1 Introduction
2 Literature Review
2.1 Previous Literature
2.2 Hypothesis Development
3 Research Design
CR | IG/NIG | Grade | Definition | Moody's | S&P |
---|---|---|---|---|---|
10 | IG | Best grade | Extremely strong | Aaa | AAA |
9 | High grade | Very strong | Aa1 & Aa2 | AA + & AA | |
8 | Strong | Aa3 | AA- | ||
7 | Middle grade | Good | A1 & A2 | A + & A | |
6 | Medium | A3 | A- | ||
5 | Less vulnerable | Baa1 & Baa2 | BBB + & BBB | ||
4 | NIG | Low grade | More vulnerable | Baa3 | BBB- |
3 | Poor grade | Currently vulnerable | Ba & B &Caa | B & C & CCC | |
2 | Highly vulnerable | Ca | C | ||
1 | Extremely vulnerable | C | D |
Variable | Sign | Category | Definition | Variable | Sign | Category | Definition |
---|---|---|---|---|---|---|---|
Panel A: variable definitions | |||||||
Credit rating | + /– | Variable of interest | Credit ratings, ordinal rank 1 to 10 | Size | + | Firm size | Natural logarithm of market capitalization |
TobinQ | + | Market performance | Tobin’s Q calculated using Chung and Pruitt (1994) | Current_R | + | Short-term liquidity | Current assets/Current liabilities |
Lev | – | Business risk | Debt ratio (= Total liabilities/Total assets) | ROA | + | Firm Performance | Return on assets (= Net income/Total assets) |
SBTB | – | Business risk | Short term borrowings/Total borrowings | BigOwn | + | Governance structure | Biggest shareholder’s share holdings(%) |
Borrowing | – | Business risk | Total borrowings/Total liabilities | Foreign | + | Governance structure | Foreign investors’ share holdings(%) |
ABDA | – | Business risk | Absolute value of discretionary accruals suggested by Dechow et al. (1995) | ID | Fixed effect | Industry fixed effect | |
TRM | – | Business risk | Total amount of real earnings management suggested by Cohen and Zarowin (2010) | YD | Fixed effect | Year fixed effect | |
Panel B: Sample selection | YD | Fixed effect | Year fixed effect | ||||
Initial sample | 14,733 | ||||||
Excluding firms with no audit hour/financial data available | (1642) | ||||||
Final sample | 13,091 |
4 Empirical Results
4.1 Univariate Analysis
Obs | Mean(Med) | Max(Min) | S.D | 0 | 1 | 2 | 3 | 4 | 5 | |
---|---|---|---|---|---|---|---|---|---|---|
0. Ratings | 14,671 | 5.14(5) | 10(1) | 1.90 | 1 | |||||
1. TobinQ | 13,406 | 0.45(0.32) | 10.61(0.00) | 0.48 | 0.25*** | 1 | ||||
2. Lev | 14,733 | 0.43(0.43) | 26.47(0.00) | 0.36 | − 0.46*** | − 0.18*** | 1 | |||
3. Sbtb | 14,616 | 40.54(40.47) | 99.61(0) | 36.45 | − 0.32*** | − 0.20*** | 0.16*** | 1 | ||
4. Borrowing | 14,736 | 0.75(0.33) | 4.67(0) | 0.75 | − 0.09*** | − 0.07*** | 0.06*** | 0.03*** | 1 | |
