회사채 등급상승과 유인구조

초록

This study examines the cause of bond rating upgrade, using bond rating data in Korea. We find that the prior split rating which indicates information asymmetry has a significant positive relationship with the rating upgrade, which supports the information asymmetry hypothesis that solving information asymmetry according to additional information inflow will result in the rating change. And we also find that changing conservative CRAs results in the rating upgrade, thereby being judged to support the incentive scheme hypothesis. Furthermore, changing CRAs is more likely accompanied by the rating upgrade in the case of information asymmetry, which supports the joint hypothesis. Our findings suggest that the rating upgrade should be considered not only by an issuer’s improved ability of repayment, but also by the possibility of incentives of bond issuers and/or CRAs.

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