信用評等改變對產業內競爭者股價的影響：以台灣市場為例

The Intra-Industry Effects of Credit Rating Changes on Stock Prices: Empirical in Taiwan Market

龍德駿(De-Jung Lung)

指導教授 ： 劉永欽

亞洲大學/管理學院/財務金融學系/碩士(2011年)

摘要

本研究使用中華信用評等公司的之初次信用評等和長期信用評等變動訊息，觀察受評公司及其競爭對手的股票表現，以探討信用評等的資訊價值。實證發現，當一家公司初次評等時，其股票在宣告期並無顯著異常報酬。當長期信用評等改變時，若為升級，在宣告期間，其股票無任何異常報酬；若為降級，則有負異常報酬，此不對稱結果與以往之文獻相同。在同業內的對手公司發現有競爭效應(competitive effect)產生，也就是當受評公司被降級時，其對手公司有顯著正的宣告期異常報酬，這意味信用評等降級訊息不只影響到宣告公司，也會影響到產業內的其他競爭者。再者，隨著評等降級愈嚴重，競爭效應愈強，表示競爭對手相對優勢愈明顯，但當降評程度不嚴重時，對手公司有同向的異常報酬，亦即負報酬，表示是屬於訊息渲染效應，由此可見受評公司與對手公司之相對關係與受評公司降級程度較有關聯。另外，本研究也發現，上述效應並無產業效果存在。總括來說，可以發現在台灣市場中信用評等蘊含有資訊價值，信用評等降級事件可以供市場投資人當作是一個投資策略擬定的參考。

關鍵字

信用評等 ； 競爭效應 ； 訊息渲染效應 ； 產業內效應 ； 事件研究法

並列摘要

This study uses credit rating data of Taiwan Ratings Corp. including the first-time credit ratings and the long-term credit rating changes to understand the intra-industry information value of the credit ratings by examining rated firms’ and their competitors’ stock returns. The study finds not significant stock abnormal return around announcement period of the first-time credit ratings. For long-term credit rating changes, the rated firms there are no abnormal announcement returns in credit upgrade events, while there are significantly negative abnormal returns in credit downgrade events. The asymmetry result is consistent with that of past literature. Moreover, the finding is that there exists an intra-industry competitive effect. Namely, in the downgraded event, while the announcement firms have negative abnormal returns, the rival firms in the same industry have positive abnormal stock returns. This means that the information of rating changes not only affects announcement firms but also the rivals in the same industry. Further, the more serious the degree of credit downgrades, the stronger the competitive effects; this reveals that the rival firms have significantly relative advantages. However, if the credit downgrade of announcement firms is slight, the rivals’ abnormal returns are in the same direction with the announcement firms’, indicating a contagion effect. Therefore, the degree of the credit downgrade for rated firms likely affects the relative position in industry between rated firms and rivals. All in all, credit ratings in Taiwan contain information values and can be used by market investors to form an investment strategy.

並列關鍵字

credit rating ； competitive effect ； contagion effect ； intra-industry effect ； event study method

參考文獻

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