신용등급과 채권시장의 정보 효율성： 개별 주가와 신용스프레드의 동태적 패널 분석

Based on Merton (1974)’s argument on asset pricing, this study suggests a possibility that investors in the bond and stock markets have an incentive to respond in a different way to some firm-specific information, noting its different effects on the stock and bond prices. It is also argued that such asymmetric behaviors in the stock and bond markets may generate a different lead-lag relationship between the prices of two markets. Applying the dynamic panel method in Arrelano and Bond(1991), our empirical analysis tries to confirm the above hypotheses through the data set for the stock prices and credit spreads of individual firms in Korea. Our results first show that the lead-lag relationship between the stock and bond markets depends on the credit ratings. In case of whole firms, while the empirical test shows the contemporaneous relationship between the stock and bond markets, it does not show the lead-lag relationship between two markets. However, the stock price leads the credit spread in the case of firms with high credit ratings. On the contrary, the stock price does not lead the credit spread in the case of firms with low credit ratings. Rather, the empirical test suggests that the credit spread may lead the stock price in case of low graded firms. This paper also examines how the responsiveness of stock and bond prices depends on the credit ratings of firms. According to the results, the stock prices of firms with high credit rating effectively respond to public earning news while the credit spreads do not. However, the credit spreads of low graded investible bonds effectively respond to public earning news while stock prices of firms with low grade do not respond to earning news. The empirical results imply that the traders’ behavioral difference, not their capabilities for gathering the information, may have influence on the difference of information efficiency between stock and bond markets. In stock market, the traders have the incentive to concentrate on the higher credit rated firms than lower rated firms. Therefore, under the same information, the stock market spreads the information more rapidly than the bond market. On the contrary, the traders will be more concerned with the lower rated firms in bond market. If so, the bond market will spread the information of lower rated firms more rapidly than the stock market. As a result, even if the stock market is more efficient than the bond market in general, the bond market may have more information efficiency in the case of lower rated firms. In conclusion, the traders’ behavior can make the difference between two markets in spreading the information and, as a result, lead to the difference of information efficiency.