政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/110884

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/110884

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政大典藏 > College of Commerce > MBA Program > Theses > Item 140.119/110884

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110884

Title:	錨定效應對信評機構影響之研究探討 Anchoring effect on credit rating agency
Authors:	羅元佑 Lo, Yuan Yu
Contributors:	周冠男羅元佑 Lo, Yuan Yu
Keywords:	錨定效應信用評等機構 Z-Score模型 Anchoring effect Credit rating agencies Z-Score model
Date:	2017
Issue Date:	2017-07-11 12:23:22 (UTC+8)
Abstract:	信用評等機構對於企業與市場投資者而言有著重要且無可取代的功能，其所提供之信用評等資訊應當是許多市場投資者所仰賴的重要決策依據，但近年來，卻有許多外界聲浪質疑信評機構評等之準確性，本論文之研究目的即是希望從錨定效應此一行為偏誤之觀點切入，探討國內信評機構在對企業評等時，是否會受到錨定效應影響，導致評等調整不正確或是評等落後其他財務指標等現象發生。研究結果顯示，國內信評機構對受評企業之過往財務資訊存在錨定現象，但不至於大幅影響整體違約風險之準確性，且信評機構對受評企業財務之惡化較為敏感。另一方面，本研究也發現，信評機構對於非上市櫃公司、金融業以及初次評等等級在「twAA」以上企業之評等，存在較為明顯之錨定現象。 Credit Rating Agencies (CRAs) play a major role in the financial market. Credit rating purport to provide investors with valuable information they need to make decisions about investing, but the accuracy of the rating itself has been called into question by many investors in recent years. The purpose of this study is to examine the anchoring effect on CRAs while the rating is being given. The results indicate that domestic CRAs tend to be anchored on the past financial information of the issuers. But the impacts are very slightly. Besides this, CRAs seem relatively sensitive to the financial deterioration. Moreover, the anchoring effect are much more significant when the debt issuers are private firms, financial institutions or the companies with greater or equal to twAA initial credit rating.
Reference:	汪信君，2013。信用評等機構監理規範之發展與困境：問責基礎與利益衝突。臺大法學論叢，42卷4期，1333 – 1385。陳盈如，2016。言論自由還是詐欺？－國際信評機構不準確評等之研究。東吳法律學報，28卷1期，P87 – 149。 Altman, Edward, 1968, Financial ratios discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 23, 589–609. Altman, Edward, 2000, Predicting financial distress of companies: Revisiting the Z-score and zeta Models (Working paper, New York University). Campbell J., Taksler G., 2003, Equity Volatility and Corporate Bond Yields, Journal of Finance, 58, 2321-2349. Covitz D., C. Downing, 2007, Liquidity or credit risk? The determinants of very short-term corporate yield spreads, Journal of Finance, 62, 2303–2328. Dougal, C., Engelberg, J., Parsons, C., Van Wesep, E., 2015, Anchoring on Credit Spread, Journal of Finance, 70, 1039-1080. Eduardo Borensztein, Kevin Cowan, Patricio Valenzuela, 2013, Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings, J. Bank. Financ., 37, 4014–4024. Kisgen, Darren J., 2006, Credit ratings and capital structure, Journal of Finance, 61, 1035–1072. Kisgen, Darren J., and Philip E. Strahan, 2010, Do regulations based on credit ratings affect a firm`s cost of capital?, Review of Financial Studies, 23, 4324–4347. Lichtenstein, S., and P. Slovic, 1971, Reversal of Preference Between Bids and Choices in Gambling Decisions, Journal of Experimental Psychology, 89, 46-55. La Porta, R., 1996, Expectations and the cross section of stock returns, Journal of Finance, 51, 1715-1742. Lovallo D., Kahneman D., 2003, Delusions of success: How optimism undermines executives` decision, Harvard Business Review, 81, 56–63. Nan S. Ellis et al., 2012, Is Imposing Liability on Credit Rating Agencies a Good Idea?: Credit Rating Agency Reform in the Aftermath of the Global Financial Crisis, 17 STAN. J.L. BUS. & FIN, 175, 175-222. Partnoy, Frank, 2002, The paradox of credit ratings, in Richard M. Levich, Giovanni Majnoni, and Carmen Reinhart, eds, Ratings, Rating Agencies and the Global Financial System, 65–84. See, e.g., Galen Hite & Arthur Warga, 1997, The Effect of Bond-Rating Changes on Bond Price Performance, Financial Analysts Journal, 35–47. Shefrin, Hersh 2002, Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing, New York: Oxford University Press. Tversky, A., and D. Kahneman, 1974, Judgment under Uncertainty: Heuristics and Biases, Science, 185, 1124-1131.
Description:	碩士國立政治大學企業管理研究所(MBA學位學程) 104363098
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0104363098
Data Type:	thesis
Appears in Collections:	[MBA Program] Theses

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