CAJ | 학술논문

以美国金融行业四家有代表性的金融企业在2008年～2009年的评级意见和股票价格波动数据为基础，计算了评级信息发布当日和评级信息发布前后的股票超额收益率，以揭示评级信息对股票价格带来的影响。研究发现，投资评价机构倾向于发布“利好”评级信息，评级信息发布前存在着信息提前外溢可能，评级信息对股票价格的影响比较明显，持续发布评价信息的影响存在“后发优势”，利好评级信息有效时间相对较短，利差评级信息的影响会持续较长时间，评价信息对不同企业的影响存在差异。
이미국금융행업사가유대표성적금융기업재2008년～2009년적평급의견화고표개격파동수거위기출，계산료평급신식발포당일화평급신식발포전후적고표초액수익솔，이게시평급신식대고표개격대래적영향。연구발현，투자평개궤구경향우발포“리호”평급신식，평급신식발포전존재착신식제전외일가능，평급신식대고표개격적영향비교명현，지속발포평개신식적영향존재“후발우세”，리호평급신식유효시간상대교단，리차평급신식적영향회지속교장시간，평개신식대불동기업적영향존재차이。
This paper, based on the rating opinions and the data of fluctuant stock prices in 2008-2009 of 4 representative financial businesses in the American financial industry, calculates the abnormal stock returns on the day the rating information is issued and before and after the issue, and reveals the effect of rating information on stock prices. The findings show that rating agencies tend to release ＂good＂ rating information and the possibility exists that the information is released before the rating information is issued; the rating information has notable effects on stock prices; constant release of remarks about stocks has the effect of ＂ate advantages＂; the effect of positive rating information is relatively shorter, while the impact of negative rating information on stock prices remains longer; and the rating information has different effects on different stocks .