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- Title
The Impact of Value Creation (Tobin's Q), Total Shareholder Return (TSR), and Survival (Altman's Z) on Credit Ratings.
- Authors
de Oliveira, Nazário Augusto; Basso, Leonardo Fernando Cruz
- Abstract
This research explores the impact of financial indicators on the credit ratings of companies listed on the S&P 500, employing a Sys-GMM model to address endogeneity concerns. Three independent variables categorized as market and survival factors alongside seven control variables sourced from leverage, liquidity, interest coverage, profitability, market, survival, and macroeconomic domains were investigated. The sample consisted of 2398 observations from Capital IQ Pro, spanning nine years (2013 to 2021) and encompassing 240 public companies. The findings suggest that neither Tobin's Q (TQ) nor Total Shareholder Return (TSR) lack significant correlations with credit ratings, implying that stock market performance and total shareholder return do not directly impact credit ratings. In contrast, the Altman Z-score (AZS) emerged as a significant predictor, indicating its importance in assessing credit risk. These insights enhance the understanding of financial indicators' impacts on credit ratings, aiding financial institutions and companies in prudent lending and financing decisions.
- Subjects
CREDIT ratings; VALUE creation; RATE of return on stocks; FINANCE companies; ECONOMIC indicators; FINANCIAL institutions; LOANS; CREDIT risk
- Publication
International Journal of Financial Studies, 2024, Vol 12, Issue 2, p44
- ISSN
2227-7072
- Publication type
Article
- DOI
10.3390/ijfs12020044