供應鏈中資訊不對稱對公司債利差的影響

Abstract

本文依據Chen et al. (2009) 投稿2010 FMA研討會的研討會論文進行修改而成。在過去金融海嘯中，幾乎所有公司皆面臨了連鎖效應，顯示出信用風險透過供應鏈中相關物流、金流和知識流的波動，傳遞至所有交易對手中。過去文獻證明資訊流動是提高供應鏈價值的主要驅動者。本文將探討資訊不對稱與供應鏈特性之間的關係，以及其對公司債利差的影響。根據2001年到2006年的實證資料，我們發現在控制公司的R&D、產業集中度以及許多重要的解釋變數之下，供應商的資訊不對稱性程度對其所發行之公司債利差將有顯著的正向影響。此結果亦顯示出供應商的產業集中度與公司債利差的正向效果會受到資訊不確定性較高之上游供應商的影響而減弱，除此之外，本文也發現顧客的R&D強度與公司債利差的負向效果會受到資訊不確定性較高之下游顧客的影響而減弱。最後，我們將資料期間擴展為1993到2008年，發現產業結構中資訊不對稱性仍然對公司債利差提供可貴的資訊。

This thesis is a revised version of the working paper (by Chen, Liao, Kuo, and Hsieh, 2009) submitted to 2010 FMA (Financial Management Association) conference. The domino effects among firms occurred in the recent financial tsunami reveal that credit risks are transmitted through supply chain which connects the variations of inventory flows, cash flows and information flows among counterparties. Literature documents information flow is the most key driver to enhance supply chain value. Among the first studies, this research explores the relation between information asymmetry and supply chain characteristics of individual firm and their effects on bond yield spreads using American data from 2001 to 2006. Empirical results of this study show that suppliers’ information asymmetry play an important role in explaining bond yield spreads when controlling for a firm’s R&D intensity, industry concentration and control variables well-known in the literature. The results of this research also show that the positive relation between a firm’s bond yield spreads and the degree of concentration of its suppliers’ industry becomes weaker when suppliers have higher degree of information asymmetry. Additionally, the negative relation between a firm’s bond yield spreads and the degree of R&D intensity of its customers becomes weaker when customers have higher degree of information asymmetry. We also expand the data period from 1993 to 2008 in order to prove the results are robust, and the expected effects are still supported.