채권내재등급(BIR)의 가치관련성에 관한 연구

Abstract

[Purpose]This study aims to analyze whether bond implied ratings affect the value relevance of accounting information by conveying information about firms’ future cash flows, or whether optimistic(pessimistic) information is presented to the capital market and biased investor sentiment intervenes in stock price determination using only certain information. [Methodology]We select a sample of 531 firm－year listed on the KOSPI from 2015 to 2020 for which credit ratings and bond implied ratings is available. They are divided into three groups based on the relative grade of credit ratings and bond implied ratings, and a dummy variable identifying these groups is added to the Ohlson(1995) model. [Findings]The results are as follows. First, we find that the difference between credit ratings and bond implied ratings does not in itself convey information about stock price. However, it does lead to differences in the extent to which accounting information provided by firms is reflected in firms stock price. Second, we observe that for groups with implied bond ratings higher than credit ratings(optimistic), EPS is more relevant and BPS is less relevant compared to other groups. We also observe that for the group with implied bond ratings lower than credit ratings(pessimistic) BPS is more relevant that other groups. These results suggest that investor sentiment generated by implied bond ratings disclosure affect the value relevance of accounting information. [Implications]This study is more closely reflective of the actual process in that it considers the direction of credit ratings as opposed to previous study, which defined rating inflation as the situation where the credith ratings is higher that the bond implied rating and considered it as the object of analysis.