臺灣博碩士論文加值系統

本研究主要目的在於檢視公司的信用評等直接影響資本結構決策的程度，研究採用台灣經濟新報資料庫（TEJ）1997年到2005年之上市公司（不含金融、證券、投資、媒體等產業）為研究樣本，並依據該機構所研發評估企業信用風險的指標稱為TCRI（Taiwan Corporate Credit Risk Index, TCRI）作為信用評等的資料來源。探討隨著公司信用評等等級不同時所產生關聯的間斷成本（或收益），是否直接影響公司對負債和權益的財務決策。當一家公司信用評等將要被升等或降等與其他公司相比，它有較小的淨負債權益比，這是受到因信用評等不同而產生的間斷成本（或收益）所影響，這是在傳統的資本結構理論中，並無解釋。
依照實證結果，臺灣企業信用評等變動不影響其公司資本結構，其與美國實證資料有所出入。資料研究進一步的顯示，信用評等調升公司之舉債程度有顯著趨向保守；信用評等調降公司對資本結構沒有證據顯示其具有影響。國內公司信用評等為投資等級或是投機等級對其負債比率亦沒有顯著影響。
由於本研究所選取的樣本中有為數不少的公司屬於電子產業，在其選取的時間範圍內，電子產業為台灣政府扶植的產業，投資人對投資電子產業具有相當大的信心，願意購買其股票導致產業多數利用股票融資取得公司資金，故導致臺灣電子業之融資現況並不支持融資順位理論與靜態抵換理論，且在模型下公司信用評等對公司的負債結構並沒有顯著性的影響。

This paper examines to what extent credit ratings directly affect capital structure decisions. An empirical data of Taiwan’s stock market (except banking, insurance business) was obtained from Taiwan Economic Journal (TEJ) database. The financial data used for analysis amounted to samples (companies) from 1997 to 2005.
The paper outlines discrete costs (benefits) associated with firm credit rating level differences and tests whether concerns for these costs (benefits) directly affect debt and equity financing decisions. Firms near a credit rating upgrade or downgrade issue less debt relative to equity than firms not near a change in rating. This behavior is consistent with discrete costs (benefits) of rating changes but is not explained by traditional capital structure theories. The results persist within previous empirical tests of the pecking order and tradeoff capital structure theories.

謝辭…………………………………………………………………..Ⅰ
摘要…………………………………………………………………..Ⅱ
目錄…………………………………………………………………..Ⅲ
表目錄………………………………………………………………..Ⅳ
圖目錄………………………………………………………………..Ⅴ
第一章 緒論…………………………………………………………. 1
第一節 研究動機……………………………………………. 1
第二節 研究目的……………………………………………. 2
第三節 論文架構……………………………………………. 3
第四節 研究流程……………………………………………. 3
第二章 文獻探討……………………………………………………. 5
第一節 資本結構理論及國內外相關實證文獻………….… 5
第二節 信用評等對資本結構決策之重要性研究彙總……18
第三節 TCRI信用評等制度及國內外相關實證文獻……...21
第三章 研究方法……………………………………………………27
第一節 研究假說……………………………………………27
第二節 資料描述……………………………………………29
第三節 變數定義與實證模型………………………………30
第四節 研究方法……………………………………………33
第四章 實證結果分析………………………………………………37
第一節 敘述統計分析………………………………………37
第二節 相關係數分析………………………………………41
第三節 迴歸分析……………………………………………44
第五章 結論與建議…………………………………………………50
第一節 結論…………………………………………………50
第二節 研究限制……………………………………………53
第三節 對未來研究之建議…………………………………53
參考文獻……………………………………………………………..54

一、中文部分
1.王姿斐，（2004），「信用評等與盈餘管理之關聯性分析」，國立東華大學國際經濟研究所未出版碩士論文。
2.朱國光，（1995），「臺灣地區上市公司資本結構影響因素之研究」，國立政治大學國際貿易研究所未出版碩士論文。
3.邱維正，（1994），「臺灣地區股票上市公司資本結構之再研究」，國立中正大學財務金融研究所未出版碩士論文。
4.張南寧，（2002），「臺灣地區上市公司資本結構之實證研究」，私立長庚大學企業管理研究所未出版碩士論文。
5.張漢君，（1991），「上市公司財務結構決定因素與融資順位理論」，私立淡江大學管理科學研究所未出版碩士論文。
6.郭素綾，（2001），「本國銀行信用評等實證模型之研究」，國立中正大學企業管理研究所未出版碩士論文。
