IMF이후 신용등급의 질이 향상되었는가?

다국어 초록 (Multilingual Abstract)

The objective of this study is to teat whether the quality of credit rating after the IMF Bailout for Korea has changed any significant way from the quality of credit rating before the IMF Bailout. The sample of the study consists of 829 observations drawn from credit rating agency A(297) and credit rating agency B(532) from the period of September 1998 to December 2000, The stock price impact of credit rating announcements is estimated by the CP`s ratings, using daily abnormal returns generated by the market adjusted model for 23 trading days from -12 days to +10 days surrounding the credit rating announcement event day 0. Findings of this study include the follows: First. the stock price reactions to the directions of rating changes are different from each other for the period before and after the IMF bailout, Namely, the upgrading of credit ratings would have positive effects on stock prices and the downgrading negative effects in the period before IMF bailout(from January 1995 to June 1997) . but both upgrading and downgrading of credit rating have negative effects on stock prices in the Period after the IMF bailout. Specifically, after the IMF bailout. the upgrading of credit ratings have lower on stock price reactions than the unchanged of credit rating. Second, the stock price reactions to the degree of changes in credit rating differ before and after the IMF bailout, Before the IMF bailout, the greater degree of the changes, the greater Price reactions, and after the IMF bailout, no such expectations Prevail. Third, before the IMF bailout, the higher credit ratings were related to the higher stock prices, vice-versa, no such conditions were met after the IMF bailout. Noteworthy is that the above findings concur on sample data drawn from two different reference credit rating agencies. Implications of this study include the following: as far as credit rating business is concerned, the business has retrogressed, and perhaps the minute analysis is called for .Lenders as well as investors should be aware of the changes in the relationship between changes in credit ratings and their respective price reactions, It is hoped that those concerned with credit ratings and their relevance, and reliability, if not credibility, Pay attention to the findings and implications of this study for further research.