本研究使用未來盈餘反應係數(future earnings response coefficient; FERCs)來檢視公司的信用評等的有無及信用評等等級是否會影響投資者預測公司未來盈餘的能力。本研究的樣本使用美國58,804筆公司年度觀察值，樣本期間為1985年至2005年。實證研究證明：有信用評等的公司的未來盈餘反應係數比沒有信用評等的公司強；而在信用評等等級方面，當公司信用評等等級越高，公司的未來盈餘反應係數也會越高。此一證據證明了信用評等能提供具攸關性的額外資訊給投資者，因而有效地降低了公司與投資者間的資訊不對稱。

This paper uses a new approach to examine whether credit ratings and rating level can improve investor’s ability to predict future earnings of firms (using the future earnings response coefficient; FERCs). The evidence from U.S. firms contains 58,804 firm-year observations (12,923 observations with credit ratings and 45,881 observations with no credit ratings) from 1985 through 2005 (through 2008 for data on future earnings and returns). We find that FERCs are greater for firms with credit ratings than firms without them. Moreover, the FERCs is significantly positive with rating level. The evidence suggests that credit ratings can provide additional information and reduce information asymmetry effectively.

An, H., and K. C. Chan. 2008. Credit Ratings and IPO Pricing. Journal of Corporate Finance 14 (5):584-595.
Anderson, R. C., S. A. Mansi, and D. M. Reeb. 2004. Board Characteristics, Accounting Report Integrity, and the Cost of Debt. Journal of Accounting and Economics 37 (3):315-342.
Ashbaugh-Skaife, H., D. W. Collins, and R. LaFond. 2006. The Effects of Corporate Governance on Firms' Credit Ratings. Journal of Accounting and Economics 42 (1-2):203-243.
Ayers, B., and R. Freeman. 2003. Evidence that Analyst Following and Institutional Ownership Accelerate the Pricing of Future Earnings. Review of Accounting Studies 8 (1):47-67.
Basu, S. 1997. The Conservatism Principle and the Asymmetric Timeliness of Earnings. Journal of Accounting and Economics 24 (1):3-37.
Belsley, D. A., E. Kuh, and R. E. Welsch. 1980. Regression Diagnostics: Identifying Influential Data and Sources of Collinearity New York: John Wiley.
Boot, A. W. A., T. T. Milbourn, and A. Schmeits. 2006. Credit Ratings as Coordination Mechanisms. Review of Financial Studies 19 (1):81-118.
Cheng, M., and K. Subramanyam. 2008. Analyst Following and Credit Ratings. Contemporary Accounting Research 25 (4):1007-1044.
Choi, J.-H., L. A. Myers, Y. Zang, and D. A. Ziebart. 2010. Do Management EPS Forecasts Allow Returns to Reflect Future Earnings? Implications for The Continuation of Management’s Quarterly Earnings Guidance. Review of Accounting Studies:Forthcoming.
Chordia, T., A. Sarkar, and A. Subrahmanyam. 2003. An Empirical Analysis of Stock and Bond Market Liquidity. Working Paper, Federal Reserve Bank of New York.
Collins, D., S. Kothari, J. Shanken, and R. Sloan. 1994. Lack of Timeliness and Noise as Explanations for the Low Contemporaneuos Return-Earnings Association. Journal of Accounting and Economics 18 (3):289-324.
Covitz, D., and P. Harrison. 2004. Do Banks Time Bond Issuance to Trigger Disclosure, Due Diligence, and Investor Scrutiny? Journal of Financial Intermediation 13 (3):299-323.
Czarnitzkia, D., and K. Kraftb. 2007. Are Credit Ratings Valuable Information? Applied Financial Economics 17 (13):1061-1070.
Datar, V., and Y. Naik. 1998. Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets 1 (2):203-219.
Dichev, I., and J. Piotroski. 2001. The Long-Run Stock Returns Following Bond Ratings Changes. Journal of Finance 56 (1):173-203.
Ederington, L., and J. Goh. 1998. Bond Rating Agencies and Stock Analysts. Journal of Financial and Quantitative Analysis 33 (4):569-585.
———. 2009. Bond Rating Agencies and Stock Analysts: Who Knows What When? Journal of Financial and Quantitative Analysis 33 (4):569-585.
Ederington, L., J. Yawitz, and B. Roberts. 1987. The Informational Content of Bond Ratings. Journal of Financial Research (10):211-226.
Ettredge, M., S. Kwon, D. Smith, and P. Zarowin. 2005. The Impact of SFAS No. 131 Business Segment Data on the Market's Ability to Anticipate Future Earnings. The Accounting Review 80 (3):773-804.
Fama, E., and J. MacBeth. 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81 (3):607-636.
