台灣金融控股公司之財務變數對信用評等的影響

The Financial Variables on the Impact of Credit Rating: A Study of Financial Holding Companies in Taiwan

黃秋宜(CHIU-I HUANG)

指導教授 ： 古永嘉

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2010年)

摘要

近期國際金融環境連續發生前所未有之金融危機，投資人對於未來投資環境高度不確定性，除了可參考公開資訊外，許多知名信用評等公司也提供信用評等給投資人參考，然而究竟是哪些財務變數會影響信用評等，以及如何影響？因此本研究以台灣金融控股公司為例，探討財務變數如何影響信用評等，研究樣本為針對國內10家金融控股公司(或銀行)，研究期間從2005年3月至2009年9月份季報資料，採因素分析法及逐步迴歸分析法，萃取出對信用評等較具有影響力之財務變數，得到以下結論：
1、採因素分析法可萃取出七項財務指標，分別為：收益力指標、安全性指標、資本適足率指標、資產組合指標、成長力指標、流動性指標、效率性指標，當收益力指標的增加，信用評等會隨之提高；當安全性指標上升時，信用評等會下降，亦即負債比率過高時，會使信用評等降低；效率性指標增加時，信用評等會上升，亦即總資產成長率提高，會使信用評等提高；資產組合指標增加，信用評等會上升，亦即每股淨值提高，因而使信用評等上升；當資本適足率上升時，並不會導致信用評等下降；當流動性指標增加時，信用評等隨之降低，亦即當放款相對於存款比率過高時，將會使信用評等下降；成長力指標增加時，信用評等會上升。
2、利用逐步迴歸分析法，篩選出13個對信用評等較具影響力的財務變數，與信用評等呈負相關的財務變數為營業毛利率、放款與存款比率、金融業務成本率、淨值週轉率；與信用評等呈正相關的財務變數為稅後淨利率、應收利息與放款比率、總負債與總淨值比率、負債比率、土地與淨值比率。

關鍵字

信用評等 ； 金融控股公司 ； 因素分析 ； 逐步迴歸分析

並列摘要

Recently, the international financial environment has suffered from continuous unprecedented financial crisis. Investors have high uncertainty to the future of investment environment. Referring to public information, many well-known credit rating companies also provides credit rating information to investors, but what exactly financial variables will affect the credit rating, and how? Therefore, this study will base on financial holding companies in Taiwan as example to discuss how the financial variables will impact credit ratings. The research sample adopted the data from 10 domestic financial holding companies (or banks), and the study period is from March 2005 to September 2009 quarterly data. We use the factor analysis and stepwise regression analysis to extract some financial variables which are more influence to the credit rating. And we get some conclusions as following:

1. Using factor analysis method can extract the seven financial indicators which are: earning power index, safety power index, the indicators of capital adequacy index, portfolio index, growing power index, liquidity index, and efficiency index. When earning power index increase, credit rating will subsequently improve; when safety power index rise, the credit rating will drop. In other words, when debt ratio is too high that will lower the credit rating. When efficiency index increase, the credit rating will rise. It means that total assets will rise, and will improve the credit rating. When portfolio index increase, the credit rating will rise. That means when the earnings per share increase, the credit rating will drop; when the indicators capital adequacy index grow, will not result in decreased credit rating; when the liquidity index increases, the credit rating will fall. It means that the lending ratio is relatively over the deposit ratio, making the credit ratings down; when growing power index increases, the credit rating will rise.

2. Using stepwise regression analysis screen out 13 financial variables which are more influence to the credit rating. There are 5 financial variables which negatively correlated to credit rating are gross profit margin, lending ratio, deposit ratio, financial services cost rate, total net turnover. There are 8 financial variables which positively correlated to credit rating are net profit margin, interest receivable and loan rates, ratio of total liabilities and total net, ratio of land and total net.

並列關鍵字

Credit Rating ； Financial Holding Company ； Factor Analysis ； Stepwise Regression Analysis

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