신용등급 변경 가능성과 기업재무정책 = The Likelihood of Credit Rating Changes and Corporate Financial Policies

국문 초록 (Abstract)

본 연구는 신용등급 변경 가능성과 기업의 재무정책 간의 관계를 조사한다. 기업의세부 신용등급이 ‘+’ 또는 ‘-’인 경우를 신용등급 변경 가능성이 높은 기업으로 정의하여, 2011년부터 2022년까지 한국 유가증권시장과 코스닥시장에 상장된 기업들을 대상으로 분석하였다. 분석 결과, 신용등급 변경 가능성이 높은 기업들은 그렇지 않는기업들에 비해 자산 대비 더 낮은 부채를 보유하였고, 더 적은 배당을 지급하였으며, 더 많은 현금을 보유하였다. 이러한 결과는 신용등급 변경 가능성이 높은 기업들이자본 비용을 줄이고 금융기관들의 투자 기준을 충족시키기 위해 보수적인 재무정책을추구하고 있음을 제시한다. 본 연구는 신용등급과 기업재무정책 간의 관계를 단순선형관계로서 분석한 이전 연구와 차별화되며, 신용등급 변경 가능성과 다양한 기업재무정책 사이의 관계에 대해 분석했다는 점에서 관련 문헌에 공헌한다.

다국어 초록 (Multilingual Abstract)

Previous studies have examined how credit ratings are associated with corporate financial decisions by focusing on their linear relationship (e.g., Baghai, Servaes, and Tamayo, 2014; Khieu and Pyles, 2016; Jung and Kim, 2018; Kim and Kim, 2019; Jeon and Lee, 2020). However, this relationship is not likely to be linear because market recognition on credit ratings and financial regulations are affected by alphabetic ratings (Kisgen, 2006). For example, firms near credit rating upgrade (a rating designated with "+") or downgrade (a rating designated with "-") have stronger incentives to obtain a credit rating jump or avoid a credit rating downgrade than these not near credit rating change issue, resulting in different corporate financial decisions. In this paper, we thus examine how the likelihood of credit rating changes affects corporate financial policies. We hypothesize that firms near credit rating changes are more likely to have conservative financial policies than these not near rating changes. Our hypothesisis based on two reasoning. First, firms closer to credit rating changes are more likely to pursue conservative financial decisions to reduce the cost of raising capital. Because credit ratings are a significant factor to determine the cost of raising capital, firms near a rating change issue are more concerned about possible changes in their cost of capital. Hence, firms with a plus (minus) rating will be more conservative regarding their financial decisions to obtain the higher rating (maintain the current rating) than these without a plus (minus) rating. Second, firms near a change in rating are likely to choose more conservative policies to meet the investment criteria of financial institutions. Financial institutions face several regulations with respect to their investments. Under the regulations, a firm’s credit rating is one of important criteria to decide the investments of financial institutions. Therefore, firms with a minus (plus) rating are motivated to set greater conservative policiesto maintain current investments (obtain new investments) from financial institutions than these not near a rating change issue. To test our conjecture, we use data on credit ratings to Korean firms over the 2011-2022 period.
Following Kisgen (2006), We define firms with a plus (+) or minus (-) rating as these closer to rating changes (upgrade or downgrade). Using the rating outlook data, we also define firms with a "Positive" or "Negative" ("Stable") outlook as these near (not near) rating changes. Moreover, we measure corporate financial policies using a firm’s leverage, dividend, and cash holdings. Our final sample includes 2,736 firm-year observations between 2011 and 2022. We find that firms with a plus or minus rating tend to use less debt, pay less dividend, and hold more cash than these without a plus or minus rating. We further find that firms with a "Positive" or "Negative"outlook are likely to borrow less, pay less dividend, and reserve more cash than these with a "Stable" outlook. The results suggest that firms more prone to rating changes are more likely to have conservative financial policies to reduce the cost of raising capital and meet the investment criteria of financial institutions. In addition, our findings remain consistent after mitigating endogeneity issues subject to reverse causality, omitted variable bias, and measurement errors. Specifically, our results persist when we re-estimate the likelihood of credit rating changes using the rating outlook data and perform propensity score matching analysis and system generalized method of moments (GMM) estimations. Unlike the previous literature that hasexamined on a linear relationship between credit ratings and corporate decisions, this paper contributes to the corporate finance literature by suggesting a non-linear relationship between the likelihood of credit rating changes and corporate financial policies. Furthermore, while existing studies on ...