회사채 신용등급 변경공시가 주가에 미치는 영향

• 영문명: The Effect of Corporate Bond Rating Changes Announcement on Common Stock Prices: Before and after Financial Crisis(2008)
• 발행기관: 한일경상학회
• 저자명: 최윤희(Yun Hee Choi) 남기석(Gi Seok Nam)
• 간행물 정보: 『한일경상논집』제52권, 115~150쪽, 전체 36쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2011.08.31

영문 초록

This study tests the effect of corporate bond rating changes on common stock prices in order to compare the difference between pre-Financial Crisis(2008) period and post-Financial Crisis(2008) period in Korea. Sample consists of 146 events coming from rating change event from 2007 to 2009. The rating change data are obtained from credit rating agencies. Samples are subdivided into several subgroups. First, pre-Financial Crisis period and post-Financial Crisis period. Second, within-classes, across-classes, investment classes, speculative classes per period. Test methodologies are event study and mutiple regression. The results of this study are summarized as follows: First, announcements of downgrading are associated with negative CAR that are statistically significant. But, upgrades are not associated with significant abnormal returns. The evidence indicate that the announcement of bond downgrades has information content. Second, stock price reactions of downgrades are differences in the pre-Financial crisis period and post-Financial crisis period. The post-Financial crisis period was more sensitively responded than the pre-Financial crisis period. Third, as result that do regression analysis including interaction variable, in case of across-class events, CAR is positively related with the firm size variable that is statistically significant of bond downgrades.

목차

Ⅰ. 연구 목적

Ⅱ. 이론적 배경 및 선행연구

Ⅲ. 연구모형 및 연구방법

Ⅳ. 실증분석 및 결과

Ⅴ. 결론

키워드

Bond Rating Stock Price Financial Crisis