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題名 錨定效應對信評機構影響之研究探討
Anchoring effect on credit rating agency
作者 羅元佑
Lo, Yuan Yu
貢獻者 周冠男
羅元佑
Lo, Yuan Yu
關鍵詞 錨定效應
信用評等機構
Z-Score模型
Anchoring effect
Credit rating agencies
Z-Score model
日期 2017
上傳時間 11-Jul-2017 12:23:22 (UTC+8)
摘要 信用評等機構對於企業與市場投資者而言有著重要且無可取代的功能，其所提供之信用評等資訊應當是許多市場投資者所仰賴的重要決策依據，但近年來，卻有許多外界聲浪質疑信評機構評等之準確性，本論文之研究目的即是希望從錨定效應此一行為偏誤之觀點切入，探討國內信評機構在對企業評等時，是否會受到錨定效應影響，導致評等調整不正確或是評等落後其他財務指標等現象發生。

研究結果顯示，國內信評機構對受評企業之過往財務資訊存在錨定現象，但不至於大幅影響整體違約風險之準確性，且信評機構對受評企業財務之惡化較為敏感。另一方面，本研究也發現，信評機構對於非上市櫃公司、金融業以及初次評等等級在「twAA」以上企業之評等，存在較為明顯之錨定現象。
Credit Rating Agencies (CRAs) play a major role in the financial market. Credit rating purport to provide investors with valuable information they need to make decisions about investing, but the accuracy of the rating itself has been called into question by many investors in recent years. The purpose of this study is to examine the anchoring effect on CRAs while the rating is being given.

The results indicate that domestic CRAs tend to be anchored on the past financial information of the issuers. But the impacts are very slightly. Besides this, CRAs seem relatively sensitive to the financial deterioration. Moreover, the anchoring effect are much more significant when the debt issuers are private firms, financial institutions or the companies with greater or equal to twAA initial credit rating.
參考文獻 汪信君，2013。信用評等機構監理規範之發展與困境：問責基礎與利益衝突。臺大法學論叢，42卷4期，1333 – 1385。
陳盈如，2016。言論自由還是詐欺？－國際信評機構不準確評等之研究。東吳法律學報，28卷1期，P87 – 149。

Altman, Edward, 1968, Financial ratios discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 23, 589–609.
Altman, Edward, 2000, Predicting financial distress of companies: Revisiting the Z-score and zeta Models (Working paper, New York University).
Campbell J., Taksler G., 2003, Equity Volatility and Corporate Bond Yields, Journal of Finance, 58, 2321-2349.
Covitz D., C. Downing, 2007, Liquidity or credit risk? The determinants of very short-term corporate yield spreads, Journal of Finance, 62, 2303–2328.
Dougal, C., Engelberg, J., Parsons, C., Van Wesep, E., 2015, Anchoring on Credit Spread, Journal of Finance, 70, 1039-1080.
Eduardo Borensztein, Kevin Cowan, Patricio Valenzuela, 2013, Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings, J. Bank. Financ., 37, 4014–4024.
Kisgen, Darren J., 2006, Credit ratings and capital structure, Journal of Finance, 61, 1035–1072.
Kisgen, Darren J., and Philip E. Strahan, 2010, Do regulations based on credit ratings affect a firm`s cost of capital?, Review of Financial Studies, 23, 4324–4347.
Lichtenstein, S., and P. Slovic, 1971, Reversal of Preference Between Bids and Choices in Gambling Decisions, Journal of Experimental Psychology, 89, 46-55.
La Porta, R., 1996, Expectations and the cross section of stock returns, Journal of Finance, 51, 1715-1742.
Lovallo D., Kahneman D., 2003, Delusions of success: How optimism undermines executives` decision, Harvard Business Review, 81, 56–63.
Nan S. Ellis et al., 2012, Is Imposing Liability on Credit Rating Agencies a Good Idea?: Credit Rating Agency Reform in the Aftermath of the Global Financial Crisis, 17 STAN. J.L. BUS. & FIN, 175, 175-222.
Partnoy, Frank, 2002, The paradox of credit ratings, in Richard M. Levich, Giovanni Majnoni, and Carmen Reinhart, eds, Ratings, Rating Agencies and the Global Financial System, 65–84.
See, e.g., Galen Hite & Arthur Warga, 1997, The Effect of Bond-Rating Changes on Bond Price Performance, Financial Analysts Journal, 35–47.
Shefrin, Hersh 2002, Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing, New York: Oxford University Press.
Tversky, A., and D. Kahneman, 1974, Judgment under Uncertainty: Heuristics and Biases, Science, 185, 1124-1131.
描述 碩士
國立政治大學
企業管理研究所(MBA學位學程)
104363098
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104363098
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 羅元佑zh_TW
dc.contributor.author (Authors) Lo, Yuan Yuen_US
dc.creator (作者) 羅元佑zh_TW
dc.creator (作者) Lo, Yuan Yuen_US
dc.date (日期) 2017en_US
dc.date.accessioned 11-Jul-2017 12:23:22 (UTC+8)-
dc.date.available 11-Jul-2017 12:23:22 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2017 12:23:22 (UTC+8)-
dc.identifier (Other Identifiers) G0104363098en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110884-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理研究所(MBA學位學程)zh_TW
dc.description (描述) 104363098zh_TW
dc.description.abstract (摘要) 信用評等機構對於企業與市場投資者而言有著重要且無可取代的功能，其所提供之信用評等資訊應當是許多市場投資者所仰賴的重要決策依據，但近年來，卻有許多外界聲浪質疑信評機構評等之準確性，本論文之研究目的即是希望從錨定效應此一行為偏誤之觀點切入，探討國內信評機構在對企業評等時，是否會受到錨定效應影響，導致評等調整不正確或是評等落後其他財務指標等現象發生。

