In recent years, as we have witnessed the impact of credit rating announcements by foreign credit rating agencies on the credit ratings of nations and major corporations on the Korean stock market and economy, awareness of credit ratings has significantly increased. Accordingly, this study aims to analyze the effect of credit rating changes on stock price valuation. To this end, 1,985 cases (778 from rating agency A, 672 from B, and 535 from C) that received credit ratings from three Korean credit rating agencies between 1995 and June 1997 were selected as samples and classified into three groups: those with upgraded credit ratings, those with downgraded credit ratings, and those with unchanged ratings, and the stock returns for each group were analyzed. The results generally showed that the group with upgraded credit ratings recorded higher abnormal returns than the group with unchanged ratings, while the downgraded group recorded lower returns. However, Korean credit rating agencies tended to assign unchanged ratings at a high proportion, and the abnormal returns earned by the unchanged group did not show a statistically significant difference from those of the downgraded group; moreover, differences existed across credit rating agencies. The findings of this study can serve as useful data for the utilization of credit ratings, and methodologically, it is expected to be employed as a new approach for analyzing stock prices in response to credit rating changes.