Does Market Performance (Tobin’s Q) Have A Negative Effect On Credit Ratings? Evidence From South Korea

IF 2.5 Q2 ECONOMICS
Hyoung-Joo Lim, Dafydd Mali
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引用次数: 0

Abstract

Tobin’s Q is an established measure of firm performance, based on investor confidence. However, the association between Tobin’s Q and credit ratings is not well-established in the literature. Using a sample of Korean listed firms over the 2001–2016 sample period, Probit regression analysis shows that overall, Tobin’s Q is positively associated with credit ratings. However, for firms with a > 1 (1 <) Tobin’s Q ratio, a negative (positive) relationship exists. Moreover, in independent regressions, a threshold level if found where the effect of Tobin’s Q on credit ratings changes from being positive (0.2), to negative (0.3). To the best of our knowledge, we are the first to demonstrate that credit rating agencies are nuanced when making default risk assessments. Specifically, that in South Korea, a threshold level exists, at which increasing Tobin’s Q values reduce credit ratings. Empirical evidence of the different association between Tobin’s Q (market confidence) and credit ratings can extend the literature and offer insights to market participants. Furthermore, because Tobin’s Q is a commonly used proxy for financial performance in accounting lectures, the study has practical implications for academics in classrooms.

Abstract Image

市场表现(托宾Q)对信用评级有负面影响吗?来自韩国的证据
托宾 Q 值是衡量公司业绩的一个既定指标,它以投资者信心为基础。然而,托宾 Q 值与信用评级之间的关联在文献中并不完善。利用 2001-2016 年期间韩国上市公司的样本,Probit 回归分析表明,总体而言,托宾 Q 值与信用评级呈正相关。然而,对于托宾 Q 比率为 1(1 <)的公司,两者之间存在负(正)关系。此外,在独立回归中,托宾 Q 值对信用评级的影响从正值(0.2)变为负值(0.3)的临界值。据我们所知,我们是第一个证明信用评级机构在进行违约风险评估时存在细微差别的机构。具体来说,在韩国,托宾 Q 值的增加会降低信用评级,而这一临界值是存在的。关于托宾 Q 值(市场信心)与信用评级之间不同关联的经验证据可以扩展相关文献,为市场参与者提供启示。此外,由于托宾 Q 值是会计授课中常用的财务业绩替代指标,因此本研究对学术界的课堂教学具有实际意义。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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