신용등급 차이와 주가붕괴위험

In general, credit rating agencies have access to corporate information that is not disclosed to individual investors and provide investors with information on credit rating through professional analysis, thereby reducing the information asymmetry between firm and investor and increasing the efficiency of resource allocation. As such, credit rating provided by credit rating agencies play an important role in the capital market. Since 1995, Korea has been required to receive credit ratings from two or more the credit evaluation agencies to improve the objectivity of credit rating and increase fairness and reliability. However, when there is an information asymmetry between credit rating agencies, credit rating are reported differently. In addition, the credit rating may vary depending on the information environment of the firm and the information analysis ability of the credit rating agency. Credit rating has a signal effect on suppliers and investors of funds in the capital market. Credit rating agencies evaluate the financial risk and business risk based on non-financial information as well as corporate financial data. However, credit rating agencies have no obligation to verify the reliability of the information provided by the firm. In other words, the credit rating agency is not an auditor, so it doesn’t fully understand the accounting assumptions for financial reports and doesn’t fully reflect the problem of information uncertainty in accounting information. Generally, investors use the credit rating provided by credit rating agencies in their investment decisions due to restrictions on information access and analysis capabilities. However, if there is a difference in credit ratings provided by credit rating agencies, the split credit rating is expected to be valuable for investors as additional information as well as the credit rating itself. The purpose of this study is to examine the relationship between split credit rating and stock price crash. Specifically, we examine whether firms with split credit rating have higher stock price crash risk. The sample of this study is 2,545 Korea listed firm-year observations from 2001 to 2019. Empirical findings are summarized as follows. First, we find that firms with split credit rating have significantly higher stock price crash risk. Second, firms have higher stock price crash risk when they are below(above) their expected rating. Specifically, we find higher stock price crash risk when the credit rating reported by credit agencies lower than expected rating. The impact on credit rating evaluation vary depending on firm’s information environment. When firms have higher information asymmetry, they are more likely to have split credit rating. The difference in credit rating is due to information asymmetry, and firms with split credit rating have greater information asymmetry, which can be interpreted as a high risk of stock price crash. Our study makes several contributions to the literature. First, consistent with the literature demonstrating that the information asymmetry leads to stock crash risk, this paper provides evidence that split credit rating, using at least two or more credit ratings, increase stock price crash risk. Second, nowadays, despite of a growing number of study on the effect of split credit rating in various fields, it is largely unexplored in accounting literature. This study extends to the literature by relating credit rating to capital market reaction such as stock price crash. Third, investors may have difficulties in analyzing the financial status only with the information provided by the firm due to restrictions on information access and ability. Therefore, investors use the information provided by credit rating agencies in making their investment decisions. This study provides investors with additional useful information as the meaning of the difference in credit rating by providing the empirical results of the impact of the split credit rating on stock price crash risk.