7.郭敏華，（1999），「債信評等程序暨其在金融監理上之應用」，存款保險資訊季刊，13:1，頁55-76。
8.--------，（2000），「債信評等」，初版，台北：智勝出版社。
9.--------，（2000），「債信評等內涵迷思之探討」，證券暨期貨管理，18:6，頁1-12。
10.--------，（2003），「債信評等主觀評估內部一致性暨外部一致性之探討--以銀行及證券實務專家之差異分析為例」，中山管理評論，11:1，頁177-197。
11.郭逸眞，（1996），「融資順位理論於成長性企業之實證研究」，國立中央大學企業管理研究所未出版碩士論文。
12.陳帥文，（2001），「產業最適資本結構之研究－以資訊電子業為例」，國立中山大學企業管理研究所未出版碩士論文。
13.陳惠玲、蕭惠元，（2004），「TCRI定位、範圍及程序概述」，貨幣觀測與信用評等，第四十六期，頁4-37。
14.--------，（2004），「TCRI效力統計—失誤率、違約率及調等率」，貨幣觀測與信用評等，第四十六期，頁50-64。
15.陳隆麒，（1999），「當代財務管理」，台北：華泰書局。
16.辜儀芳，（2002），「臺灣上市公司資本結構選擇之實證研究」，國立中正大學財務金融研究所未出版碩士論文。
17.黃楠祥，（2003），「從企業財務特性到經濟景氣循環信用評等的新思維」，私立東吳大學國際貿易研究所未出版碩士論文。
18.楊健源，（2003），「信用評等與企業價值關係之研究」，國立中正大學企業管理研究所未出版碩士論文。
19.劉維琪、李怡宗，（1993），「近代資本結構理論的綜合探討」，企銀季刊，17:1，頁1-26。
20.蔡貴琴，（2001），「資本結構與獲利能力、資金成本關係之實證研究－以臺灣股票上市公司為研究對象」，國立成奶j學企業管理研究所未出版碩士論文。
21.蕭惠元、陳惠玲，（2002），「各級TCRI之違約率統計」，貨幣觀測與信用評等，第三十四期，頁19-25。
22.賴文盛，（2004），「融資順位理論之再研究－以臺灣上市、上櫃公司為例」，私立朝陽科技大學財務金融所未出版碩士論文。
23.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，5:1，頁51-74。
24.鍾惠珍，（2000），「一窺企業風險--簡介信用評等制度」，會計研究月刊，176，頁68-71。
25.簡志昇，（1998），「臺灣地區股票上市公司資本結構影響因素之研究」，國立交通大學管理科學研究所未出版碩士論文。
26.藍瑞卿，（2000），「臺灣地區股票上櫃公司資本結構影響因素之探討」，國立台北大學企業管理研究所未出版碩士論文。
27.顏偉志，（1998），「臺灣地區新上市公司融資順位與資本結構之研究」，國立臺灣大學財務金融學研究所未出版碩士論文。
二、英文部分
1.Altman, E. I., and Kao, D. L., 1992, “The Implications of Corporate Bond Rating Drift,” Financial Analysts Journal, 64–75.
2.Barron’s, 2003, “King of the Cabin,” August 4, 27.
3.Bayless, M., and Chaplinsky, S., 1991, “Expectations of Security Type and the Information Content of Debt and Equity Offers,” Journal of Financial Intermediation 1, 195–214.
4.Best, R. J., and Best, R. W., 1995, “An Empirical Analysis of Cross-Security Information Asymmetry and the Pecking Order Hypothesis,” Journal of Economics and Finance 19, No. 3, 19–29.
5.Boot, Arnoud W. A., Milbourn, Todd T., and Schmeits, A., 2006, “Credit Ratings as Coordination Mechanisms,” Review of Financial Studies 19, 81–118.
6.Brennan, M., and Schwartz, E., 1978, “Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure,” Journal of Business 51, 103–114.
7.Cantillo, M., and Wright, J., 2000, “How Do Firms Choose Their Lenders? An Empirical Investigation,” Review of Financial Studies 13, 155–189.
8.Cantor, R., and Packer, F., 1994, “The Credit Rating Industry,” Federal Reserve Bank of New York Quarterly Review 19, 1–26.
9.Crabbe, L., and Post, Mitchell A., 1994, “The Effect of A Rating Downgrade on Outstanding Commercial Paper,” Journal of Finance 49, 39–56.
10.Donaldson, G., 1961, “Corporate Debt Capacity: A Study of Corporate Debt Policy and the Determination of Corporate Debt Capacity,” Division of Research, Graduate School of Business Administration, Harvard University.
