도산예측에서 신용등급정보의 유용성 = Usefulness of Credit Rating in the Bankruptcy Prediction Model

다국어 초록 (Multilingual Abstract)

The objective of this study is to analyze the usefulness of credit rating in the bankruptcy prediction. The sample of the study consists of 52 bankrupt firms and 2,237 non-bankrupt firms listed in the Korea Stock Exchange, of which 800 firms announced CP`s credit rating. The results of this study can be summarized as follows. First, the results of differentiated ranking analysis for financial ratio with credit rating and t-test between firms bankrupt and non-bankrupt are not differentiated in most cases(68.9%). Second, the results of logistic regression analysis are similar to those of univariate analysis. The three variables in bankruptcy prediction model are particularly related to the factor with financial characteristics of CP`s credit rating. Third, the predictive ability of the model for the estimation sample(1998-2001) and the validation sample(2002-2003) was about 94.07% and 97.54% respectively. Finally, the model that includes the variable of credit rating is most effective, and it predicts that the fewer size of earnings management(discretionary accruals), the higher predictive ability of the model. These findings imply that the prediction power of the bankruptcy prediction model which includes credit ration information increases.

참고문헌 (Reference)

1 "회계정보에 의한 기업도산예측과 시장반응" 한국회계학회 (한국회계학회): 49-77, 1993

2 "현금흐름형 도산예측모델과 옵션형 도산확률의 실증연구" 27 한국증학회 : 35-70, 2000

3 "재무제표와 신용등급결정능력에 관한 실증적 연구" 1986

4 "영업현금흐름에 따른 이익관리 현상에 관한 연구" 23 한국회계학회 (23 한국회계학회): 107-206, 1998

5 "신용평가의 실제와 이론" 다산출판사 1999

6 "비금융 상장기업의 부실예측모형" 한국재무관리학회 (한국재무관리학회): 299-327, 1998

7 "부실예측모형의 적합성 분석" 5 소 (5 소): 83-110, 1999

8 "발생주의적 조정의 유용성 저하에 관한 실증연구" 23 한국회계학회 (23 한국회계학회): 53-79, 1998

9 "기업어음 신용등급평가에 있어 회계정보의 유용성에 관한 실증적 연구" 한국회계학회 (한국회계학회): 175-198, 1994

10 "기업부실예측에 관한 연구" 한국회계학회 (한국회계학회): 55-78, 1991

11 "기업부실예측과 금융기관의 주가반응" 15 한국재무관리학회 (15 한국재무관리학회): 223-243, 1998

12 "기업도산예측에 관한 연구" 15 한국재무학회 (15 한국재무학회): 217-249, 2002

13 "기업도산예측 모형에 관한 연구" 1983

14 "기업도산론 - 기업도산예측을 중심으로" 무역경영사 1984

15 "경영자의 전략적 회계선택 - 회계변경과 재량적발생액의 선택을 중심으로" 한국회계학회 26 (26): 105-125, 2001

16 "What's in a Bond Rating" 201-228, 1969

17 "The Determination of Long-term Credit Standard with Financial Rations" 44-70, 1996

18 "Statistical Models of Bond Rating Journal of Business" 231-262, 1979

19 "Methodological Issues Related to the Estimation of Financial Distress Prediction Model Journal of Accounting Research" 59-82, 1984

20 "Financial Ratios as Prediction of Failure" 71-111, 1966

21 "Financial Ratios and the Probabilistic Prediction of Bankruptcy" 109-131, 1980

22 "Discriminant Analysis and the Prediction of Corporate Bankruptcy The Journal of Finance" 589-609, 1968

23 "Classification of Industrial Issuers Journal of Business Finance and Accounting" 397-407, 1984

24 "Changes in the Financial Structure of Unsuccessful Industrial Companies Bureau of Business Research" 1935

25 "A Test Analysis of Unsuccessful Industrial Companies Bureau of Business Research" 1930

26 "A Sample Theory of Financial Ratios Predictors of Failure Journal of Accounting Research" 118-127, 1971

27 "A Review of the Earnings Management Literature and Its Implication for Standard Setting" 365-384, 1999

28 "A Note on Rank Transformation Discriminant Analysis An Alternative Procedure for Classifying Bank Holding Company Commercial Paper Rating Journal of Banking and Finance" 605-610, 1986

29 "A Multivariate Analysis of Industrial Bond Ratings The Journal of Finance" Pinches 1-18, 1973

30 "A Multiple Discriminant Analysis of BHC Commercial Paper Ratings Journal of Banking and Finance" 161-173, 1983

31 "A Discriminant Analysis of Prediction of Business Failure" 167-179, 1972

32 "A Comparison of the Ratios of Successful Enterprises with Those of Failed Companies" 12 : 10-12, 1932