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博碩士論文 etd-0705109-194545 詳細資訊
Title page for etd-0705109-194545
論文名稱
Title
信用評等與資本結構變化關聯性之研究
Credit rating and the change of capital structure
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
74
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-06-24
繳交日期
Date of Submission
2009-07-05
關鍵字
Keywords
信用評等、資本結構
panel data, capital structure, credit rating
統計
Statistics
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The thesis/dissertation has been browsed 5684 times, has been downloaded 9 times.
中文摘要
公司理財的三大政策包含了投資政策、融資政策及股利政策,三者環環相扣,互相影響,而決定了公司的價值。經理人將尋找最具獲利價值的投資計畫,並募集最低成本的資金,有效率的運用資金創造財富並分配經營利潤,以增加公司之價值,達到使股東價值極大化的最終目的。
然而,從事有利的投資計劃需要內部資金甚至外部資金的配合,什麼樣的融資政策能獲得最小的資金成本、增加公司的價值乃是公司經營之重點,錯誤的融資計畫將使公司融資成本上升,造成公司的償債負擔而拖垮經營利潤。融資政策的結果形成公司之資本結構,因此資本結構漸成為財務領域的討論重點。發展近半世紀,傳統上關於資本結構的研究已有相當豐碩的成果,從最早期的淨營運所得法(NOI法)、淨所得法(NI法)到著名的M&M理論、M&M修正理論及Miller模型,直到近代的靜態抵換理論及融資順位理論,各家對資本結構的看法不一,也各有不同立論。
到了2006年,Darren J. Kisgen提出信用評等對於融資決策及資本結構的直接影響,認為信用評等經過多年發展,已成為可代表公司償債能力的重要指標,且在金融監管條例的採納使用下,評等等級將影響公司融資工具的流動性及融資成本,因此信用評等的變化將造成間斷成本與利益,影響公司價值,進而影響公司負債比率之選取。尤其在新巴賽爾協定將信用評等納入最低自有資本的計算標準後,信用評等之影響力日益彰顯,有鑑於信用評等的重要性漸漸受到重視,台灣亦將跟隨全球的腳步將信用評等納入金融監管的機制中,作為風險衡量指標。因此,本研究欲討論台灣信用評等與資本結構之關聯性。
本文自中華信用評等公司發行體評等資料庫及台灣經濟新報財務資料庫取得樣本,樣本期間由2000至2007共八年,選取所有接受信用評等的上市、上櫃、興櫃及公開發行公司,將信用評等以虛擬變數方式納入多元迴歸分析中,並以信用評等是否具有正負號(+、-)、信用分數是否為群組前後1/3、信用評等是否接近投資級與投機級分界及信用展望是否為正負向等四種方法對樣本進行分類,建立Plus or Minus test(簡稱POM test)、High or Low test(簡稱HOL test)、Investment Grade or Speculation Grade test(簡稱IG/SG test)及Watch list test(簡稱Wlist test)四個假說。由於本研究樣本包含橫斷面及綜斷面,資料型態為追蹤資料(panel data),因此以合併迴歸、固定效果及隨機效果分別對四個假說進行實證分析,檢驗信用評等是否影響公司淨負債發行。
研究結果發現:一、POM test結果顯示信用評等帶有正號(+)或負號(-)的公司相較於信用評等未帶有正負號的公司,並無發行較少負債的情形,信用評等與淨負債比率雖呈現負向關係,與本研究假說一相符,但統計上並不顯著。二、HOL test結果顯示,信用評等變數與淨負債發行在5%的信賴水準下呈現顯著負相關,信用評等接近調升或調降者之淨負債發行相較於評等穩定者低1.5%左右。三、IG/SG test結果顯示,信用評等虛擬變數皆不顯著,信用評等變化是否跨越投資級與投機級並不影響公司之融資決策。四、Wlist test結果顯示,信用評等虛擬變數皆與淨負債比率呈負向關係,但統計上皆不顯著,沒有證據證明信用展望能影響公司之融資決策。五、總結實證結果,各模型皆顯示信用評等對融資決策的影響與假說相同,得到負向的結果,也尌是說,信用評等接近變化的公司相較於信用評等穩定的公司將發行較少的負債,但該信用評等虛擬變數僅在HOL test中有5%信賴水準的顯著性,在其餘模型中雖為負向但卻普遍不顯著,因此以台灣而言沒有證據可以證明信用評等可以影響公司淨負債發行及融資決策。而控制變數中槓桿程度與淨負債發行為顯著負向關係;獲利能力與淨負債發行亦為負向關係,但在多數模型中僅有5%或10%信賴水準的顯著性;而公司規模與淨負債發行則為顯著正向。控制變數與淨負債發行的關係大致與靜態抵換理論及融資順位理論的論點相符且顯著影響公司的融資行為與資本結構決策。
Abstract
