KRX 시장에서의 신용등급 퍼즐에 관한 분석

This study examines the credit rating puzzle in the KRX market by analyzing 62,712 firm-month unbalanced panel data for KRX-listed companies from 2000 to 2023. The main findings are as follows: First, an analysis of decile portfolios based on credit ratings revealed that the portfolio with the lowest credit rating exhibited unique characteristics compared to other portfolios. Specifically, this portfolio showed low firm size, momentum, growth, foreign ownership, stock price, and trading volume, but high corporate investment, turnover, idiosyncratic volatility, and illiquidity. Additionally, this portfolio was associated with low alpha coefficients and high factor sensitivity. Notably, stock returns in this portfolio were significantly negative and lower than those of other portfolios. Second, even after controlling for corporate risk characteristics and stock-related factors, credit scores were found to have a significant negative effect on stock returns. This impact became more pronounced as the investment horizon increased. Third, in a model controlling for corporate characteristics, credit scores were found to have a significant negative effect on next month’s stock returns. However, changes in credit scores had a significant negative effect only on current month stock returns. These effects on stock returns remained consistent regardless of the investment horizon, credit rating, firm size, or economic conditions. Finally, the analysis of whether credit ratings act as a pricing factor showed that credit scores had a significant negative effect on stock returns in both the current and following month, whereas changes in credit scores negatively impacted stock returns only in the current month. Additionally, credit scores had a negative systematic effect on non-investment groups during economic boom periods.