5. ABDA | 13,922 | 0.56(0.33) | 0.56(0.33) | 0.08 | − 0.23*** | 0.05*** | 0.13*** | − 0.06*** | 0.04*** | 1 |
6. TRM | 13,922 | − 0.03(− 0.04) | 1.11(− 0.69) | 0.24 | − 0.16*** | 0.06*** | 0.03*** | − 0.00 | 0.03*** | 0.12*** |
7. Size | 13,408 | 24.54(24.28) | 32.92(19.03) | 1.55 | 0.25*** | 0.33*** | − 0.11*** | − 0.07*** | − 0.06*** | − 0.19*** |
8. Current_R | 14,733 | 2.33(1.49) | 17.73(0.24) | 2.61 | 0.13*** | 0.08*** | − 0.13*** | − 0.13*** | − 0.01 | − 0.01 |
9. ROA | 14,736 | 0.05(0.05) | 1.18(− 2.75) | 0.09 | 0.48*** | 0.09*** | − 0.14*** | − 0.06*** | − 0.05*** | − 0.17*** |
10. BigOwn | 14,736 | 0.36(0.37) | 1(0.00) | 0.22 | 0.11*** | − 0.17*** | − 0.07*** | − 0.04*** | − 0.03*** | − 0.12*** |
11. Foreign | 14,736 | 0.06(0.01) | 0.92(0.00) | 0.11 | 0.23*** | 0.18*** | − 0.09*** | − 0.12*** | − 0.02** | − 0.08*** |
Obs | Mean(Med) | Max(Min) | 6 | 7 | 8 | 9 | 10 | 11 | ||
---|---|---|---|---|---|---|---|---|---|---|
6. TRM | 13,922 | − 0.03(− 0.04) | 1.11(− 0.69) | 0.24 | 1 | |||||
7. Size | 13,408 | 24.54(24.28) | 32.92(19.03) | 1.55 | − 0.00 | 1 | ||||
8. Current_R | 14,733 | 2.33(1.49) | 17.73(0.24) | 2.61 | 0.03*** | 0.02* | 1 | |||
9. ROA | 14,736 | 0.05(0.05) | 1.18(− 2.75) | 0.09 | − 0.21*** | 0.22*** | 0.00 | 1 | ||
10. BigOwn | 14,736 | 0.36(0.37) | 1(0.00) | 0.22 | − 0.06*** | − 0.07*** | 0.04*** | 0.06*** | 1 | |
11. Foreign | 14,736 | 0.06(0.01) | 0.92(0.00) | 0.11 | 0.02*** | 0.51*** | 0.03*** | 0.14*** | 0.03*** | 1 |
4.2 Multi-Variate Analysis
Model \({Ratings}_{i,t}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | ||||
---|---|---|---|---|
Pred | Model1 | Model2 | Model3 | |
Intercept | + / − | − 5.86*** (− 23.91) | − 5.71*** (− 23.36) | − 6.58*** (− 25.47) |
TobinQ | + | 0.39*** (14.74) | 0.31*** (11.11) | 0.30*** (10.67) |
Lev | − | − 1.48*** (− 44.57) | − 1.47*** (− 44.36) | − 1.45*** (− 43.82) |
SBTB | − | − 0.01*** (− 33.69) | − 0.01*** (− 34.03) | − 0.01*** (− 33.64) |
Borrowing | − | − 0.08*** (− 19.35) | − 0.08*** (− 19.62) | − 0.08*** (− 19.47) |
ABDA | − | − 2.38*** (− 15.90) | − 2.15*** (− 14.33) | − 2.12*** (− 14.13) |
TRM | − | − 0.46*** (9.25) | − 0.46*** (− 9.16) | − 0.43*** (− 8.52) |
Size | + | 0.03*** (3.37) | 0.03*** (3.55) | 0.05*** (5.25) |
Current_R | + | 0.01*** (8.54) | 0.0.1*** (8.38) | 0.01*** (8.72) |
ROA | + | 7.49*** (51.73) | 7.49*** (52.68) | 7.42*** (51.41) |
BigOwn | + | 0.80*** (11.06) | 0.50*** (8.06) | 0.82*** (11.15) |
Foreign | + | 1.25*** (10.55) | 1.50*** (12.86) | 1.32*** (11.17) |
ID | Included | Included | ||
YD | Included | Included | ||
Mean VIF | 1.95 | 1.46 | 1.77 | |
