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본 논문은 임계이익의 충족과 신용평가의 관계를 실증적으로 연구한다. 구체적으로 기업이 임계이익(earnings thresholds)을 충족하였을 때 신용평가(credit ratings)에 긍정적인 영향을 미치는지 검증한다. 임계이익은 선행연구에서 일반적으로 기술하는 세 가지 이익수치를 말한다, 즉 제로이익(the zero earnings), 전기이익(the prior period's earnings), 재무분석가 이익예측치(the earnings forecasts)를 지칭한다. 이 이익수치들은 기업이 달성하여야 할 최소한의 목표수준으로 인식된다. 이 수치들은 정보이용자들의 행동을 유발하는 의사결정기준(an heuristic)이 될 수 있으므로 경영자들은 이 목표이익수치를 달성하려는 동기를 지닌다. 선행연구들은 주식시장에서 임계이익의 충족효과를 검정해 왔으나, 본 연구는 우리나라 부채시장에서 그 효과를 검정하는 것이 목적이다. 회귀분석결과에 의하면, 흑자보고와 이익증가보고가 신용평가에 긍정적인 영향을 주는 것으로 밝혀졌으며, 이익예측치 충족은 영향력이 없는 것으로 나타났다. 흑자보고의 효과는 이익증가보고와 이익예측치 충족의 효과보다 더 큰 것으로 드러났다. 채무불이행위험은 일반적으로 신용등급에 부정적인 영향을 미치지만, 채무불이행위험이 높은 기업이 임계이익을 충족시켰을 때, 채무불이행위험이 낮은 기업에 비해 신용등급에 긍정적인 영향을 미치는 것으로 나타났다. 아울러 기업어음(CP)에 대한 신용등급을 이용하여 동일한 검정을 해 본 결과, 회사채 신용등급과 유사한 결과가 나타났다. 추가하여 이익조정을 통한 임계이익 충족효과를 검정하였다. 이익조정을 통해 임계이익을 충족한 기업과 이익조정 전부터 임계이익을 충족한 기업 간에 신용평가의 차이가 있는지 비교하였다. 그 결과 이익조정을 통해 임계이익을 충족한 기업이 이익조정 전부터 임계이익을 충족한 기업에 비해 차별적으로 불리한 영향을 받지는 않는 것으로 드러났다. 본 연구는 임계이익 충족효과를 부채시장에서 검정하였다는 데 의의가 있다. 기존의 선행연구들은 주식시장에서 임계이익 충족효과를 검정하였으나 본 연구는 부채시장으로 확장하였다. 임계이익충족효과는 주식시장과 부채시장에서 다를 수 있다. 이는 채권소유주와 지분소유주간의 보상구조가 다르고 그에 따른 효용이 다르다는 데 연유한다. 채권시장에서는, 주식시장과 달리, 흑자보고효과가 가장 큰 것으로 밝혀졌다. 이 점은 본 연구의 기여라 할 수 있을 것이다.


This paper examines the relation between beating earnings thresholds and credit ratings. Specifically, I conduct empirical tests on whether beating earnings thresholds has a positive impact on credit ratings. The earnings thresholds that have been frequently suggested in the previous research are three : the zero earnings, the prior period's earnings, and finally the analyst's earnings forecasts. These earnings numbers have been mentioned as the target levels of earnings that managers wish to reach. The target numbers have important implications in that those can be an heuristic criterion for the decision makings of interested parties, so that managers have incentives to manage their performance beyond the target numbers. Actually, many scholars have mentioned the importance of those numbers in investors' decision makings. Degeorge et al.(1999) provide some theory why the earnings thresholds are of concern, which is derived from the behavioral aspects of human thoughts. They say that many of outsiders show 'a threshold mentality'. In a range of circumstances, individuals perceive continuous data in a discrete form; indeed, the tendency of dividing the world into categories is a common aspect of human thought(Glass and Holyoak, 1986, p.149). Degeorge et al.(1999) mention that positive numbers are fundamentally different from non-positive numbers in the process of human thoughts. Second, they are based on prospect theory. The theory tell us that individuals trying to choose risky alternatives behave as if they evaluate performances as changes from the reference point(Kahneman and Tversky, 1979). If the preference of managers, investors, and board of directors was consistent with the prediction of prospect theory, then managers would have incentive plans regarding earnings thresholds. The earnings thresholds managers want to reach are likely to be the reference points in the value function of interested parties. Third, the earnings thresholds are important targets because common people tend to rely on the rule of thumb to reduce transaction costs. For experts such as analysts, bankers, and raters who have the discreteness of decision-makings, the thresholds will become more important in real business environments. Most of the previous studies have tested the threshold-beating effects in the stock market(Bartov et al., 2002), but this study aims to investigate some effects in the debt market. Specifically, I try to test the impact of beating earnings benchmarks on credit ratings. This study specifies empirical models in order to test threshold-beating effects. Credit ratings are the dependent variable, and dummies, whether earnings thresholds are beaten, are independent variables. I add controlling factors into the models that is likely to affect credit ratings. According to the regression results, reporting profits or increasing earnings appears to have a positive impact on credit ratings, and beating the analysts' earnings forecasts shows no impact : I find significance in the coefficients of dummy variables that indicates reporting profits or losses and reporting increasing or decreasing earnings but I don't find significance in the coefficient of the dummy variable that represents beating the analysts' forecasts. The profit-reporting effect appears bigger than the earnings-increasing effects : the coefficient of the profit-loss dummy is estimated significantly larger than that of the earnings increase-decrease dummy. I also find that firms with high default risk in general have lower credit ratings but, when beating earnings thresholds, their credit ratings turn positive relative to firms with low default risk ; I measure this effect by using the interaction variable of a default-risk variable and main dummy variables of beating earings thresholds. which show a significantly positive coefficient as expected. Furthermore, I conduct the same empirical tests using data of credit ratings of commercial paper, finding similar results to bond credit ratings. Other than that, I test the threshold-beating effects through earnings management in debt market. I compare credit ratings of both firms that beat the thresholds with earnings management and firms that beat the thresholds without earnings management. The results tell us that firms that beat the thresholds with earnings management do not suffer from significantly unfavorable effects, relative to firms that beat the thresholds without earnings management, which is against general expectations. I interpret this result cautiously as debt market do not care about how to beat earnings thresholds. I consider some implications of this study as an empirical research testing the effects of beating earnings thresholds on credit ratings in debt market. The existing literature have examined the threshold-beating effects in stock market but I extend the range of studies to debt market. The threshold-beating may have different effects on between the stock and debt market(Jiang, 2008), because of the differences of structures of payoffs and utilities between stockholders and debtholders. Brown and Caylor(2005) find in stock market that beating analyst's forecasts has the largest effect on stock returns, but I find comparative results in debt market that reporting profits has the largest effect on credit ratings.