국내외 신용평가기관의 신용등급 변경 공시가 주가에 미치는 영향

초록

This study investigates the impact of bond ratings by credit rating agencies on the stockprices. Applying the event-study approach using random effect panel regression, we study theimpact when firm specific characteristics are considered and credit ratings are downgraded frominvestment level to speculation level or credit ratings abruptly fall more than two notches. Inaddition to that we test whether there exists any discrepancies between the impact of domesticand foreign credit rating agencies' announcement. The results show that there is negative impact of credit downgrading on stock price only theannouncement date and it disappears afterwards. Considering firm-specific characteristics, thereexist positive, positive and negative impacts when firm size, foreign ownership, and trade size areconsidered, respectively. It shows almost 4 times and twice larger in price decrease when creditrating are downgraded from investment level to speculation level and when credit rating fallsmore than two notches than the average decrease from downgrading. When we distinguish creditrating agencies between domestic and foreign, the impact of domestic rating agencies are thesame as the previous results of both domestic and foreign agencies. Foreign agencies'announcements, however, do not affect stock prices, rather showing positive(+) impact in shortperiod of time after the announcement. This study sheds lights on the necessity of considering various factors including firmcharacteristics, changes in ratings, and rating agencies themselves to understand better themarket reactions to changes in credit ratings.

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