。
1 Zyglidopoulos et al.(2012)指出,企业社会责任强项(CSR-Strengths)是指那些能向利益相关者提供额外收益的社会责任,这些收益超出」了法律和经济利益的基本要求;企业社会责任弱项(CSR-Weaknesses)是指那些可以减轻公司行为带给各利益相关者的负外部性的社会责任。慈善捐赠、提升员工福利属于典型的企业社会责任强项,而环境保护则是典型的企业社会责任弱项。
2 Zyglidopoulos et al.(2012,p1623)指出社会责任的强项与弱项之间最显著的差异在于执行的灵活度和成本。例如,企业可以选择捐赠的方式、金额以及对象,这意味着企业对外提供了额外的产品,因而具有较高的自由度和更低的成本。然而,企业履行环境责任则必须关注现有活动产生的负外部性本身。例如,若某企业由于有毒物质排放而污染了环境,则其降低社会责任弱项的途径只能限定在控制并降低这些有毒物质的排放上。此外,环境治理涉及企业的管理、研发、生产和营销等多个运营环节,取得成效需要一定的过程,执行成本通常较高。
1在我国,企业信用评级的中枢较高,评级集中在AA区间,而欧美国家的评级中枢则在BBB区间。因此,与Ashbaugh-Skaife etal.(2006)和Alalietal.(2012)的做法不同,本文设置虚拟变量的阀值为AAA级。样本中企业信用评级的分布情况如下:AAA级的比例约为16.51%,AA+、AA、AA-的比例合计约为80.07%,其他等级的比例合计约为3. 42%。此外,本文设置新评级虚拟变量,当企业信用评级为AAA、AA+级(大于但不等于AA级)则赋值1,否则赋值0。采用该虚拟变量作为被解释变量,重新检验本文假设,回归结果与正文结果保持一致。
1周超额收益等于股票周收益减去预期周收益。本文采用市场模型R=α+βRM+ζ估算预期周收益,其中R表示公司股票的周收益,RM表示等权市场周收益。
2 Zmijewski得分用于衡量公司破产的可能性,数值越大破产的可能性越高。根据Zmijewski(1984),ZMIJ=-4.336-4.513×(净利润/总资产)+5.679×(总负债/总资产)-0.004×(流动资产/流动负债)。参考Choi et al.(2012)的做法,本文将ZMIJ缩尾在-5至+5的区间。
1评分框架包括与环境相关的公司治理与管理系统、可信度、环境绩效指标、有关环保的支出、远景及战略声明、环保概况、以及环保倡议等七大维度,每一维度又分为若干小项,共计45个小项,涵盖了治理、可信度、排放、投资、倡议等方面的内容,既有定性的指标又包括定量的指标。限于篇幅,未在正文中报告。
1具体地,当信用评级等于或低于CCC时取值为0,当信用评级为BB时取值为1,当信用评级为BBB时取值为
2,当信用评级为BBB+时取值为3,当信用评级为A时取值为4,当信用评级为A+时取值为5,当信用评级为AA-时取值为6,当信用评级为AA时取值为7,当信用评级为AA+时取值为8,当信用评级为AAA时取值为9。请注意本文样本中仅出现上述信用等级。
1数据来源于公众与环境研究中心网站http://www.ipe.org.cn/。限于篇幅,文中未报告回归结果。第一阶段回归结果显示,变量PITI的系数显著为正(系数=0. 0420,t=3.30),表明政府对环境信息披露的监管越强,企业的环境信息披露透明度越高。
2本文搜集了2008至2015年期间上市公司发行债券的数据,其中包括发行债券的期限、规模、到期收益率、面值、票面利率、还本付息方式、支付现金流等。该数据来源于锐思(RESSET)数据库。变量YTMADJ的均值约为3.5738,表明样本公司经调整的债券到期收益率为3. 5738%;变量TICADJ的均值约为3.6950,表明样本公司经调整后的债券真实利息成本为3. 6950%。
[2]毕茜、彭珏和左永彦,2012,《环境信息披露制度、公司治理和环境信息披露》,《会计研究》第7期,第39~47页。
[3]陈超和李鎔伊,2013,《审计能否提高公司债券的信用评级》.《审计研究》第3期,第59~66页。
[4]何平和金梦,2010,《信用评级在中国债券市场的影响力》,《金融研究》第4期,第15~28页。
[5]寇宗来、盘宇章和刘学悦,2015,《中国的信用评级真的影响发债成本吗?》,《金融研究》第10期,第81~98页。
[6]汤亚莉、陈自力、刘星和李文红,2006,《我国上市公司环境信息披露状况及影响因素的实证研究》,《管理世界》第1期,第158~159页。
[7]吴红军,2014,《环境信息披露、环境绩效与权益资本成本》,《厦门大学学报(哲学社会科学版)》第3期,第129~138页。
[8]杨有红和毛新述,2011,《内部控制、财务报告质量与投资者保护--来自沪市上市公司的经验证据》,《财贸经济》第8期,第44~50页。
[9]Alali,F.,A.Anandarajan and W.Jiang,2012,“The Effect of Corporate Governance on Firm's Credit Ratings:Further Evidence Using Governance Score in the United States”,Accounting&Finance,52(2),pp.291~312.
[10]Al-Tuwaijri,S.A.,T.E.Christensen and K.E.Hughes,2004,“The Relations Among Environmental Disclosure,Environmental Performance,and Economic Performance:A Simultaneous Equations Approach”,Accounting,Organizations and Society,29(5),pp.447~471.
