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研究生： 陳苑怡
Chan, Un-I
論文名稱： 股價變動與信用風險指標之關聯研究－以台灣為例
The Correspondence to Stock Price Changes with Taiwan Corporate Credit Risk Index
指導教授： 梁少懷
Liang, Shao-Huai
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2016
畢業學年度： 104
語文別： 英文
論文頁數： 58
中文關鍵詞： 信用風險指標 、超額報酬 、景氣指標
外文關鍵詞： Credit Risk, Abnormal Return, Monitoring Indicators
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    • 本研究主要探討台灣信用風險指標（TCRI）升降等前後相對應的超額報酬之關聯，資料均取自台灣經濟新報（TEJ）及景氣指標查詢系統。由於資料庫所提供之信用風險指標為每季更新，因此我們所取用的自變數也為季資料，樣本期間為1995年第四季至2015年第二季。研究結果顯示，被調升評等的當季有顯著正的超額報酬，而被調降的則沒有。除此之外，我們加入了國家發展委員會所提供之景氣燈號資料作為景氣變化之衝量，研究結果發現，加入景氣燈號後並無提高對信用風險指標之解釋能力。另一方面，我們探討信用風險指標及景氣燈號同時發生改變之樣本中之超額報酬會否對有更顯著之關係。為加強結論的強健性，本研究進一步把升降等比較集中及異常多的年份挑出討論，探討隨著景氣變化變數間之關係及顯著性是否有改變，研究結果均顯示與原樣本並無顯著差異。最後，我們刪除標準差異常大變數之極值後亦發現結果維持不變。

    This paper uses changes in the Taiwan Corporate Credit Risk Index (TCRI) to examine abnormal return of common stock. The evidence suggests that there is significantly positive abnormal return with respect to upgrade announcements and that there is no significant relationship between TCRI and excess return when downgrading. The previous literature has been mainly event studies focused on the effects of rating changes regarding to stock returns during specific day-windows related to surrounding announcement releases, with less literature analyzing the effect by using the TCRI, which renews quarterly.
    In spite of the fact that the TCRI is updated quarterly, it cannot affect the financial market on a timely basis and guide investors to make decisions instantly, which leads to information asymmetry. This study is aimed toward an analysis of the entire stock return performance period under changes in the TCRI to test whether non-timely, periodic information relates to financial markets. Further, we utilize the monitoring indicator from the Business Indicators DataBase to test whether changes in the TCRI are associated with the business cycle. In addition, we document the mixed effect of ratings change and changes in prosperity. Finally, we create a few sub-samples to do further analysis and also conduct a robustness test.

    CONTENTS 摘要 I ABSTRACT II CONTENTS IV LIST OF TABLES VI Chapter 1 Introduction 1 1.1 Research Background 1 1.2 Development of Credit Ratings 2 1.3 Comparison of Credit Measurements 3 1.3.1 Accuracy of different Credit Measurements 3 1.4 Motivations 4 1.5 Research Contributions 6 1.6 Research framework 6 Chapter 2 Literature Review and Hypothesis Development 7 2.1 Credit Risk Measurement 7 2.1.1 Determinants of credit ratings 9 2.1.2 Causes of bias 9 2.2 The effect related to announcement of a rating change 10 2.3 Credit Rating and Monitoring Indicators 12 2.4 Hypotheses Development 12 Chapter 3 Data and methodology 16 3.1 Methodology and Data Selection 16 3.2 Introduction to the Taiwan Corporate Credit Index 17 3.2.1 Taiwan Corporate Credit Index Grading Policy 18 3.2.2 Explanation of Grades 18 3.2.3 Description of TCRI 20 3.3 Control Variables Selection 21 3.3.1 Abnormal Return 22 3.3.2 Leverage 22 3.3.3 Return on Assets 23 3.3.4 Interest Coverage Ratio 24 3.3.5 Size 24 3.3.6 Capital Intensity 25 3.3.7 Market-to-Book Ratio 25 3.3.8 Loss 26 3.3.9 Monitoring Indicator 26 3.4 Processing Missing Data 27 3.5 Regression Model: Considering both TCRI and Prosperity 30 Chapter 4 Empirical Results 32 4.1 Descriptive Statistics Analysis 32 4.2 Regression Analysis 33 4.2.1 Downgrade Results 34 4.2.2 Upgrade Results 36 4.3 Robustness Tests 37 Chapter 5 Conclusions and Suggestions 40 References 42 Appendix 46

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