Background: Investors depend on rating agencies to provide an independent assessment of the ability of companies operating in the transition economy to meet their debt obligations. Any change in a firm’s credit rating conveys informed signals about the financial health of the firm and that information should offer markets better knowledge about the future prospects of the firm’s ability to pay creditors and equity holders. What we do not know is the magnitude of the impact of credit rating change on the stock yields of companies operating in a transitional and risky economy like South Africa. The literature indicates that the amount of influence that a rating agency has on equity returns is ambiguous. Objectives: The purpose of this study is to determine whether companies’ share prices react to a change in credit rating. The study also investigates the financial risk factors that differentiate between credit rating downgrades and upgrades. Methods: The event study methodology was utilised to measure the abnormal returns of companies listed on the Johannesburg Stock Exchange (JSE) that had a credit rating change between 2005 and 2015. Logistic regression was used to establish the financial factors influencing the direction of credit rating change. Results: We found that there was no significant impact evident on equity prices when companies’ credit rating upgrades were announced by the credit rating agencies, indicating that the upgrades are largely anticipated by the market at the time they are announced. However, the market reacts significantly negatively when companies’ credit rating downgrades are announced, suggesting that only credit rating downgrades contain relevant pricing information. The finding implies that the credit rating downgrades may lead to disinvestment from the economy, leading to deterioration in macroeconomic indicators in the country within which the firm operates. Furthermore, factors, including interest cover and firm earnings, are significant in differentiating between credit rating upgrades and downgrades, implying that debt issuers in South Africa can manage their credit rating by managing specific financial risk factors. Conclusion: In an emerging and transitional economy like South Africa, the market reacts significantly negatively to credit rating downgrades, just as they do in developed countries like the USA. Stock prices react negatively to credit rating downgrades because credit rating agencies convey adverse private information about a company through these downgrades.

中文翻译：

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转型经济中企业信用评级的变化和企业的回报：以南非为例

背景：投资者依靠评级机构对转型经济中的公司履行债务义务的能力进行独立评估。公司信用评级的任何变化都会传达有关公司财务状况的知情信号，并且该信息应向市场提供有关公司支付债权人和股权持有人能力的未来前景的更好的知识。我们所不知道的是，信用评级变化对像南非这样的具有过渡性和风险性的经济体运营的公司的股票收益率的影响程度。文献表明，评级机构对股票收益的影响程度是模棱两可的。目标：这项研究的目的是确定公司的股价是否对信用评级的变化做出反应。这项研究还调查了区分信用等级降级和升级的财务风险因素。方法：使用事件研究方法来衡量在约翰内斯堡证券交易所（JSE）上市的，在2005年至2015年之间发生信用评级变化的公司的异常收益。使用Logistic回归建立影响信用评级方向的财务因素更改。结果：我们发现，当信用评级机构宣布公司的信用评级上调时，对股价没有明显影响，表明该评级上调很大程度上是市场在宣布之时所预期的。但是，当公司宣布信用评级下调时，市场会做出重大的负面反应，建议仅信用评级下调包含相关的定价信息。该发现表明，信用评级的下调可能导致对经济的投资减少，从而导致公司经营所在国家的宏观经济指标恶化。此外，包括利息保障和公司收益在内的因素对于区分信用评级的上调和下调具有重要意义，这意味着南非的债务发行人可以通过管理特定的金融风险因素来管理其信用评级。结论：在像南非这样的新兴和转型经济体中，市场对信用评级下降的反应很大，就像在美国这样的发达国家中一样。