[11]Amir,E.and B.Lev,1996,“Value-Relevance of Nonfinancial Information:The Wireless Communications Industry”,Journal of Accounting and Economics,22(1),pp.3~30.
[12]Arens,A.A.,R.J.Elder and B.Mark,2012,Auditing and Assurance Services:An Integrated Approach.Boston:Prentice Hall.
[13]Ashbaugh-Skaife,H.,D.W.Collins and R.La Fond,2006,“The Effects of Corporate Governance on Firms'Credit Ratings”,Journal of Accounting and Economics,42(1),pp.203~243.
[14]Ashbaugh-Skaife,H.,D.W.Collins and R.La Fond,2009,“The Effect of SOX Internal Control Deficiencies on Firm Risk and Cost of Equity”,Journal of Accounting Research,47(1),pp.1~43.
[15]Atwood,T.J.,M.S.Drake and L.A.Myers,2010,“Book-tax Conformity,Earnings Persistence and the Association between Earnings and Future Cash Flows”,Journal of Accounting and Economics,50(1),pp.111~125.
[16]Bae,K.H.,K.Chan and A.Ng,2004,“Investibility and Return Volatility”,Journal of Financial Economics,71(2),pp.239~263.
[17]Ball,R.and L.Shivakumar,2006,“The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition”,Journal of Accounting Research,44(2),pp.207~242.
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1详细内容请参看:http://fiinance.sina.com.cn/money/bond/market/2017-10-12/doc-ifymviyp0360355.shtml.
2据统计,本文样本中超过80%的公司获得了AA级及以上等级的信用评级。
1 Zyglidopoulos et al.(2012)指出,企业社会责任强项(CSR-Strengths)是指那些能向利益相关者提供额外收益的社会责任,这些收益超出」了法律和经济利益的基本要求;企业社会责任弱项(CSR-Weaknesses)是指那些可以减轻公司行为带给各利益相关者的负外部性的社会责任。慈善捐赠、提升员工福利属于典型的企业社会责任强项,而环境保护则是典型的企业社会责任弱项。
2 Zyglidopoulos et al.(2012,p1623)指出社会责任的强项与弱项之间最显著的差异在于执行的灵活度和成本。例如,企业可以选择捐赠的方式、金额以及对象,这意味着企业对外提供了额外的产品,因而具有较高的自由度和更低的成本。然而,企业履行环境责任则必须关注现有活动产生的负外部性本身。例如,若某企业由于有毒物质排放而污染了环境,则其降低社会责任弱项的途径只能限定在控制并降低这些有毒物质的排放上。此外,环境治理涉及企业的管理、研发、生产和营销等多个运营环节,取得成效需要一定的过程,执行成本通常较高。
1在我国,企业信用评级的中枢较高,评级集中在AA区间,而欧美国家的评级中枢则在BBB区间。因此,与Ashbaugh-Skaife etal.(2006)和Alalietal.(2012)的做法不同,本文设置虚拟变量的阀值为AAA级。样本中企业信用评级的分布情况如下:AAA级的比例约为16.51%,AA+、AA、AA-的比例合计约为80.07%,其他等级的比例合计约为3. 42%。此外,本文设置新评级虚拟变量,当企业信用评级为AAA、AA+级(大于但不等于AA级)则赋值1,否则赋值0。采用该虚拟变量作为被解释变量,重新检验本文假设,回归结果与正文结果保持一致。
1周超额收益等于股票周收益减去预期周收益。本文采用市场模型R=α+βRM+ζ估算预期周收益,其中R表示公司股票的周收益,RM表示等权市场周收益。
2 Zmijewski得分用于衡量公司破产的可能性,数值越大破产的可能性越高。根据Zmijewski(1984),ZMIJ=-4.336-4.513×(净利润/总资产)+5.679×(总负债/总资产)-0.004×(流动资产/流动负债)。参考Choi et al.(2012)的做法,本文将ZMIJ缩尾在-5至+5的区间。
1评分框架包括与环境相关的公司治理与管理系统、可信度、环境绩效指标、有关环保的支出、远景及战略声明、环保概况、以及环保倡议等七大维度,每一维度又分为若干小项,共计45个小项,涵盖了治理、可信度、排放、投资、倡议等方面的内容,既有定性的指标又包括定量的指标。限于篇幅,未在正文中报告。
1具体地,当信用评级等于或低于CCC时取值为0,当信用评级为BB时取值为1,当信用评级为BBB时取值为
2,当信用评级为BBB+时取值为3,当信用评级为A时取值为4,当信用评级为A+时取值为5,当信用评级为AA-时取值为6,当信用评级为AA时取值为7,当信用评级为AA+时取值为8,当信用评级为AAA时取值为9。请注意本文样本中仅出现上述信用等级。
1数据来源于公众与环境研究中心网站http://www.ipe.org.cn/。限于篇幅,文中未报告回归结果。第一阶段回归结果显示,变量PITI的系数显著为正(系数=0. 0420,t=3.30),表明政府对环境信息披露的监管越强,企业的环境信息披露透明度越高。
2本文搜集了2008至2015年期间上市公司发行债券的数据,其中包括发行债券的期限、规模、到期收益率、面值、票面利率、还本付息方式、支付现金流等。该数据来源于锐思(RESSET)数据库。变量YTMADJ的均值约为3.5738,表明样本公司经调整的债券到期收益率为3. 5738%;变量TICADJ的均值约为3.6950,表明样本公司经调整后的债券真实利息成本为3. 6950%。
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