F value | 547.98*** | 365.30*** | 285.47*** | |
Adj. R2 | 0.5217 | 0.5287 | 0.5372 | |
Obs | 13,091 | 13,091 | 13,091 |
Model \({Ratings}_{i,t}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | |||
---|---|---|---|
Pred | Q ratio above 1 | Q ratio below 1 | |
Intercept | + / − | − 6.23*** (− 6.52) | − 5.64*** (− 21.20) |
TobinQ | + | − 0.16*** (− 3.92) | 1.84*** (27.33) |
Lev | − | − 1.22*** (− 9.92) | − 1.32*** (− 39.01) |
Sbtb | − | − 0.01*** (− 8.48) | − 0.01*** (− 29.93) |
Borrowing | − | − 0.54*** (− 9.34) | − 0.08*** (− 18.15) |
ABDA | − | − 2.63*** (− 6.34) | − 2.25*** (− 14.43) |
TRM | − | − 0.15 (− 1.29) | − 0.48*** (− 8.86) |
Size | + | 0.14*** (4.13) | − 0.01 (− 0.47) |
Current_R | + | 0.01*** (2.67) | 0.01*** (7.98) |
ROA | + | 5.02*** (14.72) | 7.49*** (47.82) |
BigOwn | + | 0.61** (2.36) | 0.89*** (11.94) |
Foreign | 1.49*** (4.68) | 1.21*** (9.82) | |
ID | Included | Included | |
YD | Included | Included | |
Mean VIF | 3.90 | 1.73 | |
F value | 37.67*** | 273.45*** | |
Adj. R2 | 0.6567 | 0.5479 | |
Obs | 1077 | 12,014 |
5 Additional Analysis
5.1 Incremental Analysis
Model \({Ratings}_{i,t}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Panel A: Q ratio above specific benchmark | ||||||||||
Q > 0.1 | Q > 0.2 | Q > 0.3 | Q > 0.4 | Q > 0.5 | Q > 0.6 | Q > 0.7 | Q > 0.8 | Q > 0.9 | Q > 1.0 | |
Intercept | − 5.92*** (− 22.65) | − 5.49*** (− 18.32) | − 5.62*** (− 17.94) | − 5.53*** (− 14.61) | − 5.38*** (− 11.76) | − 5.91*** (− 11.03) | − 6.12*** (− 9.96) | − 6.10*** (− 8.48) | − 6.28*** (− 7.53) | − 6.23*** (− 6.52) |
TobinQ | 0.16*** (6.17) | 0.07** (2.47) | − 0.10*** (− 3.93) | − 0.14*** (− 4.95) | − 0.14*** (− 4.65) | − 0.15*** (− 4.48) | − 0.16*** (− 4.56) | − 0.17*** (− 4.59) | − 0.17*** (− 4.37) | − 0.16*** (− 3.92) |
Controls | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
ID/YD | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
Mean VIF | 1.90 | 2.07 | 2.29 | 2.59 | 2.70 | 2.89 | 3.04 | 3.23 | 3.42 | 3.90 |
F value | 286.45*** | 212.65*** | 235.32*** | 164.63*** | 115.51*** | 85.77*** | 64.65*** | 51.79*** | 41.72*** | 37.67*** |
Adj. R2 | 0.5610 | 0.5445 | 0.6409 | 0.6347 | 0.6263 | 0.6237 | 0.6252 | 0.6298 | 0.6299 | 0.6567 |
Obs | 11,936 | 9484 | 7043 | 5075 | 3707 | 2797 | 2108 | 1636 | 1328 | 1077 |
Q > 1.1 | Q > 1.2 | Q > 1.3 | Q > 1.4 | Q > 1.5 | Q > 1.6 | Q > 1.7 | Q > 1.8 | Q > 1.9 | Q > 2.0 | |
Intercept | − 6.48*** (− 5.77) | − 7.76*** (− 6.11) | − 8.57*** (− 5.59) | − 6.38*** (− 3.29) | − 10.68*** (− 6.46) | − 10.33*** (− 5.53) | − 10.15*** (− 4.75) | − 10.53*** (− 4.50) | − 10.99*** (− 4.29) | − 10.39*** (− 3.89) |
