LOG IN⠴ݱâ

  • ȸ¿ø´ÔÀÇ ¾ÆÀ̵ð¿Í Æнº¿öµå¸¦ ÀÔ·ÂÇØ ÁÖ¼¼¿ä.
  • ȸ¿øÀÌ ¾Æ´Ï½Ã¸é ¾Æ·¡ [ȸ¿ø°¡ÀÔ]À» ´­·¯ ȸ¿ø°¡ÀÔÀ» ÇØÁֽñ⠹ٶø´Ï´Ù.

¾ÆÀ̵ð ÀúÀå

   

¾ÆÀ̵ð Áߺ¹°Ë»ç⠴ݱâ

HONGGIDONG ˼
»ç¿ë °¡´ÉÇÑ È¸¿ø ¾ÆÀ̵ð ÀÔ´Ï´Ù.

E-mail Áߺ¹È®ÀÎ⠴ݱâ

honggildong@naver.com ˼
»ç¿ë °¡´ÉÇÑ E-mail ÁÖ¼Ò ÀÔ´Ï´Ù.

¿ìÆí¹øÈ£ °Ë»ö⠴ݱâ

°Ë»ö

SEARCH⠴ݱâ

ºñ¹Ð¹øÈ£ ã±â

¾ÆÀ̵ð

¼º¸í

E-mail

ÇмúÀÚ·á °Ë»ö

½Å¿ëµî±Þ°ú ÁֽļöÀÍ·ü

  • ±èÅÂ±Ô ÇѸ²´ëÇб³ °æ¿µ´ëÇÐ ±³¼ö
  • ½ÅÁ¤¼ø ÀÌÈ­¿©ÀÚ´ëÇб³ °æ¿µ´ëÇÐ ±³¼ö
º» ¿¬±¸´Â ȸ»çä ½Å¿ëµî±ÞÀ¸·Î ÃøÁ¤µÈ À繫°ï°æÀ§Çè(financial distress risk)°ú ÁÖ½Ä ¼öÀÍ·üÀÇ °ü°è¸¦ ºÐ¼®ÇÏ¿´´Ù. ½Å¿ëµî±ÞÀ» ±âÁØÀ¸·Î ±¸¼ºÇÑ Æ÷Æ®Æú¸®¿ÀÀÇ ÃÊ°ú¼öÀÍ·üÀº ½Å¿ëµî±ÞÀÌ ³ªºüÁú¼ö·Ï °¨¼ÒÇÏ´Â °ÍÀ¸·Î ³ªÅ¸³µÀ¸¸ç CAPM, Fama-French 3¿äÀÎ ¸ðÇü, Carhart 4¿äÀÎ ¸ðÇüÀ» ÀÌ¿ëÇÏ¿© À§ÇèÀ» Á¶Á¤ÇÑ ÃÊ°ú¼öÀÍ·üµµ µ¿ÀÏÇÑ °á°ú¸¦ º¸¿´´Ù. ½Å¿ëµî±Þ ±âÁØ 5ºÐÀ§ Æ÷Æ®Æú¸®¿À Áß °¡Àå ³ª»Û ½Å¿ëµî±ÞÀÇ ÁֽĵéÀ» ¸Å¼öÇÏ°í °¡Àå ÁÁÀº ½Å¿ëµî±ÞÀÇ ÁֽĵéÀ» ¸ÅµµÇÏ¿© ±¸¼ºÇÑ ¸Å¼ö-¸Åµµ Æ÷Æ®Æú¸®¿ÀÀÇ °¡Ä¡°¡Áß ¹× µ¿ÀÏ°¡Áß ¼öÀÍ·ü ¿ª½Ã À¯ÀÇÇÑ À½(-)ÀÇ °ªÀ¸·Î ³ªÅ¸³µ´Ù. ³ª»Û ½Å¿ëµî±Þ Æ÷Æ®Æú¸®¿ÀÀÇ ³·Àº ¼öÀÍ·üÀº ±â¾÷±Ô¸ð, BM, ¸ð¸àÅÒÀ» ÅëÁ¦ÇÑ ÈÄ¿¡µµ À¯ÀÇÇÏ°Ô Á¸ÀçÇÏ¿´´Ù. ½Å¿ëµî±ÞÀÌ °³º° ÁֽļöÀÍ·ü¿¡ ¹ÌÄ¡´Â ¿µÇâÀ» ºÐ¼®Çϱâ À§ÇØ ½Ç½ÃÇÑ ½Å¿ëµî±ÞÀ» Æ÷ÇÔÇÑ Fama- MacBeth Ⱦ´Ü¸é ȸ±ÍºÐ¼®¿¡¼­ ½Å¿ëµî±ÞÀÇ È¸±Í°è¼ö´Â À¯ÀÇÇÑ À½(-)ÀÇ °ªÀ» º¸¿© ½Å¿ëµî±ÞÀÌ ³ªºüÁú¼ö·Ï °³º° ÁÖ½ÄÀÇ ¼öÀÍ·üÀº ³·¾ÆÁö´Â °ÍÀ¸·Î ³ªÅ¸³µ´Ù. ÀÌ·¯ÇÑ ½ÇÁõºÐ¼® °á°ú´Â Çѱ¹ ÁֽĽÃÀå¿¡ À繫°ï°æ ÀÌ·ÊÇö»óÀÌ Á¸ÀçÇÔÀ» ½Ã»çÇÏ´Â °ÍÀÌ´Ù.
½Å¿ëµî±Þ,À繫°ï°æÀ§Çè,ÀÌ·ÊÇö»ó,±Ô¸ðÈ¿°ú,BMÈ¿°ú