Faulkender, M., and M. A. Petersen. 2006. Does the Source of Capital Affect Capital Structure? Review of Financial Studies 19 (1):45-79.
Gelb, D., and P. Zarowin. 2002. Corporate Disclosure Policy and the Informativeness of Stock Prices. Review of Accounting Studies 7 (1):33-52.
Goh, J., and L. Ederington. 1993. Is A Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? Journal of Finance 48 (5):2001-2008.
———. 1999. Cross-Sectional Variation in the Stock Market Reaction to Bond Rating Changes. The Quarterly Review of Economics and Finance 39 (1):101-112.
Graham, J. R., and C. R. Harvey. 2001. The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics 60 (2-3):187-243.
Hand, J., R. Holthausen, and R. Leftwich. 1992. The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. Journal of Finance 47 (2):733-752.
Hanlon, M., J. N. Myers, and T. J. Shevlin. 2007. Are Dividends Informative about Future Earnings? Working Paper, University of Arkansas.
Hayn, C. 1995. The Information Content of Losses. Journal of Accounting and Economics 20 (2):125-153.
Holthausen, R., and R. Leftwich. 1986. The Effect of Bond Rating Changes on Common Stock Prices. Journal of Financial Economics 17 (1):57-89.
Hussainey, K. 2009. The Impact of Audit Quality on Earnings Predictability. Managerial Auditing Journal 24 (4):340-351.
Hussainey, K., and M. Walker. 2009. The Effects of Voluntary Disclosure and Dividend Propensity on Prices Leading Earnings. Accounting and Business Research 39 (1):37-55.
Jiambalvo, J., S. Rajgopal, and M. Venkatachalam. 2002. Institutional Ownership and the Extent to which Stock Prices Reflect Future Earnings. Contemporary Accounting Research 19 (1):117-145.
Jung, B., N. Soderstrom, and S. Yang. 2009. Earnings Smoothing Activities of Firms to Manage Credit Ratings. Working Paper, University of Texas at Austin.
Kaplan, S., and L. Zingales. 1997. Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? Quarterly Journal of Economics 112 (1):169-215.
Kisgen, D. 2009. Do Firms Target Credit Ratings or Leverage Levels? Journal of Financial and Quantitative Analysis 44 (6):1323-1344.
Kisgen, D. J. 2006. Credit Ratings and Capital Structure. Journal of Finance 61 (3):1035-1072.
Lee, J. 2007. Cross-Sectional Determinants of the Extent to which Stock Prices Lead Earnings. Working Paper, Hong Kong Baptist University.
Liu, Y., and P. Malatesta. 2006. Credit Ratings and the Pricing of Seasoned Equity Offerings. Working Paper, University of Washington.
Lundholm, R., and L. Myers. 2002. Bringing the Future Forward: The Effect of Disclosure on the Returns-Earnings Relation. Journal of Accounting Research 40 (3):809-839.
Millon, M., and A. Thakor. 1985. Moral Hazard and Information Sharing: A Model of Financial Information Gathering Agencies. Journal of Finance (5):1403-1422.
Newey, W., and K. West. 1987. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica: Journal of the Econometric Society 55 (3):703-708.
Odders-White, E., and M. Ready. 2006. Credit Ratings and Stock Liquidity. Review of Financial Studies 19 (1):119-157.
Orpurt, S. F., and Y. Zang. 2009. Do Direct Cash Flow Disclosures Help Predict Future Operating Cash Flows and Earnings? The Accounting Review 84 (3):893-935.
Oswalda, D., and P. Zarowinaa. 2007. Capitalization of R&D and the Informativeness of Stock Prices. European Accounting Review 16 (4):703-726.
Piotroski, J., and B. Roulstone. 2004. The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices. The Accounting Review 79 (4):1119-1151.
Sufi, A. 2007. Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans. Journal of Finance 62 (2):629-668.
———. 2009. Bank Lines of Credit in Corporate Finance: An Empirical Analysis. Review of Financial Studies 22 (3):1057-1088.
Tucker, J., and P. Zarowin. 2006. Does Income Smoothing Improve Earnings Informativeness? The Accounting Review 81 (1):251-270.
West, R. R. 1973. Bond Ratings, Bond Yields and Financial Regulation: Some Findings. JL & Econ. 16 (1):159-168.
Whited, T. M. 1992. Debt, Liquidity Constraints, and Corporate Investment: Evidence from Panel Data. Journal of Finance 47 (4):1425-1460.
Yi, H., and D. Mullineaux. 2006. The Informational Role of Bank Loan Ratings. Journal of Financial Research 29 (4):481-501.
Ziebart, D., and S. Reiter. 1992. Bond Ratings, Bond Yields and Financial Information. Contemporary Accounting Research 9 (1):252-282.