As the size of the domestic commercial paper market has grown, a credit rating system for commercial paper was introduced in 1985 to protect investors and establish the foundation for interest rate liberalization; however, analyses of the information effects of commercial paper credit rating changes have yet to produce consistent results. Moreover, prior studies abroad have also shown analytical results that differ from theory, and this phenomenon appears to be attributable to methodological issues. This study employed an improved research methodology to empirically examine the usability of commercial paper credit rating change information in the stock market. For this purpose, the sample consisted of 66 cases of rating upgrades, 104 cases of rating downgrades, and 608 cases of no change from companies that received credit ratings from Korea Investors Service, Inc. during the period from 1995 to June 1997, with daily abnormal returns calculated using a modified market-adjusted model as the dependent variable. The test results showed that rating upgrades recorded statistically significant information effects at the 5% level. This differs from prior studies which found significant information effects only when credit ratings were downgraded. Furthermore, the period during which credit rating change information was reflected in stock returns began from eight days before the announcement of the rating change (day -8). These research findings will provide many implications for the usability of commercial paper credit rating change information and research on credit ratings, and the research methodology used in this study is expected to serve as a new methodological approach for event studies such as testing the information effects of credit rating changes.