Credit Ratings and Equity Returns

  • Taekyu Kim
  • Jungsoon Shin
Given the numerous studies showing that firm size and book-to-market (BM) ratio are significant variables in explaining the cross-section of equity returns, size and BM effects have become the most notorious anomalies in asset pricing. Chan, Chen, and Hsieh (1985) and Chan and Chen (1991) argue that a default factor explains much of the size effect, and Fama and French (1992, 1993) show that the BM effect may be due to firms¡¯ financial distress risks. As small firms with high BM ratios are likely to suffer from financial distress, the positive relationship between financial distress risk and equity returns may provide a rational risk-based explanation for size and BM effects. However, much of the research indicates that financially distressed stocks earn abnormally lower returns. In this study, we investigate the relationship between financial distress risk, proxied by corporate bond credit ratings, and equity returns in the Korean stock market. Dichev (1998) examines the relationship between bankruptcy risk and subsequent equity returns and finds that higher distress risk is not rewarded by higher returns. The result appears to be inconsistent with a distress factor explanation of size and BM effects. Griffin and Lemmon (2002) explore the relationship between BM ratio, distress risk, and stock returns, and document that stock returns are lower for firms with low BM ratios and high distress risk. Their study is consistent with the ¡°overreaction hypothesis¡± associated with the BM effect, and the ¡°underreaction hypothesis¡± for the distress effect, implying that the BM effect is not likely to be explained by the distress risk factor. Vassalou and Xing (2004) argue that firms with higher default likelihood indicators earn higher returns. They present their analysis as a risk-based explanation of the BM effect. However, Da and Gao (2010) show that their results are driven by penny stocks and first-month reversals. Campbell, Hilscher, and Szilagyi (2008), Garlappi, Shu, and Yan (2008), and Da and Gao (2010) also confirm the negative relationship between distress risk and equity returns. The finding that stocks with high distress risk are not compensated by high returns in the stock market suggests an anomaly called ¡°the financial distress anomaly¡± or ¡°the financial distress risk puzzle.¡± There are several ways to measure a firm¡¯s default risk to examine the relationship between distress risk and stock returns. First, a logit model can be used to measure a firm¡¯s distress risk (Ohlson, 1980; Shumway, 2001; Chava and Jarrow, 2004). Griffin and Lemmon (2002), Campbell et al. (2008), and Chava and Purnanandam (2010) adopt the hazard rate estimation methodology. The second approach is based on Merton¡¯s (1974) call option pricing model. Vassalou and Xing (2004) and Kim and Park (2010) use the call option approach to measure a firm¡¯s distress risk. The third measure is the credit ratings announced by credit rating agencies. Avramov, Chodia, Jostova, and Philipov (2009) investigate the relationship between the credit ratings provided by Standard & Poor's and stock returns. In this study, we use credit ratings to measure firms¡¯ distress risk. The empirical results are summarized as follows. First, as credit ratings deteriorate, the average excess returns on the credit rating-sorted quintile portfolios decrease. The average monthly excess returns on the best (worst) rating quintile are 1.187% (-1.789%). The Capital Asset Pricing Model, Fama-French three-factor, and Carhart four-factor alphas for the credit rating quintiles also decline with the credit ratings. The return on the long-short portfolio holding stocks to the best rating quintile and shorting stocks to the worst rating quintile is significantly negative (-2.976%). These relationships hold after controlling for firm size, BM ratio, and momentum. Second, we run Fama-MacBeth regressions to examine the relationship between credit ratings and the cross-section of equity returns, and document that the coefficient on the credit rating variable is significantly negative. This finding implies that the credit rating is a significant factor in determining the cross-section of stock returns. For robustness checks, we confirm the negative relationship between distress risk and equity returns after removing downgraded firms and penny stocks from the sample. Finally, we report that market betas and loadings on the HML and SMB factors do not decrease as credit ratings decline, implying that a rational risk-based explanation is unlikely to account for abnormally low returns on stocks with bad credit ratings. Our empirical results do not support the conjecture that distress risk may be behind size and BM effects, due to evidence that distress risk is negatively related to equity returns. Kim and Park (2011) argue that default risk is positively related to stock returns in the Korean stock market. This study challenges them based on the ¡°financial distress anomaly¡± in the Korean stock market.
Credit Ratings,Financial Distress Risk,Anomalies,Size Effect,BM Effect