TobinQ | − 0.13*** (− 3.08) | − 0.17*** (− 3.65) | − 0.16*** (− 3.27) | − 0.12*** (− 2.34) | − 0.14*** (− 2.98) | − 0.12** (− 2.36) | − 0.12** (− 2.34) | − 0.10* (− 1.93) | − 0.08 (− 1.47) | − 0.10* (− 1.70) |
Controls | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
ID/YD | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
Mean VIF | 4.88 | 4.99 | 5.84 | 13.04 | 6.64 | 6.68 | 10.37 | 9.53 | 8.43 | 8.08 |
F value | 30.03*** | 24.61*** | 19.92*** | 17.82*** | 24.56*** | 26.35*** | 25.44*** | 21.22*** | 17.48*** | 17.17 |
Adj. R2 | 0.6516 | 0.6561 | 0.6590 | 0.6665 | 0.7735 | 0.8098 | 0.8291 | 0.8261 | 0.8301 | 0.8396 |
Obs | 888 | 724 | 589 | 477 | 386 | 325 | 282 | 247 | 207 | 185 |
Panel B: Q ratio below specific benchmark | ||||||||||
Q < 0.1 | Q < 0.2 | Q < 0.3 | Q < 0.4 | Q < 0.5 | Q < 0.6 | Q < 0.7 | Q < 0.8 | Q < 0.9 | Q < 0.10 | |
Intercept | − 6.57*** (− 8.36) | − 6.21*** (− 13.47) | − 5.58*** (− 15.24) | − 5.39*** (− 16.65) | − 5.49*** (− 18.31) | − 5.32*** (− 18.55) | − 5.37*** (− 19.30) | − 5.45*** (− 20.08) | − 5.48*** (− 20.54) | − 5.64*** (− 21.20) |
TobinQ | 16.01*** (9.83) | 8.54*** (17.96) | 6.26*** (24.69) | 4.78*** (28.51) | 3.82*** (29.71) | 3.17*** (29.88) | 2.55*** (28.26) | 2.16*** (27.19) | 1.92*** (26.48) | 1.83*** (27.33) |
Controls | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
ID/YD | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
Mean VIF | 1.44 | 1.45 | 1.53 | 1.59 | 1.64 | 1.67 | 1.69 | 1.71 | 1.72 | 1.73 |
F value | 22.86*** | 68.61*** | 118.31*** | 164.17*** | 204.92*** | 231.76*** | 251.00*** | 266.35*** | 276.12*** | 273.45*** |
Adj. R2 | 0.5087 | 0.5058 | 0.5113 | 0.5222 | 0.5379 | 0.5454 | 0.5490 | 0.5532 | 0.5555 | 0.5479 |
Obs | 1155 | 3607 | 6048 | 8016 | 9384 | 10,294 | 10,983 | 11,455 | 11,763 | 12,014 |
Q < 1.1 | Q < 1.2 | Q < 1.3 | Q < 1.4 | Q < 1.5 | Q < 1.6 | Q < 1.7 | Q < 1.8 | Q < 1.9 | Q < 2.0 | |
Intercept | − 5.70*** (− 21.61) | − 5.75*** (− 21.91) | − 5.80*** (− 22.22) | − 5.85*** (− 22.50) | − 5.87*** (− 22.62) | − 5.88*** (− 22.70) | − 5.93*** (− 22.88) | − 5.96*** (− 23.03) | − 6.01*** (− 23.23) | − 6.04*** (− 23.34) |
TobinQ | 1.66*** (26.54) | 1.50*** (25.56) | 1.34*** (24.26) | 1.22*** (23.43) | 1.14*** (22.98) | 1.09*** (22.78) | 1.03*** (22.12) | 0.98*** (21.61) | 0.91*** (20.51) | 0.87*** (19.97) |
Controls | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
ID/YD | Included | Included | Included | Included | Included | Included | Included | Included | Included | Included |
Mean VIF | 1.73 | 1.74 | 1.75 | 1.75 | 1.75 | 1.76 | 1.76 | 1.76 | 1.76 | 1.76 |
