신용등급쇼핑과 기업가치

Abstract

The credit assessment system initially developed by the Korean government and later strengthened after the currency crisis was prompted by the growth of the non－guaranteed bond assessment market and the increasing importance of credit ratings. The Korea Investors Service are the dominant entities in the credit assessment market in Korea, in which assessment commissions are paid by firms. Thus, there is a tendency toward conflict of interest between credit assessment institutions and paying firms when the former are favorably inclined to change ratings for the latter. Credit rating shopping involves firms contacting credit assessment institutions before issuing their corporate bonds and selecting those that will provide them with more favorable ratings. In this study, we analyze the phenomenon of rating shopping by firms to improve their ratings. we use cumulative abnormal returns (CAR) as another dependent variable in our analysis of market responses to firms for which ratings have changed due to a change in their credit assessment institution. We analyze the effect of credit rating shopping on firm valuation. The results show a statistically significant positive relation between rating changes and firm valuation for firms that changed their credit assessment institution. This finding implies that stock market users may know that the stock market reacts favorably only to improved credit ratings, but that credit rating shopping is not reflected in the information that is available on the stock market. This research on the phenomenon of rating shopping, in which firms change their credit assessment institutions in order to procure favorable ratings, revealed that ratings have both direct and indirect effects on the capital financing market. Firms that engage in rating shopping can reduce their capital costs by means of changes in credit assessment institution. In addition, rating management through rating shopping has a positive effect for firms in the stock market.