信用評等宣告對供應鏈企業之影響

The Announcement Effects of Credit Ratings along the Supply Chain

蔡豐澤(Feng-Tse Tsai) ； 陳獻儀(Hsien-Yi Chen)

《證券市場發展季刊》 27卷3期 (2015/09) Pp. 31-64

https://doi.org/10.6529/RSFM.2015.27(3).2

摘要

有別以往文獻探討信用評等對受評公司本身或競爭者所產生的影響，本文著眼於與受評公司具有實質交易關係之供應商和顧客，探究初次信用評等、短期信用評等和長期信用評等降級，以及評等展望調降等宣告事件，所可能產生的財富效果。除此之外，本文也觀察供應鏈企業的特性、產品特殊性與受評公司產業集中度的不同，是否會在宣告效果的表現上有所差異。實證結果顯示，對於初次評等宣告，顧客投資人係給予正向股價報酬評價，該現象可能來自於信用評等作業所帶來的認證效果所致；對於短期信評和評等展望降級宣告，供應商的股價報酬有顯著的下跌，但長期信評降級宣告對顧客的股東財富則產生顯著的正向效應，上述結果可能源自雙方供應鏈關係變化所致。最後，本文也發現顧客公司所屬產業集中度和本身之槓桿程度高低，係影響其投資人對信評調降訊息反應程度高低的重要因素。

關鍵字

信用評等 ； 供應鏈 ； 事件研究法

並列摘要

Previous studies have explored the financial effects of changes in a company's credit rating on that company and on its industry rivals. In this paper we focus on the response of suppliers and customers that have trade relations with the rated firm. We examine the financial effects of initial credit ratings, short-term rating downgrades, long-term rating downgrades, and negative rating outlooks on the finances of supply-chain companies. We also assess whether the characteristics of supply-chain companies, the uniqueness of products, and the industrial concentration of rated firms could lead to variations in stock price responses. Our results show that customers exhibit significantly positive stock price responses to the initial credit ratings announcements, expressing their assessments for the certification effect of credit ratings. For the short-term rating downgrades and negative rating outlooks, suppliers show significant and negative stock price responses and customers express substantially positive abnormal stock returns in the face of the long-term rating downgrades. This may be as a result of the changes in the supply-chain relation between the downgraded firm and its counterparts. Finally, we find that the industrial concentration and the debt level of customers are two important factors in explaining the financial effects of negative rating announcements.

並列關鍵字

Credit Rating ； Supply Chain ； Event Study Methodology

參考文獻

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