기업어음 신용등급변경의 정보효과

다국어 초록 (Multilingual Abstract)

Credit rating contains expected cash flow and risk information which are critical in determining security prices. If credit rating changes have significant effects on stock prices, the upgrading of credit ratings would have positive effects on stock prices, while the downgrading of credit rating negative effects. But prior research found that stock price effects are significant only for downgrades. The reason for the difference in the results of between theory and empirical analysis may be that they did not use a proper method of testing of credit rating changes. They used market returns in market model and market adjusted model, and the model in this study uses returns of unchanged rating instead of whole market returns. The objective of this study is to empirically examine the information content of commercial paper credit rating changes. In order to the sapmple used in this research consists of 778 observations (upgrades 66, downgrades 104, unchanged 608) were obtained from Korea Investors Service(KIS), during three years from 1995 to 1997. The results of this study can be summarized as follows: the information content of credit rating changes of CP was significant only in upgrades. But, when tested by the same method as the one used by previous studies, both upgrades and downgrades showed information contents. And the cumulative abnormal returns in response to the rating changes occurred eight days before the announcement, dates. The findings of this study could be used in investment decisions as well as in funding decision by firm managers. Future research could address additional issues not addressed in this study. These are the analysis of unchanged samples for rating changes, the effect of economic changes, and the effect of spilt rating based on the CP and bond rating changes.