A Study on the Relations between Financial Variables and Implied Default Probability using Capital Market Information

• 발행기관: 한국창업학회
• 저자명: Lee, Sang Yun Han, Kil Seok
• 간행물 정보: 『한국창업학회 Conferences』2017년 춘계학술대회 발표집, 95~96쪽, 전체 2쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2017.04.28

국문 초록

Today, companies are facing rapid changes in the business environment and intense market competition, and companies that fail to adapt to these changes are constantly failing. As the result of corporate insolvency causes a great loss to the national economy, it is very important to predict the corporate insolvency in order to detect the companies that are expected to become insolvent in advance. There are difficult to predict because of the characteristic that the insolvency of a corporation becomes clear only after various inadequate causes interact with each other and gradually progress in the process of insolvency. Until now, Research for prediction of default using accounting information has been mainly used for statistical forecasting using financial or numeric information and problems such as theoretical weakness, the difference in the predictive power of the estimated models, and the timeliness of accounting information, have been raised. In this paper, The relationship between the IDP (Implied Default Probability, hereinafter referred to as IDP) which measures the default probability using market price information, and the financial variables used in the default prediction model using financial information is examined. The purpose of this study is to investigate the usefulness of financial variables used in default prediction models of previous studies and to examine whether there are any differences in the variables related to the credit rating or industry of companies issuing corporate bonds. The sample firms for this study were 448 firms out of 469 firms that issued corporate bonds from 2006 to September 2016, excluding 21 firms that do not have accounting data. In order to examine the relationship between the default probability(IDP) by the Reduced form models and the financial variables, regression analysis was conducted using the IDP as the dependent variable and the financial variables as the explanatory variables. In order to examine the usefulness of the financial variables used in the prediction of the de-faults, we analyzed the sample companies by total grade companies, investment grade firms (BBB grade or higher) and non-investment grade(BB + or below). In order to see if there is any difference, credit rating and industry were analyzed separately. For the analysis, the IDP was calculated according to the methodology suggested by Jarrow et al. (1997). In response to this, 34 candidate accounting variables presented in the previous studies of default prediction using financial information such as Altman (1968) were selected as explanatory variables and The empirical analysis was performed. As a result of this empirical analysis, In the case of total grade firms, The explanatory variables that the regression coefficient is significant at α = 0.1 or less and VIF is less than 10 are 21 out of 34 candidate variables. In other words, 21 variables were found to be relevant. For investment grade firms (BBB or above), 19 of the 34 candidate variables are relevant. In the case of the non-investment grade, only two of the 34 candidate variables are relevant. In the case of credit rating analysis, the financial variables are different according to credit rating, and the results of industry analysis also show different results by industry. The results of this analysis show the following implications. First, there is a high relationship between the default probability (IDP) measured based on the bond price of a company traded in the capital market without accounting information and the financial variable used in default prediction. This implies that accounting information is still useful for firm ‘s default prediction in spite of the limitations of the default prediction models using financial information. Second, there is a difference in the financial variables that explain the IDP according to credit rating.

키워드

Financial Variables Implied Default Probability Capital Market Information