F value | 280.42*** | 285.40*** | 287.28*** | 290.28*** | 289.49*** | 289.56*** | 289.53*** | 290.59*** | 290.55*** | 290.69*** |
Adj. R2 | 0.5502 | 0.5513 | 0.5502 | 0.5505 | 0.5481 | 0.5470 | 0.5461 | 0.5463 | 0.5455 | 0.5452 |
Obs | 12,203 | 12,367 | 12,502 | 12,614 | 12,705 | 12,766 | 12,809 | 12,844 | 12,884 | 12,906 |
5.2 Persistency Tests
Model \({Ratings}_{i,t(t+1,t+2)}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | ||||
---|---|---|---|---|
Pred | DV:\({Ratings}_{i,t}\) | DV:\({Ratings}_{i,t+1}\) | DV:\({Ratings}_{i,t+2}\) | |
Intercept | + / − | − 6.58*** (− 25.47) | − 6.01*** (− 20.32) | − 5.90*** (− 17.71) |
TobinQ | + | 0.30*** (10.67) | 0.36*** (10.45) | 0.32*** (8.13) |
Lev | − | − 1.45*** (− 43.82) | − 1.15*** (− 31.27) | − 0.93*** (− 23.01) |
SBTB | − | − 0.01*** (− 33.64) | − 0.01*** (− 25.55) | − 0.01*** (− 21.68) |
Borrowing | − | − 0.08*** (− 19.47) | − 0.07** (− 13.61) | − 0.05*** (− 9.00) |
ABDA | − | − 2.12*** (− 14.13) | − 2.01*** (− 11.72) | − 1.77*** (− 9.25) |
TRM | − | − 0.43*** (− 8.52) | − 0.58*** (− 10.13) | − 0.45*** (− 6.96) |
Size | + | 0.05*** (5.25) | 0.02** (2.08) | 0.03** (2.01) |
Current_R | + | 0.01*** (8.72) | 0.01*** (6.75) | 0.01*** (6.64) |
ROA | + | 7.42*** (51.41) | 6.57*** (40.18) | 5.35*** (29.56) |
BigOwn | + | 0.82*** (11.15) | 0.83*** (10.04) | 0.83*** (8.94) |
Foreign | + | 1.32*** (11.17) | 1.63*** (12.08) | 1.72*** (11.27) |
ID | Included | Included | Included | |
YD | Included | Included | Included | |
Mean VIF | 1.77 | 1.73 | 1.71 | |
F value | 285.47*** | 180.88*** | 114.06*** | |
Adj. R2 | 0.5372 | 0.4368 | 0.3413 | |
Obs | 13,091 | 12,182 | 11,278 |
5.3 Controlling for Previous Year’s Credit Ratings
Model \({Ratings}_{i,t}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+{\beta }_{12}{{Ratings}_{i,t-1}/\Delta Ratings}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | |||
---|---|---|---|
Pred | DV: CR_t | DV: CR_t | |
Intercept | + / − | − 1.17*** (− 6.21) | − 6.71*** (− 27.13) |
TobinQ | + | 0.08*** (3.84) | 0.25*** (9.36) |
Lev | − | − 0.85*** (− 28.90) | − 1.88*** (− 50.58) |
SBTB | − | − 0.00*** (− 18.69) | − 0.01*** (− 32.23) |
Borrowing | − | − 0.04*** (− 12.30) | − 0.08*** (− 17.80) |
ABDA | − | − 1.21*** (− 11.11) | − 1.87*** (− 12.86) |
TRM | − | − 0.22*** (− 6.20) | − 0.41*** (− 8.36) |
Size | + | − 0.02*** (− 2.81) | 0.07*** (7.29) |
Current_R | + | 0.00*** (3.33) | 0.01*** (7.96) |
ROA | + | 4.73*** (43.41) | 6.70*** (46.27) |
BigOwn | + | 0.06 (1.03) | 0.86*** (11.97) |
Foreign | + | 0.42*** (5.06) | 1.28*** (11.41) |
\({Ratings}_{i,t-1}\) | 0.61*** (107.56) | ||
\({\Delta Ratings}_{i,t}\) | 0.31*** (29.99) | ||
