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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94760


    Title: 信用評等與股價變動之關係─以台灣上市上櫃企業為例
    Authors: 林芷吟
    Yin, Lin Chih
    Contributors: 李桐豪教授
    林芷吟
    Lin Chih Yin
    Keywords: 信用評等
    KMV 模型
    順序羅吉斯模型
    一般化自我相關條件異質變異模型
    Date: 2008
    Issue Date: 2016-05-09 11:49:56 (UTC+8)
    Abstract: 信用風險是金融機構最關切的風險之一，信用評等則是具有公信力的評等公司對企業債信良窳的客觀評估。本研究目的即在於探討在效率市場的假設前提下，股票價格所蘊含的信用風險與信用評等間之相互關係。我們以接受信用評等的上市櫃公司為研究對象，利用KMV模型求解出違約距離(Distance-to-Default, DD)，再使用Kalman Filter粹取出符合公司之市場資訊(Adjusted-DD)替代股票價格，本研究分成兩部分討論，第一部份以順序羅吉斯模型(Ordered Logit Model)及羅吉斯模型(Logit Model)探討股價變動是否能領先告知未來公司信用評等的變化情形。第二部分則利用一般化自我相關條件異質變異模型(GARCH Model)觀察信用評等變動是否為市場帶來新的資訊。
    第一部分實證結果發現：當長期信評調降時，電子、通訊相關產業及金融業之市場資訊(Adjusted-DD)的變動與長期信用評等為負相關，而長期信用評等調升時，仍得到負向關係，短期信用評等之部分得到當信用評等調降時，電子與通訊相關產業市場資訊變動有負向關係，與長期信用評等得到一致性之關係，但金融業則顯示市場資訊與信用評等調降為正相關，而傳統產業顯示短期信用評等調升與市場資訊呈現負向關係。
    第二部分實證結果：與大多學者之研究相符，當信用評等調降時股票價格有負的異常報酬，而本研究更進一步發現當信用評等調升時，股票價格同樣隨著上漲且有顯著結果，兩者具有對稱關係。故信用評等改變時能夠為市場帶來新的資訊，可視為投資的重要參考指標之一。但以股票價格所蘊含的信用風險與信用評等間的關係卻仍無法得到應證。
    Reference: 國內文獻：
    1.游淑萍 (2002)，「信用評等展望變化和股價相關研究」，交通大學管理科學研究所碩士論文。
    2.黃明祥、許光華、黃榮彬及陳鈺鈴 (2005)，「KMV 模型在台灣金融機構信用風險管理機制有效性之研究」，財金論文叢刊，第3期，pp.29-50。
    3.黃俊榮、謝雅媖、朱素徵及福富大介 (2007)，「中華信評2006違約與評等變動研究」，中華信用評等公司。
    4.楊德淳 (2006)，「台灣金融產業系統風險之衡量」，中山大學經濟學研究所碩士論文。
    5.儲蓉 (1999)，「對發展信用評等應有的態度與做法」，經濟情勢暨評論季刊，第五卷第一期。
    國外文獻：
    1.Aitchison, J. and S. Silvey (1957), “The generalization of probit analysis to the case of multiple responses”, Biometrika, 44, pp.131-140.
    2.Altman E.I. (1968), Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, Journal of Finance, pp.589-609.
    3.Andrew C. Harvey (1989), “Forecasting, structural time series models and the Kalman filter”, Cambridge University, Australia.
    4.Black, F. and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 3, pp. 637-659.
    5.Crosbie, J. P. and Bohn J. (2003), “Modeling Default Risk,” KMV Corporation.
    6.Chava, S., and R. Jarrow (2004), “Bankruptcy Prediction with Industry Effects,” working paper, Cornell University and Kamakura Corporation.
    7.Dichev, I. and D. Piotroski (2001), “The Long-Run Stock Returns Following Bond Ratings Changes,” Journal of Finance, vol. LVI, No. 1, pp. 173-203.
    8.Diane Vazza, Devi Aurora, and R. Schneck (2006), “Annual 2005 Global Corporate Default Study and Rating Transitions”, Standard & Poor`s Global Fixed Income Research, New York.
    9.Gurland, J., T. Lee, and P. Dahm (1960), “Polychotomous quantal response in biological assay”, Biometrics, vol. 16, pp.382-398
    10.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, vol. XLVIII. NO. 5.
    11.Goh, J. C., and L.H. Ederington (1999), “Cross-Sectional Variation in the Stock Market Reaction to Bond Rating Changes,” The Quarterly Review of Economics and Finance, vol. 39, No.1, pp. 101-112.
    12.Jarrow, R., D. Lando and F. Yu (2000), “Default Risk and Diversification: Theory and Applications,” forthcoming, Mathematical Finance.
    13.Janosi, T., R. Jarrow and Y. Yildirim (2002), “Estimating Default Probabilities Implicit in Equity Prices,” working paper, Cornell University and Kamakura Corporation.
    14.Kim, K. S. and J. R. Scott (1991), “Prediction of corporate failure: An artificial neural network approach,” Southwest Missouri State University Working Paper.
    15.Kliger, D., and O. Sarig (2000), “The Information Value of Bond Ratings,” Journal of Finance, vol. LV, NO. 6, pp.2879-2902.
    16.Kealhofer, S., and Kurbat, M. (2001), “The Default Prediction Power of the Merton Approach, Relative to Debt Ratings and Accounting Variables.” Monograph, KMV Corporation, San Francisco, CA.
    17.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.
    18.Merton, R.C. (1974), “On the Pricing of Corporate Debt,” Journal of Finance, pp.449-470.
    19.Matolcsy, Z. P. and T. Lianto (1995), “The Incremental Information Content of Bond Rating Revision: The Asutralian evidence”, Journal of Banking and Finance, vol.19, pp.891-902.
    20.Saunders, A. and M. M. Cornett (2004), “Financial Institutions Management” 5th edition, The McGraw-Hill com. New York, N.Y.
    Description: 碩士
    國立政治大學
    金融研究所
    95352007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095352007
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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