本研究以本國銀行為研究對象,採用財務資訊、公司治理及市場資訊變數,嘗試先利用訊號法篩選出重要變數,進一步結合Logit模型對樣本資料的解釋能力,以了解影響銀行信用評等等級及被降等機率之重要關鍵變數,期能提供政府與實務界參考。 實證結果顯示,資產品質因素愈低、有控制權股東股權質押比率愈高、董監事持股比率愈低、成長性愈低與系統風險愈高者,被評為BBB等級以下之機率愈高。再者,我們發現影響銀行遭降等機率之變數與影響評等等級之關鍵因素略有差異,營運績效、董監事持股比率與股價報酬率降低愈多之銀行均愈可能被降等。 此外,民國92年底政府推動二次金改,信評業者則藉由細分等級方式大幅調升我國信評等級,我們發覺這些事件似乎亦對信評公司之評等方式產生影響。民國93年後,有控制權股東股權質押比率對銀行信評結果之影響顯著提升,當此比例愈高時,銀行愈可能被評為BBB等級以下。並且,民國93年後,股價報酬率與董監事持股比率對銀行被降等機率之影響亦顯著降低。
Based on the sample of banks rated in Taiwan, the study combines signal approach, factor analysis and logit model to explore the determinants of Banks’ rating grade in Taiwan. The results find that the lower asset quality, the higher ratio of pledgeds stock held by the controlling shareholders, the lower ownership of the board of directors and supervisors, the higher growth rate, and the higher systematic risk significantly increase the probability of below BBB grade. Moreover, we find that the determinants of downgrading decision are different. The greater negative change in the banks’ operation performance, the board of directors and supervisors, and the market return significantly increase the probability of downgrades. In addition, at the end of 2003, the government boosts the Second Stage Financial Reform and the banks were upgraded by subdividing a grade comprehensively. We find that these affairs seem to have some influences on the rating way in Taiwan. After 2004, the influence of the ratio of pledged stock held by the controlling shareholders on the probability of below BBB grade is more significantly. When this ratio is higher, the probability of below BBB grade is higher. Besides, the impact of the negative change in the banks’ market return and ownership of the board of directors and supervisors on the Banks’ downgrades is also lower.