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Essays on Determinants and Effects of Credit Ratings
신용등급의 결정요인과 효과에 대한 연구

DC Field Value Language
dc.contributor.advisor황이석-
dc.contributor.author오승빈-
dc.date.accessioned2017-07-13T07:27:47Z-
dc.date.available2017-07-13T07:27:47Z-
dc.date.issued2016-08-
dc.identifier.other000000137530-
dc.identifier.urihttp://hdl.handle.net/10371/119395-
dc.description학위논문 (박사)-- 서울대학교 대학원 : 경영학과, 2016. 8. 황이석.-
dc.description.abstractMy dissertation is comprised of two independent essays related to credit ratings. Credit ratings have substantially impacted the financial market. However, following several accounting scandals and the financial crisis, the quality of credit ratings has been criticized. In this respect, I examine determinants and effects of credit ratings. Below, I briefly explain the two essays in my dissertation.
In my first essay, I examine the time-series change in the explanatory power of accounting information for credit ratings (defined as rating relevance) from 1985 to 2014. I find a significantly increasing trend of rating relevance of accounting information. Capital information primarily drives this increasing trend compared to performance information. Moreover, rating relevance has increased after the passage of the Dodd-Frank Act and is positively associated with the entry of newly listed firms in the credit rating market. The results indicate that credit rating agencies have relied more on publicly available accounting information than on privately collected information in assessing credit ratings over time. The pattern can be explained by increased legal and reputational liability of credit rating agencies.
My second essay examines rating optimism of Korean companies and consequences of rating optimism on Korean economy. I construct a proxy for optimism in Korean firms’ credit ratings as deviations of actual credit ratings from the benchmark ratings estimated with U.S. credit ratings. I show average credit ratings of Korean firms in 2014 experience a three-notch drop if such firms are rated by global credit rating agencies. Next, I find that such rating optimism is negatively associated with firms’ interest expenses and bond spread and positively related to firms’ debt issuance and investment. In addition, such increased investment is more (less) likely to be classified as over-(under-) investment and long-term performance from such investment tends to be poor. The results indicate that Korean debt investors have difficulty in appreciating the rating optimism of Korean firms, enabling the firms to borrow debt at a low interest rate and to inefficiently increase their investment. Further, the rating optimism affects the survivorship bias in the Korean debt market and can be partially explained by the effect of business groups.
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dc.description.tableofcontentsEssay 1. Changes over Time in Relevance of Accounting Information in Credit Ratings 1
1. INTRODUCTION 2
2. PRIOR RESEARCH AND HYPOTHESIS DEVELOPMENT 11
2.1. Principles of credit ratings 11
2.2. Circumstance of credit rating agencies and their legal and reputational liability 13
2.3. How do CRAs incorporate accounting information over time 15
2.4. What kinds of accounting information do CRAs primarily use over time 18
2.5. The impact of Dodd-Frank on rating relevance 20
3. DATA, RESEARCH DESIGN, AND DESCRIPTIVE STATISTICS 21
3.1. Data 21
3.2. Research designs 22
3.3. Descriptive statistics 27
4. RESULTS 28
4.1. Time-series change in rating relevance of accounting information 28
4.2. Impact of Dodd-Frank on rating relevance of accounting information 32
4.3. Additional Test: The effect of new firms on rating relevance of accounting information 34
4.4. Discussions 41
5. CONCLUSION 43
Appendix A. Variable definitions 46
Appendix B. Time-series change in financing strategy 47
Appendix C. Time trend and unit root test 51
REFERENCES 52

Essay 2. Economic Consequences of Inflated Credit Ratings: Evidence from Korea 79
1. INTRODUCTION 80
2. PRIOR RESEARCH AND HYPOTHESIS DEVELOPMENT 90
2.1. Principles of credit ratings 90
2.2. Rating inflation 92
3. DATA, RESEARCH DESIGN, AND DESCRIPTIVE STATISTICS 97
3.1. Data 97
3.2. Research designs 98
3.3. Descriptive statistics 103
4. RESULTS 104
4.1. The inflation of credit ratings 104
4.2. The effect of rating inflation on cost of debt 109
4.3. The effect of rating inflation on investment 112
4.4. Survivorship bias of the Korean debt market and the inflated credit ratings 113
4.5. The effect of business group 115
5. CONCLUSION 118
Appendix A. Variable definitions 122
Appendix B. Descriptive statistics 123
REFERENCES 126

Figure and Table 132

국문 초록 153
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dc.formatapplication/pdf-
dc.format.extent1476421 bytes-
dc.format.mediumapplication/pdf-
dc.language.isoen-
dc.publisher서울대학교 대학원-
dc.subjectCredit Ratings-
dc.subjectAccounting information-
dc.subjectRelevance-
dc.subjectOptimism-
dc.subjectCost of Debt-
dc.subjectInvestment Efficiency-
dc.subject.ddc658-
dc.titleEssays on Determinants and Effects of Credit Ratings-
dc.title.alternative신용등급의 결정요인과 효과에 대한 연구-
dc.typeThesis-
dc.contributor.AlternativeAuthorSeung Bin Oh-
dc.description.degreeDoctor-
dc.citation.pages154-
dc.contributor.affiliation경영대학 경영학과-
dc.date.awarded2016-08-
Appears in Collections:
College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Theses (Ph.D. / Sc.D._경영학과)
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