Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23452
標題: The Impact of Credit Rating Change Announcement on Stock Markets and Stock Recommendation
信用評等改變宣告對股價與投資評等建議影響
作者: 陳佳慧
Chen, Chia-Hui
關鍵字: Rating Change
評等改變
Abnormal Returns
Event Study
Stock Investment Recommendation
異常報酬
事件研究法
券商投資建議報告
出版社: 財務金融系所
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摘要: 2010年開始爆發的歐債危機,造成全球經濟受到打擊,進而讓信用評等的觀念慢慢興起,凸顯了信用評等透明度的重要性。本研究利用事件研究法,探討信用評等改變宣告,對股票市場的影響,並加入財務、公司治理變數、券商投資建議次數來檢視對累積異常報酬的解釋能力,最後探討信用評等宣告對券商投資建議報告的影響,並加入不同自變數來一併探討。實證結果顯示,信用評等調升宣告,市場沒有顯著累積異常報酬,而當信用評等為調降宣告,市場有顯著負的累積異常報酬,與大多學者之研究相符,顯示信用評等調降對市場有資訊內涵;另外在橫斷面分析裡,總資產報酬率、營業利益率、長期宣告改變、長期與短期與展望同時改變對累積平均異常報酬有顯著正相關,而與董監事持股比率為顯著負相關;最後,由信用評等調降宣告,會降低券商投資建議報告的準確度,此外,受評公司為金融業與本土券商與券商投資建議報告的準確度為負相關。
The object of this study is to examine the impact of credit rating change on stock abnormal returns by using event study methods. Then, I use cross-sectional regression to explore which factors can affect cumulative average abnormal returns. The factors are associated with finance, corporate governance and the recommendations of analysts. Moreover, I examine the factors which affect the forecast accuracy of the recommendations of analysts. We find a significant negative stock response to downgrades and very little evidence of a significant effect of an upgrade. The finding is consistent with US evidence. The results in regression show that the dimensions of finance and corporate governance can affect cumulative average abnormal returns. Last, as credit rating change is downgrades, the forecast accuracy would be lower. The bank and local analysts tend to have a negative impact on the forecast accuracy.
URI: http://hdl.handle.net/11455/23452
其他識別: U0005-2706201212342700
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2706201212342700
Appears in Collections:財務金融學系所

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