信用评级申明的信息内容

IF 3.2 3区 管理学 Q1 BUSINESS, FINANCE
Boochun Jung, Asad Kausar, Byungki Kim, You-il Park, Chris, Jian Zhou
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引用次数: 0

摘要

我们以 1995 年至 2020 年的美国上市公司为样本,研究了信用评级确认(即重申过去的信用评级)的经济决定因素和信息效应。我们发现,信用评级确认通常发生在重大企业事件和企业基本面变化之后,这些事件和变化会增加企业信用的信息不确定性,这表明信用评级确认会减少不确定性。我们还发现,评级确认为股票和债券投资者提供了价值相关信息。利用短窗事件研究法,我们发现股票投资者对评级确认做出了积极反应,而围绕评级确认的信息不确定性也有所降低。这些发现对于非投资级评级的公司更为明显。我们还进一步表明,对于评级确认前信息不确定性较大的公司,我们的研究结果更有说服力。最后,与股票市场信息不确定性降低的结果相一致,我们报告称,被确认评级的公司的债券收益率利差缩小。同样,这种效应对非投资级评级的公司更为明显。总之,我们强调了信用评级确认对资本市场的重大影响,而这一领域的文献在很大程度上被忽视了。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Information content of credit rating affirmations

We examine the economic determinants and informational effects of credit rating affirmations (i.e., the reiteration of past credit ratings) for a sample of US public firms from 1995 to 2020. We find that credit rating affirmations typically follow major corporate events and changes in firm fundamentals that increase information uncertainty about a firm's creditworthiness, suggesting that affirmations reduce uncertainty. We further document that rating affirmations provide value-relevant information to equity and debt investors. Using a short-window event study method, we show that equity investors react positively to rating affirmations and that information uncertainty around affirmations diminishes. These findings are more pronounced for firms with non-investment-grade ratings. We further show that our results strengthen for firms with greater pre-affirmation information uncertainty. Finally, consistent with our information uncertainty reduction results from the stock market, we report that bond yield spreads decrease for affirmed firms. Again, the effect is more pronounced for firms with non-investment-grade ratings. In summary, we highlight the significant capital markets' effects of credit rating affirmations, an area that the literature has largely ignored.

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来源期刊
CiteScore
6.20
自引率
11.10%
发文量
97
期刊介绍: Contemporary Accounting Research (CAR) is the premiere research journal of the Canadian Academic Accounting Association, which publishes leading- edge research that contributes to our understanding of all aspects of accounting"s role within organizations, markets or society. Canadian based, increasingly global in scope, CAR seeks to reflect the geographical and intellectual diversity in accounting research. To accomplish this, CAR will continue to publish in its traditional areas of excellence, while seeking to more fully represent other research streams in its pages, so as to continue and expand its tradition of excellence.
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