신용평가회사는 악재를 지연하여 반영하는가?

[Purpose]This study analyzes the possibility that a credit rating agency may grant a favorable credit rating to a company while delayingly reflecting the deteriorated information of companies (issuers) due to problems with the credit rating system and the profit structure of credit rating companies. Under the structure where a company (issuer) selects a credit rating agency, the credit rating agency’s revenue is inevitably dependent on the commission of the company (issuer). For this reason, it is difficult for credit rating agencies to take an independent position from companies (issuers). Under this environment, we want to analyze whether the credit rating agency delays and reflects the deteriorating information (bad news) of the company (issuer). [Methodology]Multivariate regression analysis was performed on 704 (1,283) company－year samples with an interest coverage ratio of 1.0 (1.5) or less among companies listed on KOSPI and KOSDAQ markets from 2003 to 2022. [Findings]As a result of the empirical analysis, deteriorating information (bad news), that is, a drop in the interest coverage ratio compared to the previous year, showed a negative (－) relationship with the credit rating. Credit rating agencies’ behavior of reflecting information is the opposite of accounting conservatism, where good news is reflected slowly and bad news is reflected in a timely manner. This is judged to be due to the revenue structure (credit rating environment) in which credit rating agencies depend on commissions from companies (issuers). In other words, this phenomenon can be interpreted as a behavior in which credit rating agencies are tolerant of upward adjustments of ratings in line with the company’s (issuer’s) intention to obtain high ratings, but delay as much as possible in terms of downward adjustments of ratings. In addition, as a result of yearly analysis, during the 2008 financial crisis, the behavior of delaying and reflecting adverse events was high. In 2010, the ‘Standard Internal Control Standards’ was established, and in 2013, regulations related to credit rating companies were transferred from the ‘Credit Information Act’ to the ‘Capital Markets Act’ and further strengthened. Afterwards, in 2015 and 2016, the delayed reflection of adverse events seemed to temporarily improve, but it was found that there was no continuity. And in 2021 and 2022, it was found that the behavior of delaying and reflecting adverse events when calculating credit ratings became stronger. This is the part where the effectiveness of the system is judged to fall short of expectations, despite the strengthening of regulations on credit rating agencies. [Policy Implications]In this study, we analyzed whether or not the financial stability of companies (issuers) was delayed and reflected in the credit rating process, and confirmed the rating calculation behavior of credit rating agencies. The results of this study are not only useful for information users’ decision－making using credit ratings, but also contribute to providing policy implications for the need for institutional improvement for credit rating agencies’ rating systems and market structural problems.