The Journal of the Korea Contents Association (한국콘텐츠학회논문지)

The Korea Contents Association (한국콘텐츠학회)
권호 표지
DOI QR코드

DOI QR Code

Does Market Performance Influence Credit Risk?

기업의 시장성과는 신용위험에 영향을 미치는가?

  • Received : 2015.09.02
  • Accepted : 2015.10.08
  • Published : 2016.03.28
Download PDF
⟨ Previous Next ⟩

Abstract

This study aims to investigate the association between stock performance and credit ratings, and credit rating changes using a sample of 1,691 KRX firm-years that acquire equity in the form of long-term bonds from 2002 to 2013. Previous U.S. literature is mixed with regard to the relation between credit ratings and stock price. On one hand, there is evidence of a positive relation between credit ratings and stock prices, an anomaly established in U.S. studies. On the other hand, the CAPM model suggests a negative relation between stock prices and credit ratings, implying that investors expect financial rewards for bearing additional risk. To our knowledge, we are the first to examine the relationship between stock price and default risk proxied by credit ratings in period t+1. We find a negative (positive) relation between credit ratings (risk) in period t+1 and stock returns in period t, suggesting that credit rating agencies do not consider stock returns as a metric with the potential to influence default risk. Our results suggest that market participants may prefer firms with higher credit risk because of expected higher returns.

본 연구는 당기 주가수익률과 차기 신용등급 및 신용등급 변화와의 관련성을 검증하는 것을 목적으로 한다. 신용등급평가사들은 개별 기업의 채무불이행위험(default risk)을 측정하여 최종 신용등급을 결정하는데 기업의 높은 주가수익률은 낮은 위험(default risk)으로 인지될 가능성이 있다. 반면 시장참여자들은 효율적으로 높은 수익을 달성하기 위하여 규모가 크고 안정적인 기업보다 고수익을 달성할 수 있는 신용위험(risk)이 높은 기업들의 주식을 선호할 가능성 역시 배제할 수 없다. 이는 실증적으로 해결되어야 할 문제이며 현재까지 이러한 관련성을 고찰한 연구는 부재하다. 본 연구는 2002년부터 2013년까지 회사채를 발행한 유가증권 상장기업을 대상으로 당기 주가수익률과 차기 신용등급 및 신용등급의 관련성을 검증하였고, 그 결과를 요약하면 다음과 같다. 먼저 당기 주가수익률은 차기 신용등급과 유의한 음(-)의 관련성이 있는 것으로 나타났다. 이는 신용평가사들이 주가수익률을 채무불이행 위험의 대리변수로 고려하지 않음을 예측케 하는 결과이고, 오히려 투자자들은 신용등급이 낮은 기업의 주식을 선호한다고 해석할 수 있다. 본 연구는 직관과는 달리 주가수익률과 신용등급의 음(-)의 관련성을 찾은 최초의 연구로써 신용평가사 및 시장참여자들에게 의미 있는 통찰력을 제공할 것으로 기대한다.

Keywords

References

  1. R. C. Merton, "On the pricing of corporate debt: the risk structure of interest rates," Journal of Finance, Vol.29, pp.449-470, 1974.
  2. E. F. Fama and J. K. MacBeth, "Risk, return, and equilibrium: empirical tests," Journal of Political Economy, Vol.81, pp.607-636, 1973. https://doi.org/10.1086/260061
  3. I. D. Dichev, "Is the risk of bankruptcy a systematic risk?," Journal of Finance, Vol.53, pp.1131-1147, 1998. https://doi.org/10.1111/0022-1082.00046
  4. J. Y. Campbell, J. Hilscher, and J. Szilagyi, "In search of distress risk," Journal of Finance, Vol.63, pp.2899-2939, 2008. https://doi.org/10.1111/j.1540-6261.2008.01416.x
  5. D. Avramov, T. Chordia, G. Jostova, and A. Philipov, "Credit ratings and the cross-section of stock returns," Journal of Financial Markets, Vol.2, pp.469-499, 2009.
  6. J. M. Griffin and M. L. Lemmon, "Book-to-Market Equity, Distress-Risk, and Stock Returns," Journal of Finance, Vol.57, No.23, pp.17-36, 2002.
  7. T. J. George and C. Y. Hwang, "A resolution of the distress risk and leverage puzzles in the cross section of stock returns," Journal of Financial Economics, Vol.96, No.1, pp.56-79, 2010. https://doi.org/10.1016/j.jfineco.2009.11.003
  8. S. Chava, and A. Purnanandam, "Is default risk negatively related to stock returns?," Review of Financial Studies, Vol.23, pp.2523-2599, 2010. https://doi.org/10.1093/rfs/hhp107
  9. Y. S. Kim, "Generation of corporate risk contents of small firms and large firms using financial data for enhancing international competitiveness," The Journal of the Korea Contents Association, Vol.7, No.12, pp.123-130, 2007. https://doi.org/10.5392/JKCA.2007.7.12.123
  10. A. W. Boot, A. T. M. Todd, and S. Anjolein, "Credit ratings as coordination mechanisms," Review of Financial Studies, Vol.19, No.1, pp.81-118, 2006. https://doi.org/10.1093/rfs/hhj009
  11. D. Kisgen, "Credit ratings and capital structure," Journal of Finance, Vol.61, No.3, pp.1035-1072, 2006. https://doi.org/10.1111/j.1540-6261.2006.00866.x
  12. S. Bhojraj and P. Sengupta, "Effect of Corporate Governance on Bond Ratings and Yields: The Role of Institutional Investors and Outside Directors," The Journal of Business, Vol.76, No.3, pp.455-476, 2003. https://doi.org/10.1086/344114
  13. H. Ashbaugh-Skaife, D. Collins, and R. LaFond, "The effects of corporate governance on firms' credit ratings," Journal of Accounting and Economics, Vol.42, pp.203-243, 2006. https://doi.org/10.1016/j.jacceco.2006.02.003
  14. P. Kraft, "Do rating agencies cater?: Evidence from rating-based contracts," Journal of Accounting and Economics, Vol.59, No.2-3, pp.264-283, 2014. https://doi.org/10.1016/j.jacceco.2014.09.008
  15. H. J. Lim, "A study on non-audit service and audit quality, focused on the comparison between Big4 and Non-Big4 audit firm," The Journal of the Korea Contents Association, Vol.15, No.7, pp.477-488, 2015. https://doi.org/10.5392/JKCA.2015.15.07.477
  16. W. Alissa, S. B. Bonsall, K. Koharki, and M. W. Penn, "Firms' use of accounting discretion to influence the credit ratings," Journal of Accounting and Economics, Vol.55, No.1, pp.129-147, 2013. https://doi.org/10.1016/j.jacceco.2013.01.001

Cited by

  1. Does market risk predict credit risk? An analysis of firm risk sensitivity, evidence from South Korea pp.2164-2257, 2016, https://doi.org/10.1080/16081625.2016.1268060