ID | Included | Included | |
YD | Included | Included | |
Mean VIF | 1.70 | 1.68 | |
F value | 803.60*** | 342.71*** | |
Adj. R2 | 0.7732 | 0.5925 | |
Obs | 12,544 | 12,544 |
5.4 Investment/Non-Investment Grade Analysis
Model \({Ratings}_{i,t}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | |||
---|---|---|---|
Panel A: Investment grade vs Non − investment grade group | |||
Pred | IG | NIG | |
Intercept | + /– | − 5.20*** (− 24.53) | − 7.56*** (− 26.60) |
TobinQ | + | − 0.11*** (− 5.67) | 0.23*** (6.24) |
Lev | – | − 3.77*** (− 40.49) | − 0.44*** (− 17.09) |
Sbtb | – | − 0.00*** (− 11.04) | − 0.00*** (− 6.13) |
Borrowing | – | − 0.20*** (− 4.47) | − 0.05*** (− 15.06) |
ABDA | – | − 1.57*** (11.36) | − 1.20*** (− 8.27) |
TRM | – | − 0.22*** (− 5.58) | − 0.30*** (− 5.04) |
Size | + | 0.07*** (9.36) | 0.03*** (2.87) |
Current_R | + | − 0.00** (− 2.44) | 0.04*** (8.64) |
ROA | + | 5.34*** (37.91) | 3.26*** (21.15) |
BigOwn | + | 0.33*** (5.35) | 0.24*** (3.10) |
Foreign | + | 0.44*** (5.24) | 0.51*** (2.90) |
ID | Included | Included | |
YD | Included | Included | |
Mean VIF | 2.00 | 1.62 | |
F value | 142.75*** | 40.02*** | |
Adj. R2 | 0.5004 | 0.2809 | |
Obs | 7607 | 5484 |
5.5 OLS/Controlling for Firm/Year Fixed Effect
5.6 Excluding the Leverage Effect
5.7 Leverage Above/Below Median Analysis
Model \({Ratings}_{i,t}={\beta }_{0}+{\beta }_{1}{TobinQ}_{i,t}+{\beta }_{2}{Lev}_{i,t}+{\beta }_{3}{SBTB}_{i,t}+{\beta }_{4}{Borrowing}_{i,t}+{\beta }_{5}{ABDA}_{i,t}+{\beta }_{6}{TRM}_{i,t}+{\beta }_{7}{Size}_{i,t}+{\beta }_{8}{Current\_R}_{i,t}+{\beta }_{9}{ROA}_{i,t}+{\beta }_{10}{BigOwn}_{i,t}+{\beta }_{11}{Fore}_{i,t}+ID+YD+{\varepsilon }_{i,t}\) | |||
---|---|---|---|
Pred | Lev above median | Lev below median | |
Intercept | + / − | 6.05*** | 6.41*** |
(25.95) | (36.05) | ||
TobinQ | + | 0.49*** | − 0.06** |
(12.20) | (2.56) | ||
Lev | − 0.48*** | − 3.26*** | |
(− 14.15) | (− 23.11) | ||
Sbtb | – | − 0.01*** | − 0.00*** |
(− 13.36) | (− 2.74) | ||
Borrowing | – | − 0.05*** | − 2.56*** |
(− 12.82) | (− 26.10) | ||
ABDA | – | − 2.07*** | − 2.28*** |
(− 11.16) | (− 14.70) | ||
TRM | – | − 0.69*** | − 0.24*** |
(− 11.44) | (− 5.89) | ||
Size | + | − 0.07*** | 0.08*** |
(− 5.94) | (8.46) | ||
Current_R | + | 0.08*** | − 0.00*** |
(7.60) | (− 3.27) | ||
ROA | + | 7.29*** | 7.39*** |
(39.91) | (53.96) | ||
BigOwn | + | 0.34*** | 0.31*** |
(4.21) | (5.21) | ||
Foreign | + | 2.38*** | 0.46*** |
(13.31) | (4.65) | ||
ID | Included | Included | |
YD | Included | Included | |
Mean VIF | 1.13 | 1.47 | |
F value | 403.52*** | 959.20*** | |
Adj. R2 | 0.4044 | 0.6177 | |
Obs | 6550 | 6541 |