Spillover Effects Within Business Groups: The Case of Korean Chaebols
研究韩国财阀集团内信用评级变动公告引发的市场反应溢出效应，发现负面溢出强于正面，且领先企业的溢出效应更显著，业务关系越紧密溢出越明显。
We examine the spillover effects that occur within Korean business groups (i.e., chaebols) by focusing on the market reactions of event firms to announcements of credit rating changes. We find that there are positive spillovers (caused by positive market reactions) and negative spillovers (caused by negative market reactions) that are driven by the market reactions of event firms. Our analyses indicate that negative spillovers are more dominant than positive spillovers. Moreover, a spillover that is driven by a leading firm within a business group has stronger effects on other firms in the group than a spillover that is driven by a nonleading firm. This suggests that the market evaluation of a business group is conducted more on the basis of a leading firm than a nonleading firm within a group. Finally, we show that the spillover effects that are analyzed in our study are more noticeable when the business relationship between an event firm and other affiliated firms is closer. This paper was accepted by Amit Seru, finance.