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研究生:張育人
研究生(外文):Yu-Jen Chang
論文名稱:信評改變對債券和股票價格的影響
論文名稱(外文):The effect of bond rating changes on bond and stock prices
指導教授:林月能林月能引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:96
語文別:英文
論文頁數:48
中文關鍵詞:信用評等公平揭露規則
外文關鍵詞:Bond rating changeRegulation FD
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  • 被引用被引用:2
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本篇論文主要研究信用評等改變宣告對債券與股票價格的影響。美國證券管理委員會在2000年10月23日實施公平揭露法。我們將樣本期間分為此法規實施前後,觀察資訊是否提前揭露。在債券市場,我們發現對於降評在宣告期間以及宣告前有顯著負的報酬,升評,則沒有顯著的反應。法規實施前,降評有顯著負的效果在宣告前,在法規實施後有顯著負的效果在宣告前以及宣告期間。另外,我們也發現在公平揭露法實施之後,債券市場對於降評在宣告之後存在顯著正報酬。在股票市場,我們發現對於降評在宣告前及宣告期間有顯著負的報酬,對於生平有顯著但是較小的正報酬。法規實施前,降評有著顯著負報酬在宣告前,而法規實施後,降評有顯著負報酬在宣告前及宣告期間。我們認為在法規實施之前,確實存在訊息提前揭露的情況,而在公平揭露法實施之後,雖然沒有完全改善,但此法規在資本市場發揮功效,有其存在的意義。
This thesis is to examine the effects of a rating change announcement on bond and stock prices. Regulation FD became effective on October 23, 2000. We divide our sample period into before and after October 23, 2000 to test whether information is disclosed ahead of time. On bond market, we find the bond effect is significantly negative for downgrade over preannouncement and announcement period and no significant effect for upgrade. There is a significant negative reaction for downgrade in preannouncement period before October 23, 2000 and in announcement period after October 23, 2000. There is also a significant positive reaction after October 23, 2000. On stock market, we find the bond effect is significantly negative for downgrade over preannouncement and announcement period and a significant smaller effect for upgrade. Before October 23, 2000, the price effect is significantly negative for downgrade in the preannouncement period. After October 23, 2000, the effect is significantly negative for downgrade in the announcement period. We consider information is disclosed ahead of time on bond and stock market. We also consider that bond price is overreaction after October 23, 2000.
CHAPTER 1 INTRODUTION 1
CHAPTER 2 LITERATURE REVIEW 3
2.1 Bond ratings and the rating process 3
2.2 Stock and bond return and bond rating change 4
2.3 Abnormal bond return 10
2.4 Correlation of stock and bond returns 17
2.5 Regulation FD 18
CHAPTER 3 DATA AND METHODOLOGY 19
3.1 Data 19
3.2 Methodology 26
3.2.1 The event-study method for stock price returns 26
3.2.2 Event study for bond price return 28
CHAPTER 4 EMPIRICAL RESULTS 30
4.1 Abnormal bond return 30
4.2 Abnormal stock return 39
4.3 Summary 41
CHAPTER 5 CONCLUSION 43
REFERENCES 48
APPENDIX A Regulation Fair Disclosure 50
APPENDIX B Datastream economical group 51

List of Tables
Table1 Classification by Credit Ratings 4
Table2 Corporate Bond Sample Extraction 20
Table3 Descriptive Statistic for Corporate Bond 21
Table4 Descriptive Statistic for Corporate Bond by Economical Group 22
Table5 Descriptive Statistic for Treasury Security 23
Table6 Descriptive Statistic for stock and S&P 500 24
Table7 Descriptive Statistic for Stock by Economical Group 25
Table8 The Bond Price Response to Bond Downgrades and Upgrades Estimation period – five months 31
Table9 The Bond Price Response to Bond Downgrades and Upgrades
Estimation period – four months 32
Table10 The Bond Price Response to Bond Downgrades and Upgrades Estimation period –three months 33
Table11 All-Bond Sample Price Response to Bond Downgrades and Upgrades from Before and After 2000/10/23 Estimation period - five months 34
Table12 All-Bond Sample Price Response to Bond Downgrades and Upgrades from Before and After 2000/10/23 Estimation period – four months 35
Table13 All-Bond Sample Price Response to Bond Downgrades and Upgrades from Before and After 2000/10/23 Estimation period – three months 36
Table14 Weighted-Average Sample Price Response to Bond Downgrades and Upgrades from Before and After 2000/10/23 Estimation period – five months 37


Table15 Weighted-Average Sample Price Response to Bond Downgrades and Upgrades from Before and After 2000/10/23 Estimation period – four months 38
Table16 Weighted-Average Price Response to Bond Downgrades and Upgrades from Before and After 2000/10/23 Estimation period – three months 39
Table17 The Stock Price Response to Bond Downgrades and Upgrades 40
Table18 Stock Price Response to Bond Downgrades and Upgrades from Before and After 2004/10/23 41
Table19 Economic Group from Datastream 51



List of Figures
Figure 1 Estimation period and event period 27
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Goodwin procter LLP,
http://goodwinprocter.com/~/media/E8F0D69EAEE444799DE39709AB80F227.ashx
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