資訊揭露評鑑、信用評等與股價之相關性研究

Information Transparency Ranking, Credit Rating and Stock Prices

林錫琦(Shi-Chi Lin)

指導教授 ： 許文西

國立屏東科技大學/管理學院/企業管理系所/碩士(2008年)

https://doi.org/10.6346/NPUST.2008.00120

摘要

為提升公司企業資訊揭露的透明度，降低存在於企業內部人與外部人之間的資訊不對稱，我國在行政院金融監督管理委員會證券期貨局（證期局）積極籌劃推動下，先後擬具信用評等制度推動方案，奉行政院核定後，成立了第一家信用評等機構，中華信用評等；以及在證券暨期貨市場發展基金會(證基會)的規劃之下，成立資訊揭露評鑑系統，期望藉由此兩種制度去執行獨立、公正與專業的客觀系統化評量，來強化投資人對資本市場的信心。
本研究以資訊揭露評鑑系統、中華信用評等所公布的評等結果，來探討是否會對公司股價產生影響，進而造成股價波動，即是否會產生顯著的異常報酬率（Abnormal Returns;簡稱AR），顯示投資人確實會受到其公布結果的影響。
實證研究結果發現：
（1）「資訊揭露評鑑系統」是具有資訊內涵，但其公布的評等結果與異常報酬率的方向，卻非本研究所預期。評鑑結果分五等級，A+為最高，代表資訊最透明，C-為最低，代表資訊最不透明。本研究預期評鑑結果等級越高，亦即資訊透明度越高，其異常報酬率越高，但在等級較高組的公司，如A等級組與B等級組，其顯著的異常報酬率，卻皆為負向顯著，而在等級較低組的公司，如C與C-等級組，其顯著的異常報酬率，則為正向顯著，由此可知，此實證結果證明本研究之假說ㄧ，未獲得支持。本研究認為，其原因可能因為評鑑結果公布日與年度財務報表公告日及第一季財務報表公告日距離很近，在事件日聚集的情況下，所有觀察值在同時間除了受到研究事件的影響外，亦同時受到相同的外部因素及盈餘宣告的影響，致使股價互相干擾，因而導致實證結果的顯示較難以明顯看出，評鑑結果對投資者決策的影響性。

（2）「中華信用評等」是具有資訊內涵，而其公布的評等結果與異常報酬率的方向，也非本研究所預期。長期信用評等結果分為十個等級，最高等級為twAAA，最低等級為SD與D，本研究預期長期信用評等結果等級越高，亦即資訊透明度越高，其異常報酬率越高，但就實證結果顯示，等級較高組的公司，如twA等級組，其異常報酬率並非全然大於等級較低組的公司，如twBBB等級組，因此證明本研究之假說二，未獲得支持。雖然假說二未獲得支持，但卻間接證明資訊透明度高，對於股價是有正向的影響，因為除twAAA等級組公司，無顯著的異常報酬率，其它三個等級組公司的顯著異常報酬率，皆為正向顯著，而這三組的等級，在中華信用評等之長期信用評等等級裡，是屬於中上層級，亦即代表資訊透明度是高的，由此可知，此實證結果顯示出資訊透明度高對於股價是有正向的影響，也說明了資訊透明度對於公司的重要性，並可為投資者投資的參考依據。
另外，就兩評等系統的實證結果比較，「資訊揭露評鑑系統」其所公布等級較高組的公司，顯著異常報酬率為負向；而「中華信用評等」則為正向顯著，由此可知，兩評等系統對於投資者投資的參考價值來說，顯然「中華信用評等」是優於「資訊揭露評鑑系統」。

關鍵字

公司治理 ； 信用評等 ； 資訊透明度 ； 事件研究法 ； 資訊揭露評鑑

並列摘要

For improving the transparency of corporate information, and decreasing the information asymmetry between principals and agencies, Finance Supervisory Commission constituted a credit ranking act and established the first ranking organization, Taiwan Ratings Corporation (TRC). Taiwan Securities and Futures Institute set up “Information Transparency and Disclosure Ranking System (ITDRS)”. The government expects ITDRS and TRC to execute independent, fair and professional ranking system, and strengthen investors’ confidence of the capital market.
This research intends to discover whether the ranking results announced by ITDRS and TRC will influence the stock prices of companies, causing the fluctuation of stock prices, and produce the remarkable abnormal returns (AR). It implies that investors will be influenced by the ranking results.
The empirical results show:
(1) ITDRS has information content, but the correlation of its ranking results and AR are different from our anticipation. The ranking results by ITDRS were divided into five grades. A+ is the highest, representing more transparent; C- is the lowest, representing most opaque. Our research expects that the higher ranking grades, the more transparent of information and the more AR. However, our results show that the companies with high ranking results, like A and B group, their AR are negative. The AR of C and C- group is positive. The hypothesis 1 of our research is not supported by the empirical results. It may be the reason that the announcement day of ranking result is very close to the disclosure date of the annual reports or quarterly reports. The events happened in the same period. Therefore, the observation data maybe are influenced by other events or the external factors, such as the earnings announcement, causing the fluctuation of the stock prices. Hence, it is resulted that the announcement of transparency rankings by ITDRS does not reveal significant influence on the investor’s investment decisions.

(2) The credit ratings by TRC have information content. However, the results are contrary to our anticipation. The results of long term credit ratings are divided into 10 grades. The highest grade is twAAA, the lowest grades are SD and D. It is hypothesized that the more transparent a company is, the more AR the company earns. But, the hypothesis 2 in this study is not supported by the empirical data. The empirical results show that the AR of the company with high ranking grades, like the twA group, is not completely greater than the company with lower ranking grades, like the twBBB group. Although the hypothesis 2 did not supported, it did imply that the transparency of information will influence stock price positively. Only twAAA group did not have significant AR, the other three groups, however, have positively significant AR. All the three groups are at the first half in long term credit ratings results by TRC, representing more transparent of information. The empirical results show that transparency of information has positive influence on stock price and are, therefore, important to companies. It will also assist investors in their decision making.
In addition, comparing the empirical results between two ranking systems, the higher ranking group by ITDRS show negative and significant AR, however, the credit ratings announced by TRC show positive and significant AR. It implies that credit ratings by TRC are more useful than by ITDRS for investors in their decision making.

並列關鍵字

Corporate Governance ； Credit Rating ； Information Transparency ； Event Study ； Information Transparency Ranking

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