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標題: The Impact of Credit Rating Change Announcement on Stock Markets and Stock Recommendation
作者: 陳佳慧
Chen, Chia-Hui
關鍵字: Rating Change
Abnormal Returns
Event Study
Stock Investment Recommendation
出版社: 財務金融系所
引用: 中華信用評等網站 池祥萱,蕭君怡(2005),「券商評等報告的資訊內涵-本國券商與外資券商的比較」,金融風險管理季刊,第1卷,第3期,頁27-45。 沈中華、李建然(2002),事件研究法:財務與會計實證研究必備 。 李懷玉(2007),「投資評等績效評估」,國立中山大學財務管理學系研究所 碩士論文。 邱淑珍(1997),「股票公開推薦資訊有效性之實證研究」,國立台灣大學商學所碩士論文。 張志向(2002),「企業信用評等首次宣告的資訊內涵:連續信號與市場成熟度」,國立中正大學財務金融學系研究所之未出版博士論文。 張志堯(2005),「企業信用評等評等改變宣告在新興市場的資訊內容-以台灣市場為例」,朝陽科技大學財務金融學系研究所之未出版碩士論文。 陳美華,洪世炳(2005),「公司治理、股權結構與公司績效關係之實證研究」,企業管理學報,第65期,頁129-153。 游淑萍(2001),「信用評等展望變化和股價相關研究」,交通大學管理科學系研究所碩士論文。 劉士棋(1997),「財務比率分析資訊內涵之實證研究」,國立中興會計研究所碩士論文。 蕭君怡(2004),「國內券商與外資券商投資評等績效之比較」,國立東華大學國際經濟研究所碩士論文。 羅芷妍(2009),「信用評等宣告效果與資訊內涵之實證研究」,國立臺北大學企業管理學系研究所碩士論文。 Barron, M. J., A. D. Clare, and S. H. Thomas, (1997), “ The Effect of Bond Rating Changes and New ratings on UK stock returns, ” Journal of Business Finance & Accounting , 24, 497-509. Brown, L., L. Hagerman, P. Griffin, and M. Zmijewski, (1987), “ Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings,” Journal of Accounting and Economics, 9, 61-87. Clement, M. B. and S. Y. TSE, (2005), “ Financial Analyst Characteristics and Herding Behavior in Forecasting,” The Journal of Finance, 60, 307-341. Davies, P. L. and M. Canes (1978), “Stock Prices and The Publication of Second-Hand Information,” Journal of Business, 51, 43-55. Dichev, I. D. and J. Piotroski, (2001), “The Long Run Stock Returns Following Bond Rating Changes,” Journal of Financial, 54,173-203. Durnev, A. and E. H. kim, (2005), “To Steal or Not to Steal: Firm Attributes,Legal Environment, and Valuation,” Journal of Financial, 60,1461-1493. Elayan, F. A., B. A. Maris, and J. B. Maris, (1990), “Common Stock Response to False Signals from CreditWatch Placement,” Quarterly Journal of Business & Economics ,29, 16-35. Fayez, A. E., Wei Huei Hsu, and T.O. Meyer, (2003), “The Informational Content of Credit Rating Announcements for Share Prices in a Small Market,” Journal of Economics and Finance, 27, 337-356. F"u" ̈erst, O. and S. H. Kang, (2004), “Corporate Governance, Expected Operating Performance, and Pricing,” Corporate Ownership &Control, 2, 13-30. Goh , J. C. and L. H. Ederington, (1993), “Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? ”Journal of Finance, 48, 2001-2008. Goh, J. C. and L. H. Ederington, (1999), “Cross-Sectional Variation in The Stock Market Reaction to Bond Ration Changes ,” Quarterly Review of Economics and Finance, 39, 101-112. Holthausen, R. W. and R. W. Leftwich, (1986), “The Effect of Bond Rating Changes on Common Stock Prices,” Journal of Financial Economics, 17, 57-89. Kim, Y. and S. Nabar, (2007), “Bankruptcy Probability Changes and the Differential Informativeness of Bond Upgrades and Downgrades,” Journal of Banking and Finance, 31, 3843-3861. Kross, W., B. Ro, and D. Schroeder, (1990), “Earnings expectations: the analysts'' information advantage,” Accounting Review, 65, 461-476. Kuhner, C., (2001), “Financial Rating Agencies: Are They Credible?-Insights into the Reporting Incentives of Rating Agencies in Times of Enhanced Systemic Risk,” Schnalenbach Bussiness Revies, 53, 2-26. Ederington, L. H. and J. C. Goh, (1998), “Bond Rating Agencies and Stock Analysts: Who Knows What When?” Journal of Financial and Quantitative Analysis, 33, 569-585. Li, J., W. T. Moore, and Y. Shin, (2004), “Stock Market Reactions in Japan to Credit Rating Changes by U.S. and Japanese Agencies,” Financial Management Association European Conference. Matolcsy, Z. P. and T. Liato, (1995), “The Incremental Information Content of Bond Rating Revisions: The Australian Evidence,” Journal of Banking and Finance, 19, 891-902. Manfred, S. and G. H. Volker, (2001), “Event Study Concerning International Bond Price Effects of Credit Rating Actions,” International Journal of Finance & Economics, 6, 139-157. Michael, M., (2004), “The Credit Ratings Announcement Effect in Japan,” EFMA 2004 Basel Meetings Paper, Macquarie University Working Paper ,2. Pinches, G. E. and J. C. Singleton, (1978), “The Adjustment of Stock Prices to Bond Rating,” Journal of Finance, 33, 29-44. Phillipe, J., L. Zhu, and S. Charies, (2005), “Information Effects of Regulation FD:Evidence from Rating Agencies,” Journal of Financial Economics, 76, 309-330. Jorion, P. and G. Zhang, (2007), “Good and Bad Credit Contagion: Evidence from Credit Default Swaps,” Journal of FinancialEconomics, 84, 860-883. Partnoy , F., (1999), “The Siskel and Ebert of Financial Markets: Two Tumbs on Down for the Credit Rating Agencies,” Washington University Law Quarterly, 77, 619-712. Womack, K. L., (1996), “Do Brokerage Analysts’ Recommendations Have Investment Value ? ” Journal of Finance, 51, 137-167. Wakeman, L. M., (1981), “The Real Function of Bond Rating Agencies,” Chase Financial Quarterly, 19,18-26. Wansley, J. W. and T. C. Clauretie, (1985), “The Impact of CreditWatch Placement on Equity Returns and Bonf Prices,” Journal of Financial Research, 8, 31-42.
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.
其他識別: U0005-2706201212342700
Appears in Collections:財務金融學系所



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