請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/24970
標題: 信用風險、異質風險與盈餘管理
Credit Risk, Idiosyncratic Risk, and Earnings Management
作者: 張志全
Chang, Chih-Chuan
關鍵字: 信用風險
Credit risk
異質風險
裁決性應計項目
實質盈餘管理
Idiosyncratic risk
Accrual
Real earnings management
出版社: 高階經理人碩士在職專班
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摘要: 由於信用評等機制為投資市場之重要指標,企業為了取得較佳信用評等之中,往往使用了裁決性應計項目或是實質盈餘管理的方式,試圖讓信評機構因此改變對標的公司的評等。投資者面臨的風險為beta風險及異質風險,beta風險通常會由市場因素造成,而異質風險則是個別公司獨有的風險而可能被公司所控制。當公司有能力控制異質風險時,愈能增加其對股票報酬的影響力,進而產生盈餘管理的動機。 本研究係探討公司之異質風險、以及裁決性應計項目與實質盈餘管理對其信用風險的影響,以及實質盈餘管理各成分對公司之信用風險之影響。在敏感性分析中將檢驗公司的信用風險與盈餘平穩化的管理行為之關聯性,以及異質風險對盈餘平穩化之影響。 研究結果發現,無論是採用市場模式或Fama-French三因子模式來估計異質風險,來自外部融資、負債及權益活動的淨現金流量皆與公司的信用風險呈顯著負相關,表示公司融資資金愈多,公司投資愈多且處於成長階段,故其信用評等愈佳。而異質風險愈高,其信用風險將會越高,其信用評等愈差。其次,實質與應計基礎盈餘管理皆與信用風險呈顯著正向關係,而在考慮了實質與應計基礎盈餘管理下,異質風險與信用風險亦呈現顯著正相關。實質盈餘管理各成份中僅異常現金流量與信用風險呈負相關,異常生產成本與異常裁決性費用則與公司信用風險無關。而在考慮實質盈餘管理之組成下,異質風險亦與信用風險呈顯著正相關。敏感性分析則發現,公司的異質風險皆與盈餘平穩化呈顯著負相關,並且當公司的信用風險愈高時,經理人愈會採取損益平穩化策略。
This paper examines the effect of the idiosyncratic risk of a firm on its credit risk and the relationship between the credit risk and accrual or real earnings management under considering idiosyncratic risk. We further investigate the effects of composition of real earnings management on the credit risk of a firm. In sensitivity analysis, we examine the effects of the credit risk and the idiosyncratic risk of a firm on managerial behavior of income smoothing. The findings indicate that net cash flows of external financing, debt financing and equity financing activities are negatively related to the credit risk of a firm whether the idiosyncratic risk are measured by market model or Fama-French three factors model, implying that the higher financed funds, the higher credit rating of a firm is. It is because the firm has more investment opportunities and is in growth stage. The idiosyncratic risk of a firm is positively related to the credit risk. Next, both accrual and real earnings managements are positively related the credit risk under considering the idiosyncratic risk, and the idiosyncratic risk is also positively related to credit risk. As for the compositions of real earnings management, abnormal cash flows are negatively related to the credit risk but both abnormal production cost and abnormal discretionary expense are unrelated to credit risk. In this case, we also find the idiosyncratic risk of a firm is positively correlated with the credit risk. Moreover, in sensitivity analysis, the evidence indicates that the idiosyncratic risk is negatively related to earnings smoothing and the firm with higher credit risk prefers to income smoothing strategy.
URI: http://hdl.handle.net/11455/24970
其他識別: U0005-0908201218001300
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0908201218001300
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