재무분석가의 추종수준이 기업의 파산위험에 미치는 영향

Using Korean listed firms for the 2000-2019 period, this study examines the relation between analyst following and default risk, captured by firms’ credit rating and Altman Z-score. We find consistent and pronounced evidence that analyst following is positively associated with a credit rating and Altman Z-score. The results are robust to adopting an instrumental variable approach, firm-fixed effects, which mitigate the concern o f the omitted variable bias, and lagged variables, which attenuate t he reverse causality bias. Further analyses using the first-difference form of equations indicate that this empirical regularity is not solely driven by any time-invariant unobservable firm characteristics that are not included in our estimation models. We also find that the positive relation between analyst following and credit rating i s negatively moderated by analysts’ earnings forecast dispersion, capturing a lower quality o f the information produced by analysts, and stocks’ b id-ask spread, capturing a deeper information asymmetry. Overall, the results are consistent with the notion that analysts’ information and monitoring roles are effective in reducing firms’ default risk. Despite the concern about Korean analysts’ independence and professionalism, these results affirm that they effectively conduct the information-intermediary role in capital markets. This study also contributes to the literature exploring analysts’ role as an external governance control and their interaction with other monitoring mechanisms, such as credit rating agencies.