This paper aims to realize that the capital structure decisions will be affected by the credit rating of a firm. According to the argument made by Kisgen(2006), a firm will incur discrete costs and benefits as a result of the level changes of its credit rating situation, and then causes jumps on firm‘s value. In order to maximize firm value, firms near a credit rating downgrade or upgrade will issue less debt relative to equity (as a portion of assets) than firms not near the change in credit raring, attempting to gain the advantage of an upgrade and avoid the disadvantage of a downgrade.
The firms near a rating change are defined in different ways, and four hypotheses are tested empirically, using pooled OLS, fixed effect model and random effect model, to know how the concerns of firms‘ credit rating changes directly affect its financing decisions on debt and equity structure. Plus or Minus test(POM test), High or Low test(HOL test), Investment Grade or Speculation Grade test(IG/SG test) and Watch list test(Wlist test) are used to examine the influences of credit rating on firms‘ financing decisions. The firm which has a credit rating at the beginning of the year in all industries in Taiwan is included in our sample, and the sample period is from 2000 to 2007.
As a result, although control variables such as leverage, profitability and firm size have significant impacts on financing decision, we observe that the impacts of credit ratings on net debt issuance are negative but not statistically significant in all models except in HOL test, in which credit rating variables are negative and significant at 5% confidence level. For this reason, the effect of credit ratings on firms‘ financing decision can not be concluded and should be examined further.
目次 Table of Contents
目錄
謝辭 I
論文摘要 II
Abstract IV
目錄 V
圖目錄 VI
表目錄 VI
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究流程 4
第二章 文獻探討 6
第一節 資本結構相關文獻探討 6
第二節 信用評等制度 18
第三節 信用評等相關文獻 24
第三章 研究方法 31
第一節 研究架構 31
第二節 研究假說 32
第三節 樣本資料來源 34
第四節 變數定義與衡量方式 36
第五節 實證方法與模型 40
第四章 實證結果與分析 46
第一節 信用評等虛擬變數與控制變數的相關性 46
第二節 迴歸模型分析結果 47
第五章 結論與建議 58
第一節 結論 58
第二節 研究限制 60
第三節 研究建議 61
參考文獻 62
附錄 66
共線性檢定(VIF) 66
異質變異及序列相關調整(Newey-West) 66

圖目錄
圖 1 1 研究流程圖 5
圖 2 2 評等流程圖 24
圖 2-3 信用評等與資本結構示意圖:信用評等造成的間斷成本與間斷利益造成跳躍的圖形 30
圖 4-2 平均NetDIss 49

表目錄
表 2-2-1 國際知名信評機構一覽 20
表 2-2-2 中華信用評等公司長短期評等之符號與定義 23
表 3-5 逐步迴歸自變數一覽表 41
表 4-1 pearson相關係數矩陣 46
表 4-2-1 敘述統計-信用評等與槓感程度 48
表 4-2-2 樣本產業數量分佈 49
表 4-2-3 Levin, Lin and Chu單根檢定結果 50
表 4-2-4 POM test迴歸結果 51
表 4-2-5 信用分數逐步迴歸表 53
表 4-2-6 HOL test迴歸結果 54
表 4-2-7 IG/SG test迴歸結果 55
表 4-2-8 Wlist test迴歸結果 56

參考文獻 References
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