The effect of credit rating downgrades along the supply chain

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2021-12-14 DOI:10.1108/raf-10-2020-0295
Dallin M. Alldredge, Yinfei Chen, Steve Liu, Lan Luo
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引用次数: 2

Abstract

Purpose This study aims to examine the information transfer effects of customers’ credit rating downgrades on supplier firms. Design/methodology/approach In this study, the authors use suppliers’ cumulative abnormal returns around customers’ credit rating downgrade events to identify how shocks to customer credit impact supplier equity prices. The authors also incorporate ordinary least squares and weighted least squares regressions regression analysis of the determinants of supplier market response to customer downgrades. Findings The authors find that customer credit rating downgrades present significant negative shocks to the stock prices of supplier firms. Moreover, the authors show that the information transfer effects are determined by both firm- and industry-level factors, including the market anticipation of downgrades, the strength of the customer–supplier linkage, the industry rivals’ reactions to the downgrades and investor attention. The authors also find that the likelihood that a supplier will receive a rating downgrade is significantly higher following its primary customer firm’s downgrade. Originality/value To the best of the authors’ knowledge, this paper is the first to explore the information transfer effects of credit rating downgrades on primary stakeholders within the supply chain. The authors document that customer–supplier networks have valuable implications for the spillover effect across debt and equity holders. Information about customers’ financial stress is incorporated into suppliers’ equity prices outside of the context of customer bankruptcy.
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信用评级下调对整个供应链的影响
目的探讨顾客信用评级下调对供应商企业的信息传递效应。设计/方法/方法在本研究中,作者使用供应商在客户信用评级下调事件周围的累积异常回报来确定客户信用冲击如何影响供应商股票价格。作者还结合普通最小二乘法和加权最小二乘法回归分析了供应商市场对客户降级反应的决定因素。研究发现,客户信用评级下调对供应商公司的股价有显著的负向冲击。此外,作者还表明,信息传递效应是由企业和行业层面的因素决定的,包括市场对评级下调的预期、客户-供应商联系的强度、行业竞争对手对评级下调的反应和投资者的关注。作者还发现,供应商在其主要客户公司评级被下调后,其评级被下调的可能性明显更高。原创性/价值据作者所知,本文首次探讨了信用评级下调对供应链内主要利益相关者的信息传递效应。作者证明,客户-供应商网络对债务和股权持有人之间的溢出效应具有重要意义。在客户破产的背景之外,有关客户财务压力的信息被纳入供应商的股票价格。
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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