신용평가사의 신용등급 고평가에 대한 연구

In recent years, the average credit rating of corporations has trended up. Credit rating agencies have faced increased investor criticism for their Overvaluing behavior. The increase in credit ratings could be explained as an improvement in the actual credit quality of corporate debt over time. Another explanation is that the incline in average ratings reflects a loosening of credit standards in assigning ratings. Due to the market structure and business model (i.e. Issuer Pay Model) in the credit rating industry, the rating agencies are prone to assign favorable ratings for bond issuer. This study investigates whether there are overvaluing behaviors of credit rating agencies over time. The empirical results are as follows；⑴ After controlling for other factors associated with credit rating, there is an upward trend in the annual intercept, which is interpreted as a systematic loosening of ratings standards. ⑵ This upward trend applies to investment－grade issuers, but does not apply to speculative－grade issuers. These results imply the overvaluing behavior of credit rating agency appears only in investment－grade. And credit rating agencies apply stringent standards for speculative-grade issuers. This study contributes to finding out the overvaluing behavior of credit rating agency over time. This paper also raises the necessity of the changes in regulatory policies to deal with the overvaluation problem.