earticle

영어

Credit ratings play important roles in financial markets such as financial intermediation, risk reduction, and mitigating information asymmetry. However, in terms of providing information regarding a firm’s future credit situation, credit ratings might not be a perfect indicator because of their static nature. Beside credit ratings, rating agencies, such as Moody’s and Standard & Poors, also publish rating watches and rating outlooks. They convey slightly different credit information and can compliment credit ratings. While previous studies cover the role of credit watches in Korea, to our knowledge, it is the first study on how credit rating outlooks affect credit ratings using Korean database. First, we are interested in whether rating outlooks, such as positive, stable, and negative outlooks, indicate how a firm’s future rating looks like. Then, if a firm receives a negative outlook from a rating agency, the firm needs to fix its problems. Otherwise, the agency may downgrade the firm’s credit rating and the downgrade would be critical especially if the firm sits in certain thresholds in ratings, such as A or BB. We consider this chain of actions as a function of credit rating improvement. With credit rating outlooks information from NICE Information Service, we first conduct event studies to examine how the financial markets respond to different rating outlooks. Consistent with previous studies, we find that the stock market negatively responds to negative outlooks with a statistical significance. However, the market’s reaction to positive rating outlooks is not statistically significant. Therefore, bad news may deliver some valuable information to the market, while good news may not. We further investigate how each rating outlook affects under different evaluations of main, scheduled, and unscheduled. Among them, main evaluations have the biggest impacts on stock price. Thus it would be difficult to analyze the effects of scheduled and unscheduled evaluations without considering main evaluations. Then, we analyze factors regarding actual rating downgrades after firms’ receiving negative or positive outlooks. We apply a probit model regression and find the following results. First, firms with higher leverage are more likely to be actually downgraded after receiving a negative outlook, and the result is consistent with previous literature. Second, firms with a credit rating of A+, A0, or A- are more likely affected by “negative outlooks.” We conjecture that if a firm belongs to “A” or higher rating, outside investors may consider the firm as a reliable one because of its “A” status. Finally, we examine factors affecting firms intermediate cumulative abnormal returns(CARs) after receiving downgrading outlooks in multiple regression settings. We find that firms with a relatively higher leverage, a lower growth potential, a higher market risk and a greater probability of falling to default grade suffer from intermediate CARs. However, we observe a strange phenomenon that firms likely to be downgraded to below B- somehow improve their intermediate CARs. We consider this as a potential for credit rating improvements, and believe why credit rating outlooks can complement credit ratings.

한국어

신용등급은 금융기관의 주요 기능인 참여자 간 중개, 위험의 감소 및 정보 비대칭 해결 등의 기능을 수행한다는 측면에서 그 필요성은 자명하다. 하지만, 신용등급의 경우 기업 신용도가 향후 어떻게 변하는지와 같은 방향성을 보여줄 수 있는가라는 여부에 대해서는 제한적인 면이 있다. 이에 본 연구는 신용등급 전망이 지닌 기업신용정보를 시장에 전달하는 “정보전달기능”과 기업의 신용도를 개선시킨다는 “신용개선효과”가 어떻게 작용하는지를 실증적 분석을 통해 알아보고자 한다. 연구 결과, 부정전망에 대해 주가는 통계적으로 유의한, 부정적 반응으로 나타났지만 긍정전망에 대해 시장에서는 유의하지 않은 반응을 보였다. 이는 부정전망의 정보가치가 존재함을 얘기한다. 특히 정기평정 부정전망의 경우, 주가에 부정적 영향을 주긴 하지만 그 효과는 유의하지 않은 것으로 보아 부정전망 후 기업의 신용개선효과를 예상할 수 있다. 프로빗모형 분석 결과, 부채비율이 높은 기업이 부정전망을 받으면 실제로 등급이 떨어질 가능성이 높으며 그중에서도 신용등급이 “A군” 기업에서 빈번하게 나타나는 것으로 보인다. 부정전망을 받은 후 어떠한 변수들이 중기 누적초과수익률(CAR)에 영향을 주는지를 알아본 다중회귀분석 결과, 높은 부채비율과 낮은 성장가능성, 그리고 높은 시장대비 위험을 지녔으며, 변경 전 신용등급이 A군이나 BB군에 속한 기업이 부정전망 이후 낮은 중기 CAR을 보였다. 한편 채무불이행등급 아래(CCC+이하)로 떨어질 가능성이 높은 기업에서 오히려 CAR이 개선되는데 이는 신용등급 전망 정보에 어느 정도 신용개선효과가 있다는 간접적인 실증결과라고 볼 수 있다.