槓桿結構決定因子

DETERMINANTS OF LEVERAGE STRUCTURE

丘宇軒(Yu-Hsuan Chiou)

指導教授 ： 黃宜侯

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2012年)

https://doi.org/10.6838/YZU.2012.00103

摘要

對於投資者來說，信用評等為一個快速且簡單的投資指標;就發行者而言，如果獲得較佳的評等，藉此可以取得較低的成本；就主管機關來說，信用評等可以提供一個預警的功能，並協助控管受評等的公司，加強市場的流動性與透明度，但金融海嘯過後，信用評等的準確性，就遭到很大的質疑，也再次受到大眾的關注。先前的文獻指出，當公司接近評等升級或者降級時，會減少負債的發行。另一方面，公司的槓桿結構，對於公司之價值有其相對的影響，過多的負債比率，不但增加了公司倒債的危機，也會造成公司信譽下降。除此之外，股票市場的好與壞，也影響公司外部融資上長期債務與權益資金來源的分配。甚者，公司槓桿結構之決定為公司管理階層所做的財務決策，因此，本篇主旨為探討影響公司槓桿結構的重要決定因子，並了解管理者行為對於改變其公司槓桿結構之影響力。本篇實證方法分別為，Treatment effect regressions以及Threshold regressions ，經由實證可以發現：1.當受到信用評等後，無論是信用升等或降評，公司是否發行較多的負債，取決於當時的股票市場好壞。2.一但公司治理變差時，公司會發行較少的債務。

關鍵字

槓桿結構 ； 信用評等 ； 信用風險 ； 信用違約

並列摘要

Investors take credit rating as a convenient and simple indicator. From the viewpoint of issuers, they have relatively lower issue cost when they are acquired preferable credit rating. On the other hand, authorities could take precautionary measures by the change of credit rating. In addition, credit rating facilitates the transparency of financial markets. The importance and accuracy of credit rating are reemphasized after financial crisis. Previous papers documented that firms near an upgrade of credit rating or downgrade would issue less debt relative to equity than firms are not near a change in credit rating. On the other hand, leverage structure absolutely influences on the firm performance. A company with higher debt ratio not only has higher default risk but also reduces the creditworthiness. In addition, stock market also affects the allocation between debt and equity. Besides, the financial decision of leverage structure is made by the corporate management. As the result, this paper discusses the determinants of leverage structure and investigates the impact of corporate management behavior on firm’s leverage structure. By employing Treatment effect regressions and Threshold regressions, this paper finds that: 1. Whether management making financial decision to issue debt or equity depends on the market situation after changes in credit rating 2.Both of the firms with higher and lower governance index would issue less debt as the governance is worse.

並列關鍵字

Leverage Structure ； Credit Rating ； Credit Risk ； CDS

參考文獻

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