公司信用評等變動對股票報酬率的影響之研究

Impacts of Changing Credit Risks on Stock Returns for Companies in Taiwan

陳家誠(Jia-Cheng Chen)

指導教授 ： 劉曦敏

國立臺北大學/社會科學學院/經濟學系/碩士(2014年)

摘要

公司的信用評等反映了財務報表及專業人員對公司各類經營風險評估的綜合資訊，本研究因此想檢視此資訊對台灣上市櫃公司股票報酬的影響，以判斷公司的信用評等是否可作為股市投資的重要依據。國內進行信用評等的單位主要有中華信評機構和台灣經濟新報。基於資料取得的方便性，本研究採用台灣經濟新報資料庫的信用風險指標TCRI作為研究變數。由於每一季的公司信用評等並不常變動，因此本研究僅考慮TCRI變動時對公司接下來的四個季度股票報酬的影響，並分別控制了總體面和產業面的重要變數。除了分析整體台灣上市櫃公司的情況外，本研究亦探討在樣本夠大的產業(資料筆數超過100筆)、與股票報酬偏高和偏低的公司樣本中，TCRI變動對公司股票報酬的影響。結果顯示，整體而言公司信用評等的改善(惡化)對其接下來的一季和兩季的報酬率會有顯著的正向(負向)影響。若依產業分類，公司信用評等的改善(惡化)則對其接下來的三季和四季的報酬率會有顯著的正向(負向)影響。對於股票報酬偏高的公司，其信用評等的變動對股價的影響並不顯著；但對於股票報酬偏低的公司，其信用評等的改善對股價報酬則有顯著的負向效果，這點頗值得未來進一步探究。

關鍵字

股票報酬 ； 信評變動 ； TCRI ； 信用評等 ； 總體經濟

並列摘要

This research tries to examine the impacts of changing credit ratings for companies listed in the Taiwan stock market on their following stock returns because the ratings contain abundant information. The Taiwan Corporate Credit Risk Index(TCRI) published by the Taiwan Economic Journal(TEJ) company is employed as the credit-rating variable. Since companies’ credit ratings do not change often, this research only considers the effects of changing quarterly ratings on the following four quarterly returns of companies’ stocks, controlling relevant macroeconomic and industrial variables. In additional to the analysis using all sample data, I analyze the rating impacts for companies in different industries, as well as for companies having higher and lower stock returns during the sampling period. The results show that in general improving(worsening) credit ratings of companies will have significantly positive(negative) impacts on their following one and two quarterly stock returns. However, when grouped by industries, the credit-rating effects are significant for the following three and four quarterly returns of companies’ stocks. While varying credit ratings seems having no impact for companies with higher stock returns, the credit-rating effects for companies with lower stock returns are significant but contrary to the above influence directions, which deserves further investigation in the future.

並列關鍵字

stock return ； rating changing ； TCRI ； rating system ； macroeconomics

參考文獻

Ajayi, R. A. and Mbodja Mougoue. 1996. "On the Dynamic Relation between Stock Prices and Exchange Rates." Journal of Financial Research, 19(2), 193-207.

Ball, R. and P. Brown. 1968. "An Empirical Evaluation of Accounting Income Numbers." Journal of accounting research, 6(2), 159-78.

Barth, Mary E., William H. Beaver and Wayne R. Landsman. 1998. "Relative Valuation Roles of Equity Book Value and Net Income as a Function of Financial Health." Journal of Accounting and Economics, 25(1), 1-34.

Bartov, Eli and Gordon M. Bodnar. 1994. "Firm Valuation, Earnings Expectations, and the Exchange‐Rate Exposure Effect." The Journal of Finance, 49(5), 1755-85.

Beaver, W. H. 1968. "The Information Content of Annual Earnings Announcements." Journal of accounting research, 67-92.