신용등급 차이와 주가표류현상

The purpose of this study is to examine the relationship between split credit ratings and post earnings announcement drift. Specifically, we examine whether firms with split credit ratings have higher post earnings announcement drift. The sample of this study is 2,175 Korea listed firm-year observations from 2002 to 2020. Empirical findings are summarized as follows. First, we find that firms with split credit ratings have significantly higher post earnings announcement drift. Second, firms have higher post earnings announcement drift when they are below(above) their expected ratings. Specifically, we find higher post earnings announcement drift when the credit rating lower than expected ratings. The impact on credit ratings evaluation vary depending on firm’s information environment. When firms have higher information asymmetry, they are more likely to have split credit ratings. The difference in credit ratings is due to information asymmetry, and firms with split credit ratings have greater information asymmetry, which can be interpreted as a higher probability of post earnings announcement drift. Nowadays, despite of a growing number of study on the effect of split credit ratings 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 post earnings announcement drift.