신용등급과 주식수익률 (Credit Ratings and Equity Returns)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 27권 / 3호 / 423 ~ 455페이지
· 저자명 : 김태규, 신정순

초록

본 연구는 회사채 신용등급으로 측정된 재무곤경위험(financial distress risk)과 주식수익률의 관계를 분석하였다. 신용등급을 기준으로 구성한 포트폴리오의 초과수익률은 신용등급이 나빠질수록 감소하는 것으로 나타났으며 CAPM, Fama-French 3요인 모형, Carhart 4요인 모형을 이용하여 위험을 조정한 초과수익률도 동일한 결과를 보였다. 신용등급 기준 5분위 포트폴리오 중 가장 나쁜 신용등급의 주식들을 매수하고 가장 좋은 신용등급의 주식들을 매도하여 구성한 매수-매도 포트폴리오의 가치가중 및 동일가중 수익률 역시 유의한 음(-)의 값으로 나타났다. 나쁜 신용등급 포트폴리오의 낮은 수익률은 기업규모, BM, 모멘텀을 통제한 후에도 유의하게 존재하였다. 신용등급이 개별 주식수익률에 미치는 영향을 분석하기 위해 실시한 신용등급을 포함한 Fama- MacBeth 횡단면 회귀분석에서 신용등급의 회귀계수는 유의한 음(-)의 값을 보여 신용등급이 나빠질수록 개별 주식의 수익률은 낮아지는 것으로 나타났다. 이러한 실증분석 결과는 한국 주식시장에 재무곤경 이례현상이 존재함을 시사하는 것이다.

영어초록

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.

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