摘要： This study applies recurrent event analysis to examine the determinants of changes in firm credit ratings. This study uses two extended Cox proportional hazard models to examine upgrade and downgrade data separately. Explanatory variables are taken from financial ratios in Z-score (Altman, 1968 ) and AR-score (Altman and Rijken, 2004 ) models. The empirical results first suggest that sales to asset ratio and market equity to book debt ratio are the key explanatory variables for the sample comprising credit rating upgrade firms examined using Z-scores specification. Next, the sample of credit rating upgrade firms examined using AR-score variables reveals that the first rating of young firms is generally underestimated. Additionally, analysis of sample comprising credit downgrade firms examined using Z-score specification identifies working capital to asset ratio and market equity to book debt ratio as the key explicative variables. Furthermore, analysis of sample of credit downgrade firms examined using AR-score model reveals that larger firms are not easily downgraded, and old firms are more likely to be downgraded because of their ratings typically having initially been overestimated. Finally, high q firms with high retained earnings may suffer from underinvestment problem. Consequently, credit agencies may be reluctant to upgrade such firms. 出版者： London: Routledge 出版日期： 2012-06 出處： Applied financial economics, 2012-06, Vol.22 (12), p.977-988 資源來源： EBSCOhost Business Source Premier 版權： Copyright Taylor & Francis Group, LLC 2012 版權： Copyright Routledge 2012 識別號： ISSN: 0960-3107 識別號： EISSN: 1466-4305 識別號： DOI: 10.1080/09603107.2011.633888