11.Durand, David, 1952, “Cost of Debt and Equity Funds for Business: Trends and Problems of Measurement,” Conference on Research in Business Finance, National Bureau of Economic Research, New York, 215–247.
12.Ederington, Louis H., 1985, “Classification Models and Bond Ratings,” The Financial Review 20, 237–261.
13.--------, and Goh, Jeremy C., 1998, “Bond Rating Agencies and Stock Analysts: Who Knows What When?” Journal of Financial and Quantitative Analysis 33, 569–585.
14.--------, Yawitz, Jess B., and Roberts, Brian E., 1987, “The Informational Content of Bond Ratings,” The Journal of Financial Research 10, 211–226.
15.Elton, Edwin J., Gruber, Martin J., Agrawal, D., and Mann, C., 2001, “Explaining the Rate Spread on Corporate Bonds,” Journal of Finance 56, 247–277.
16.Fama, Eugene F., and MacBeth, J., 1973, “Risk, Return and Equilibrium: Empirical Tests,” Journal of Political Economy 81, 607–636.
17.Fama, Eugene F., and French, Kenneth R., 2002, “Testing Tradeoff and Pecking Order Predictions about Dividends and Debt,” Review of Financial Studies 15, 1–33.
18.Faulkender, M., and Peterson, M., 2006, “Does the Source of Capital Affect Capital Structure?” Review of Financial Studies 19, 45–79.
19.Financial Times, 2004, “Downgrade Offers Exit for GE: News of US Airways’ Lower Credit Rating Gives Creditors A Chance to Withdraw Financing for Its Regional Jets,” May 6, 15.
20.Fischer, E., Heinkel, R., and Zechner, J., 1989, “Dynamic Capital Structure Choice: Theory and Tests,” Journal of Finance 44, 19–40.
21.Flannery, Mark J., and Rangan, Kasturi P., 2006, “Partial Adjustment Toward Target Capital Structures,” Journal of Financial Economics 79, 469–506.
22.Frank, Murray Z., and Goyal, Vidhan K., 2003, “Testing the Pecking Order Theory of Capital Structure,” Journal of Financial Economics 67, 217–248.
23.Ghosh, A., Cai, F., and Li, W., 2000, “The Determinants of Capital Structure,” American Business Review 18, 129–132.
24.Goh, J. C., and Ederington, L. H., 1999, “Cross-Sectional Variation in the Stock Market Reaction to Bond Rating Changes,” Quarterly Review of Economics and Finance 39, 101–112.
25.Goldstein, R., Ju, N., and Leland, H. E., 2001, “An EBIT-based Model of Dynamic Capital Structure,” Journal of Business 74, 483–511.
26.Graham, John R., and Harvey, Campbell R., 2001, “The Theory and Practice of Corporate Finance: Evidence From the Field,” Journal of Financial Economics 60, 187–243.
27.Griffin, P. A., and Sanvicente, A. Z., 1982, “Common Stock Returns and Rating Changes: A Methodological Comparison,” The Journal of Finance 37, 103–119.
28.Hahn, Thomas K., 1993, “Commercial Paper,” Federal Reserve Bank of Richmond Economic Quarterly 79, 45–67.
29.Hand, John R. M., Holthausen, Robert W., and Leftwich, Richard W., 1992, “The Effect of Bond Rating Agency Announcement on Bond and Stock Prices,” Journal of Finance 47, 733–752.
30.Horrigan, James O., 1966, “The Determination of Long-term Credit Standing with Financial Ratios,” Journal of Accounting Research 4, 44–62.
31.Houston, J., and James, C., 1996, “Bank Information Monopolies and the Mix of Private and Public Debt Claims,” Journal of Finance 51, 1863–1889.
32.Jensen, M. C., and Meckling, W. H., 1976, “Theory of the Firm: Managerial Behavior, Agency Cost and Ownership Structure,” Journal of Financial Economics 3, 305–360.
33.Kao, C., and Wu, C., 1990, “Two-Step Estimation of Linear Models with Ordinal Unobserved Variables: The Case of Corporate Bonds,” Journal of Business and Economic Statistics 8, 317–325.
34.Kim, E. H., 1978, “A Mean-Variance Theory of Optimal Capital Structure and Corporate Debt Capacity,” Journal of Finance 33, 45–64.
35.Kisgen, Darren J., 2006, ”Credit Ratings and Capital Structure,” Journal of Finance 63, 1035–1072.
36.Klifer, D., and Sarig, O., 2000, “The Information Value of Bond Ratings,” Journal of Finance 55, 2879–2902.
