신용등급변경 공시의 정보효과에 관한 연구 -자산재평가기업을 중심으로-

The loss of foreign exchange by a recent wild fluctuation of currency rate was pointed out as a primary deteriorating factor of the financial structure of the company, hence, ‘assets revaluation criterion’ was reintroduced as a method for improving the debt-to-equity ratio of companies and the financial index. The result of this study is below:First, From the disclosure time of credit rating change, there was no an appearance in stock return until 10 days before the disclosure, however, after the time till disclosure and from -7 days to +10 days, it has shown constantly significant increasing in abnormal return, it can be the effect of the information of credit rating change. Thus, the hypothesis 1 was rejected, which argued there will be a difference in Cumulative Abnormal Second, If assets revaluation was operated for improving the deteriorating factors of financial index for the nonce, there will be little positive effect on the credit rating of enterprises. The result of analysis showed that there was no significant Cumulative Abnormal Returns(CAR) among the enterprises which downgraded rating changes between the time before and after the disclosure day. Thus, the hypothesis 2 was rejected which maintained that there will be a distinctive difference on Cumulative Abnormal Returns(CAR) of the enterprises which sharply downgraded by credit evaluation between the time before and after the disclosure.