Proceedings of the Korean Operations and Management Science Society Conference (한국경영과학회:학술대회논문집)
- 2000.10a
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- Pages.89-92
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- 2000
Information Content of Commercial Paper Credit Rating Changes In Korea
우리나라 기업어음등급평가의 정보효과 검증
Abstract
The purpose of this thesis is to investigate the information content of commercial paper credit rating changes of Korean firms. The result shows neither sinificant daily abnormal returns nor significant cumulative daily abnormal returns over the test window. This ind icates that commercial paper rating changes are not informative to investors. A sensitivity analysis conducted for the portfolio of subsample shows a similar result. This thesis, however, may contribute to the better operation of Korean financial market by providing several directions to establish credit-based financial transactions.
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