37.Lando, D., and Skodeberg, Torben M., 2002, “Analyzing Rating Transitions and Rating Drift with Continuous Observations,” Journal of Banking and Finance 26, 423－444.
38.Leary, Mark T., and Roberts, Michael R., 2005, “Do Firms Rebalance Their Capital Structures?” Journal of Finance 60, 2575–2619.
39.Lee, I., Lochhead, S., Ritter, J., and Zhao, Q., 1996, “The Costs of Raising Capital,” The Journal of Financial Research 19, 59–74.
40.Leland, H., and Toft, K., 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance 51, 987–1019.
41.--------, 1994, “Corporate Debt Value, Bond Covenants and Optimal Capital Structure,” Journal of Finance 49, 1213–1252.
42.--------, 1998, “Agency Costs, Risk Management, and Capital Structure,” Journal of Finance 53, 1212–1243.
43.Miller, M. H., 1977, “Debt and Taxes,” Journal of Finance 33, 261–275.
44.Millon, Marcia H., and Thakor, Anjon V., 1985, “Moral Hazard and Information Sharing: A Model of Financial Information Gathering Agencies,” Journal of Finance 40, 1403–1422.
45.Modigliani, F., and Miller, M., 1958, “The Cost of Capital, Corporation Finance and the Theory of Investment,” American Economic Review 48, 261–297.
46.--------, 1961, “Dividend Policy, Growth and the Valuation of Shares,” Journal of Business 34, 411–433.
47.--------, 1963, “The Taxes and the Cost of Capital,” American Economic Review 53, 433–443.
48.Myers, Stewart C., 1977, “Determinants of Corporate Borrowing,” Journal of Financial Economics 5, 147–175.
49.--------, 1984, “The Capital Structure Puzzle,” Journal of Finance 39, 575–592.
50.--------, and Majluf, Nicholas S., 1984, “Corporate Financing and Investment Decisions When Firms Have Information that Investors Do Not Have,” Journal of Financial Economics 13, 187–221.
51.Partnoy, F., 1999, “The Siskel and Ebert of Financial Markets?: Two Thumbs Down for the Credit Rating Agencies,” Washington University Law Quarterly 77, 619–715.
52.--------, 2002, “The Paradox of Credit Ratings,” Law and Research Paper 20, Working paper, University of San Diego.
53.Patel, J., Evans, D., and Burnett, J., 1998, “Junk Bond Behavior with Daily Returns and Business Cycles,” The Journal of Financial Research 21, 408–418.
54.Shyam-Sunder, L., and Myers, Stewart C., 1999, “Testing Static Tradeoff against Pecking Order Models of Capital Structure,” Journal of Financial Economics 51, 219–244.
55.Smith, C. W., and Warner, J. B., 1979, “On Financial Contracting: An Analysis of Bond Covenants,” Journal of Financial Economics 7, 117–161.
56.Standard and Poor’s, 2001a, Stock Reports (Standard and Poor’s Retail Information Services, New York).
57.--------, 2001b, Corporate Ratings Criteria (McGraw-Hill, New York).
58.--------, 2002, “Identifying Ratings Triggers and Other Contingent Calls on Liquidity-Part 2.” Available at
http://www.standardandpoors.com/europe/francais/Fr_resource_center/Articles Resource Center / Identifying - Ratings - Triggers – and – Other – Contingent – Callson – Liquidity - Part2 15-05-02.html.
59.Stiglitz, Joseph E., and Weiss, A., 1981, “Credit Rationing in Markets with Imperfect Information,” American Economic Review 71, 393–410.
60.Taggart, Robert A., 1977, “A Model of Corporate Financing Decisions,” Journal of Finance 32, 1467–1484.
61.Titman, S., and Wessels, R., 1988, “The Determinants of Capital Structure Choice,” Journal of Finance 43, 1–19.
62.Wall Street Journal, 2002, “Fiat Rushes to Sell Stake in Unit to Avoid a Credit Downgrade,” December 19, B10.
63.Wall Street Journal, 2004, “EDS Aims to Save Debt Rating,” May 11, B10.
64.West, Richard R., 1973, “Bond Ratings, Bond Yields and Financial Regulation: Some Findings,” Journal of Law and Economics 16, 159–168.
65.Wruck, K., 1990, “Financial Distress: Reorganization and Organization Efficiency, “ Journal of Financial Economics 27, 425–438.
66.Zaima, J. K., and McCarthy, J., 1988, “The Impact of Bond Rating Changes on Common Stocks and Bonds: Test of the Wealth Redistribution Hypothesis,” Financial Review 23, 483–498.