The Information Content of Initial Firm Rating Announcements

企業首次信用評等的資訊效果

10.6545/JFS.2007.15(4).2

薛立言(Paul L. Hsueh)；張志向(Chih-Hsiang Chang)；李瑞琳(Nicholas R. Lee)

首次評等 ； 訊號發射 ； 資訊不對稱 ； Initial Rating ； Signaling ； Information Asymmetry

財務金融學刊

15卷4期（2007 / 12 / 31）

19 - 36

英文

過去文獻上針對信用評等宣告效果之研究，主要都是在探討債信評等變動時的企業股價反應，對於企業初次取得信用評等的資訊內涵則未加著墨。本文使用台灣企業首次取得信用評等之樣本，分析市場投資人對此種評等宣告之反應。本研究發現，高信用等級企業之股價並未因評等的宣告而有異常變化，反倒是那些取得較差評等等級的公司，其股價在評等宣告日出現了顯著而且正面的反應。本研究的結果可以從訊號發射理論得到合理的解釋，那就是企業首次信用評等宣告確實傳遞了具有價值的資訊內涵，不過僅限於信用評等較低或規模較小的公司。這是因為在資訊不對稱的市場中，高品質的企業早已透過其他管道向市場揭露其真實價值，因此對這些企業而言，信用評等並不會有更多的信用資訊傳遞效果。反倒是評等較差或較小規模的公司，在過去可能因為成本考量而無法有效地透過其他管道來揭露其品質，其股價也因此承擔了資訊不對稱的成本。在信用評等制度建立之後，這些評等較差或較小規模的企業，遂有了低成本的管道來揭露其真實之信用品質，使得其股價得到投資人正面的回應。對於許多刻意規避取得信用評等的國內企業而言，本研究的發現提供了進一步思考評等價值的深遠意義。

Credit rating announcements can be for either initial ratings or rating changes, but past research has focused mainly on the market reaction to the latter. This study examines the information content of initial rating announcements and thus fills the void in the literature and broadens our understanding about the informational role played by credit ratings in the market. Using data from Taiwan, a financial market with newly established credit rating system, this study examines the rating announcement effect on firms that receive their first-time ratings from a private rating agency. Contrary to the common belief that investors respond more favorably the higher the rating a firm receives, we show that significant and positive equity price responses occur only for less credit-worthy firms in the market. Counterintuitive as it may seem, our finding is consistent with the prediction of signaling theory. More specifically, our evidence suggests that initial firm ratings do carry information value, but only for lower-quality or smaller-size firms that have been penalized by information asymmetry until credit rating becomes available as a cost-effective signaling alternative. This finding has important implications for many smaller or lower quality firms that traditionally are more reluctant to seek ratings, because signaling through ratings indeed helps reduce information asymmetry and can actually enhance value for these firms.

1. Adelson, M.,E. C. Hoyt(2003).CMBS credit migrations.Journal of Portfolio Management,September,87-100.
2. Akerlof, G.(1970).The market for lemon quality uncertainty and the market mechanism.Quarterly Journal of Economics,84,488-500.
3. Barron, M.,A. Clare,S. Thomas(1997).The effect of bond rating changes and new ratings on UK stock returns.Journal of Business Finance & Accounting,24,497-509.
4. Bollerslev, T.,R. Engle,J. Wooldrige(1988).A capital-asset pricing model with time-varying covariances.Journal of Political Economy,96,116-131.
5. Bongini, P.,L. Laeven,G. Majnoni(2002).How good is the market at assessing bank fragility? A horse race between different indicators.Journal of Banking & Finance,26,1011-1028.
6. Working paper
7. Dichev, I.,I. Piotroski(2001).The long-run stock returns following bond rating changes.Journal of Finance,56,173-204.
8. Ederington, L.,J. Goh(1998).Bond rating agencies and stock analysts: Who knows what when?.Journal of Financial & Quantitative Analysis,33,569-585.
9. Fama, E.,K. French(1992).The cross-section of expected stock returns.Journal of Finance,47,427-465.
10. Holthausen, R.,R. Leftwich(1986).The effect of bond rating changes on common stock prices.Journal of Financial Economics,17,57-89.
11. Hsueh, P.,A. Liu(1992).Market anticipation and the effect of bond rating changes on common stock prices.Journal of Business Research,24,225-239.
12. Kirmani, A.,A. Rao(2000).No pain, no gain: A critical review of the literature in signaling unobservable product quality.Journal of Marketing,64,66-79.
13. Leland, H.,D. Pyle(1977).Informational asymmetries, financial structure, and financial intermediation.Journal of Finance,32,371-387.
14. Mikkelson, W.,M. Partch(1986).Valuation effects of security offerings and the issuance process.Journal of Financial Economics,15,31-60.
15. Nayar, N.,M, Rozeff,S. Rozeff(1994).Credit rating, commercial paper, and equity returns.Journal of Finance,49,1431-1449.
16. Riley, John G.(2001).Silver signals: Twenty-five years of screening and signaling.Journal of Economic Literature,39,432-478.
17. Riley, John, G.(1979).Noncooperative equilibrium and market signaling.American Economic Review,69,303-307.
18. Schwert, G.(1989).Why does stock market volatility change over time?.Journal of Finance,44,1115-1154.
19. Shyam-Sunder, L.(1991).The stock price effect of risky versus safe debt.Journal of Financial and Quantitative Analysis,26,549-558.
20. Slovin, M.,M. Sushka,C. Hudson(1988).Corporate commercial paper, note issuance facilities, and shareholder wealth.Journal of International Money and Finance,7,289-302.
21. Spence, A. M.(1973).Job market signaling.Quarterly Journal of Economics,87,355-374.
22. Spence, A.M.(1974).Market Signaling, Information Transfer in Hiring and Related Processes.Cambridge:Harvard University Press.
23. Thakor, A.(1982).An exploration of competitive signaling equilibria with third party information production: The case of debt insurance.Journal of Finance,37,717-739.

1. 林玟廷、李佳玲(2018)。成長策略與外部股東資金來源之關係：集團企業之調節效果。管理與系統，25(4)，571-602。