기업집단소속에 따른 신용등급변경이 주식가격에 미치는 영향

목차

I. 머리말

II. 기업집단에 대한 신용평가 및 가설설정
1. 기업집단에 소속된 기업의 신용평가
2. 가설설정

III. 연구설계 및 자료수집
1. 연구모형
가. 비정상수익률의 측정
나. 회귀분석모형
2. 표본선정과 구성

IV. 실증분석 및 결과해석
1. 신용등급변경에 따른 기업집단소속별 주가반응
2. 횡단면 회귀분석 결과

V. 요약 및 시사점

참 고 문 헌

본문내용

aul A. and Antonio Z. Sanvicente, Common Stock Returns and Rating Changes: A Methodological Comparison, Journal of Finance, Vol.37, No.1(1982), pp.103-119.
Hand, John R. M., Robert W. Holthausen and Richard W. Leftwich, The Effect of Bond Rating Agency Announcements on Bond and Stock Prices, The Journal of Finance, Vol 47, No.2(1992), pp.733-752
Hite, Gailen and Arthur Warga, The Effect of Bond Rating Changes on Bond Price Performance, Financial Analysts Journal, May/June(1997), pp.35- 51.
Holthausen, Robert W. and Richard W. Leftwich, The Effect of Bond Rating Changes on Common Stock Prices, Journal of Financial Economics 17(1986), pp.57-89.
Kaplan, R. and G. Urwitz, Statistical Model of Bond Ratings: A Methodoligical Inquiry, Journal of Business 52(1979), pp.231-262 .
Korajczyk, R. A., D. J. Locas & R. L. McDonail, The Effect of Information Releases on the Pricing and Timing of Equity Issues, The Review of Financial Studies(1991), pp.685-707.
Matolcsy, Z. P. and T. Lianto, The Incremental Information Content of Bond Rating Revisions: The Australian Evidence, Journal of Banking & Finance, Vol.19(1995), pp.891-902.
<부 록>
<부록 표> 기업집단소속 여부에 따른 신용등급변경과 누적비정상수익률
검증일
신용등급 상향변경
신용등급 하향변경
30대
31-100대
기타
F 값
30대
31-100대
기타
F 값
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
.0013
.0084
.0052
-.0035
-.0108
-.0105
-.0108
-.0116
-.0117
-.0079
-.0087
-.0062
-.0028
-.0013
.0091
.0107
.0095
.0116
.0077
.0193
.0264
.0297
.0233
.0177
.0109
.0018
-.0072
-.0135
-.0091
-.0076
.0068
-.0022
-.0003
-.0015
.0076
-.0003
.0126
.0239
.0281
.0345
.0408
.0440
.0487
.0482
.0404
.0325
.0296
.0320
.0354
.0403
.0378
.0416
.0354
.0312
.0318
.0301
.0362
.0444
-.0042
.0056
.0041
.0038
.0084
.0046
.0149
.0162
.0241
.0320
.0315
.0402
.0347
.0362
.0338
.0441
.0441
.0468
.0449
.0477
.0670
.0729
.0610
.0650
.0734
.0742
.0830
.0825
.0793
.5678
.0314
.1173
.0832
.4204
.3177
.5549
.6722
.8650
.9148
.9920
1.0916
.8544
.8713
.4801
.4600
.3819
.3833
.4063
.2142
.4225
.5304
.3481
.5320
.8396
.9256
1.4612
1.5830
1.3825
.0069
.0071
.0036
.0099
.0124
.0105
.0033
.0012
.0027
.0026
.0023
-.0090
-.0140
-.0073
-.0009
-.0034
-.0113
-.0145
-.0115
-.0014
.0026
-.0087
-.0296
-.0357
-.0360
-.0246
-.0254
-.0271
-.0256
.0034
.0051
.0067
-.0034
-.0062
-.0156
-.0250
-.0110
-.0032
-.0134
-.0121
-.0094
-.0084
-.0054
-.0072
-.0062
-.0076
-.0114
-.0164
-.0110
-.0016
.0017
-.0132
-.0166
-.0040
-.0072
-.0129
-.0157
-.0068
.0035
.0002
-.0025
.0017
-.0037
-.0080
-.0022
.0013
.0036
.0011
-.0012
-.0053
-.0001
.0026
.0044
.0063
.0045
.0029
.0005
.0072
.0200
.0144
.0104
.0129
.0128
.0172
.0175
.0181
.0104
.2055
.5092
.4735
.5995
1.4306
2.2974
2.5859*
.5366
.1306
.6274
.4738
.0429
.3723
.1772
.1752
.1935
.2454
.2977
.2571
.2779
.4335
.3510
.9496
1.2997
1.4637
1.1123
1.2199
1.2955
.6442
-16, 12
.0027
.0270
.0404
.7349
-.0076
-.0081
.0052
.4170
-16, -1
-.0032
.0203
.0206
.5963
.0017
-.0070
.0001
.3282
0, 12
.0099
.0353
.0647
.7492
-.0191
-.0094
.0114
.7447
주) *는 10%, **는 5% 수준에서 유의함.

키워드

기업집단소속에따른신용등급변경,   기업집단에대한신용평가,   기업집단에소속된기업,   기업의신용평가,   비정상수익률의측정,   자금배분및내부거래,   신용등급변경의차별적정보효과,   기업집단소속별주가반응