신용등급이 국내기업의 자금차입 변동성에 미치는 영향
Credit Rating and Volatility of Corporate Debt Financing: Empirical Analysis of Listed Firms in Korea
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신용등급은 기업의 미래 현금흐름과 위험을 예측하는 정보를 제공하고 기업의 내재가치를 반영하여 금융거래 시 비대칭정보인 차입기업의 위험유형을 선별하고 통제하는 기능을 수행한다. 본 연구는 신용등급의 이와 같은 기능이 기업 자금차입의 변동성을 감소시킬 수 있음을 실증적으로 분석한다. 신용등급 보유 여부, 신용등급 수준, 신용등급 보유회수 등에 따라 신용평가정보를 세분화하고 국내 유가증권시장과 코스닥시장의 상장기업들을 대상으로 하는 실증분석에서 신용평가정보가 일관되게 자금조달의 변동성을 감소시킴을 검증한다. 또한 신용등급 보유 기업들을 투자등급 보유군과 투기등급 보유군으로 분류하고 매칭분석을 수행하였으며 신용등급의 보유가 자금차입 변동성을 유의하게 감소시킴을 제시한다. 본 연구는 신용등급의 정보효과가 기업 자금차입 변동성을 감소시킴을 검증하는 측면에서 학술적 기여를 하며 신용평가제도가 금융시장의 안정성에 미치는 순기능을 제시한다.
Abstract
Credit rating provides information predicting firm’s future cash flows and risk under uncertainty and hence represents its intrinsic value. Credit rating plays a role as certifier of credit risk of borrowing firm in financial contract and hence it can have substantial impacts on the stability of debt financing. This paper investigates the effects of credit rating on volatility of debt financing and provides evidence that credit rating reduces the volatility of those while improving stability of firm’s financing activities. This paper provides evidences that information effect of credit rating improves the stability of debt financing. Further, this paper conducts matching analysis to examine accurately the effect of credit rating across the firms with ratings and without ratings confirming the effect of credit rating on the reduction of the volatility of corporate debt financing. The evidences in this study address policy agenda that the expansion of credit rating among informationally opaque firms could improve the efficiency of resource allocation in financial markets.
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