研究結果顯示，國內信評機構對受評企業之過往財務資訊存在錨定現象，但不至於大幅影響整體違約風險之準確性，且信評機構對受評企業財務之惡化較為敏感。另一方面，本研究也發現，信評機構對於非上市櫃公司、金融業以及初次評等等級在「twAA」以上企業之評等，存在較為明顯之錨定現象。		zh_TW
dc.description.abstract (摘要) Credit Rating Agencies (CRAs) play a major role in the financial market. Credit rating purport to provide investors with valuable information they need to make decisions about investing, but the accuracy of the rating itself has been called into question by many investors in recent years. The purpose of this study is to examine the anchoring effect on CRAs while the rating is being given.

The results indicate that domestic CRAs tend to be anchored on the past financial information of the issuers. But the impacts are very slightly. Besides this, CRAs seem relatively sensitive to the financial deterioration. Moreover, the anchoring effect are much more significant when the debt issuers are private firms, financial institutions or the companies with greater or equal to twAA initial credit rating.		en_US
dc.description.tableofcontents 表次 IV
圖次 IV

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究貢獻 2
第三節 研究架構 2
第二章 文獻探討與假說建立 3
第一節 錨定效應 3
第二節 國內信評機構之發展與評等架構 4
第三節 信評機構準確性之探討 6
第三章 研究方法 8
第一節 研究資料、對象與期間 8
第二節 計量模型與變數 10
第四章 實證結果與分析 15
第一節 整體樣本之錨定效應判定 18
第二節 不同因素下之錨定效應判定 20
第五章 結論與建議 30
參考文獻 31		zh_TW
dc.format.extent 1047161 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104363098en_US
dc.subject (關鍵詞) 錨定效應zh_TW
dc.subject (關鍵詞) 信用評等機構zh_TW
dc.subject (關鍵詞) Z-Score模型zh_TW
dc.subject (關鍵詞) Anchoring effecten_US
dc.subject (關鍵詞) Credit rating agenciesen_US
dc.subject (關鍵詞) Z-Score modelen_US
dc.title (題名) 錨定效應對信評機構影響之研究探討zh_TW
dc.title (題名) Anchoring effect on credit rating agencyen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 汪信君，2013。信用評等機構監理規範之發展與困境：問責基礎與利益衝突。臺大法學論叢，42卷4期，1333 – 1385。
陳盈如，2016。言論自由還是詐欺？－國際信評機構不準確評等之研究。東吳法律學報，28卷1期，P87 – 149。

Altman, Edward, 1968, Financial ratios discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 23, 589–609.
Altman, Edward, 2000, Predicting financial distress of companies: Revisiting the Z-score and zeta Models (Working paper, New York University).
Campbell J., Taksler G., 2003, Equity Volatility and Corporate Bond Yields, Journal of Finance, 58, 2321-2349.
Covitz D., C. Downing, 2007, Liquidity or credit risk? The determinants of very short-term corporate yield spreads, Journal of Finance, 62, 2303–2328.
Dougal, C., Engelberg, J., Parsons, C., Van Wesep, E., 2015, Anchoring on Credit Spread, Journal of Finance, 70, 1039-1080.
Eduardo Borensztein, Kevin Cowan, Patricio Valenzuela, 2013, Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings, J. Bank. Financ., 37, 4014–4024.
Kisgen, Darren J., 2006, Credit ratings and capital structure, Journal of Finance, 61, 1035–1072.
Kisgen, Darren J., and Philip E. Strahan, 2010, Do regulations based on credit ratings affect a firm`s cost of capital?, Review of Financial Studies, 23, 4324–4347.
Lichtenstein, S., and P. Slovic, 1971, Reversal of Preference Between Bids and Choices in Gambling Decisions, Journal of Experimental Psychology, 89, 46-55.
La Porta, R., 1996, Expectations and the cross section of stock returns, Journal of Finance, 51, 1715-1742.
Lovallo D., Kahneman D., 2003, Delusions of success: How optimism undermines executives` decision, Harvard Business Review, 81, 56–63.
Nan S. Ellis et al., 2012, Is Imposing Liability on Credit Rating Agencies a Good Idea?: Credit Rating Agency Reform in the Aftermath of the Global Financial Crisis, 17 STAN. J.L. BUS. & FIN, 175, 175-222.
Partnoy, Frank, 2002, The paradox of credit ratings, in Richard M. Levich, Giovanni Majnoni, and Carmen Reinhart, eds, Ratings, Rating Agencies and the Global Financial System, 65–84.
See, e.g., Galen Hite & Arthur Warga, 1997, The Effect of Bond-Rating Changes on Bond Price Performance, Financial Analysts Journal, 35–47.
Shefrin, Hersh 2002, Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing, New York: Oxford University Press.
Tversky, A., and D. Kahneman, 1974, Judgment under Uncertainty: Heuristics and Biases, Science, 185, 1124-1131.		zh_TW