Applying recurrent event analysis to understand the causes of changes in firm credit ratings

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104749

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104749

Title:	Applying recurrent event analysis to understand the causes of changes in firm credit ratings
Authors:	何柏欣;Chen, Yan-Shing;Ho, Po-Hsin;Lin, Chih-Yung;Tsai, Wei-Che
Contributors:	管理學院財務金融學系
Keywords:	AR-score;AR-score model;Assets;Capital;Capital ratios;Change agents;Companies;Cox proportional hazard model;Credit;Credit rating;credit rating change;Credit ratings;Debt;Determinants;Earnings;Economic models;Empirical research;Equity;Financial analysis;Financial models;Financial ratios;Firm value;Investments;Markets;Ratings & rankings;Recurrent;Recurrent event analysis;Sales;Sales to asset ratio;Specification;Standard scores;Studies;underinvestment problem;Variables;Working capital;Z-score;Z-score model
Date:	2012-06-01
Issue Date:	2026-04-23 11:57:14 (UTC+8)
Publisher:	Taylor and Francis Ltd.;London: Routledge
Abstract:	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
Appears in Collections:	[Department of Finance] journal & Dissertation

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