기업의 신용등급 변화가 초과현금 보유와 그 한계가치에 미치는 영향

This study analyzes empirically the effects of credit rating changes on corporate excess cashholdings and their marginal value. The sample firms are collected as firms listed on KoreaExchange from 1999 to 2012 in the KIS Value Library database. Excess cash holdings aredetermined, using the models built on Opler, Pinkowitz, Stulz and Williamson(1999) andDeAngelo, DeAngelo and Stulz(2010), and the marginal value of excess cash holdings isdetermined, following Dittmar and Mahrt-Smith(2007). The main results of this study can besummarized as follows. The credit rating changes have important effects on the subsequent excess cash holdings offirms. However, the credit rating downgrades have positive and significant effects on thesubsequent excess cash holdings, whereas the credit rating upgrades are insignificant on it. That is, the credit rating downgrades and upgrades have asymmetric effects on the subsequentexcess cash holdings. This result indicates that managers may hoard more excess cash frominternally generated cash flows to protect against further downgrades. In particular, the firmsdowngraded from investment grade to speculative grade are more likely to stock up excess cashholdings for precautionary purposes in the face of increased financial constraints. However,excess cash holdings may be value-destroying for shareholders when a form’s direct and indirectcosts to external financing increase due to credit rating downgrades. It is also possible thatmanagerial opportunism will play a further role, as managers have an incentive to hold largeexcess cash, particularly in situations in which financial distress is a stronger possibility. Thesefindings partially support the agency theory that managers tend to waste corporate resources by hoarding excess cash. In conclusion, managers attempt to increase their holdings of excess cash following creditrating downgrades, perhaps in an attempt to buffer the firm from the negative market sequencesor to prevent future financial distress. However, firms with positive excess cash holdingsfollowing credit rating downgrades show the marginal value of the excess cash decline, becauseshareholders appear to question the reason of such cash policy changes in the view point ofagency theory. This study may have a few limitations because it may be an only early study about the effectsof credit rating changes on corporate excess cash holdings and their marginal value. Therefore,we think that it is necessary to expand sample firms and control variables, and use moreelaborate analysis methods in the future studies.