기업의 신용등급 변화가 투자 효율성에 미치는 영향

This study empirically analyzes the effects of credit rating change on investment efficiency of firms listed on Korea Exchange. Corporate investment efficiencies are determined using both the Biddle et al.(2009) model and Chen et al.(2011) model. The main results of this study can be summarized as follows. The credit rating changes have important effects on the investment efficiency of firms. However, the credit rating downgrades have negative and significant effects on the investment efficiency, whereas the credit rating upgrades are insignificant on it. That is, the credit rating downgrades and upgrades have asymmetric effects on the investment efficiency. In particular, the firms downgraded from investment grade to speculative grade are more likely to decrease their investment efficiencies following the credit rating changes. Moreover, the credit rating downgrades are more likely to decrease the investment efficiency of the overinvestment firms than that of the underinvestment firms. These results are true even when controlling for firm characteristics, such as asset tangibility, Tobin’s q, operating cash flows, operating cycle, leverage, firm size, firm age and industry effects. In conclusion, the credit rating changes affect the choice of corporate investment efficiency. More importantly, the credit rating downgrades and upgrades have asymmetric effects on the investment efficiency. Therefore, this study implies that the credit rating changes play a significant role in investment efficiency choices, and this study also contributes to the literature on the relationship between credit rating change and corporate investment efficiency.