企業資訊揭露透明度與其信用風險之關聯性探討

Abstract

本研究分析造成公司信用風險的成因。本研究依據Duffie and Lando (2001)的理論與Yu (2005)的實證研究，Duffie and Lando (2001)的理論指出公司資訊的不完全揭露會影響到公司的信用風險。利用第七屆「資訊揭露評鑑系統」所公佈的各受評公司評鑑結果為公司資訊揭露透明度為主要變數的代理變數，另以國內台灣經濟新報對上市上櫃公司所建置信用風險指標（TCRI）為信用風險的代理變數，以實證得出公司資訊揭露透明度對於信用風險有解釋力，且公司資訊揭露透明度越高，則公司的信用風險越低。另外，公司資訊揭露透明度與信用風險的關係亦進一步以不同產業加以分析。

This research is to analyze what constitutes the corporate credit risk. It is based on the theory that a firm’s incomplete information disclosure can affect the term structure of its credit spreads by Duffie and Lando (2001) and on the prior empirical study by Yu (2005). Using the data of 2009 Information Transparency and Disclosure Ranking Results in Taiwan and the data of credit rating from Taiwan Economic Journal (TEJ), we finds that firms with higher perceived information transparency have lower levels of credit risk, generally. And our results are matched to the theory by Duffie and Lando (2001). In addition, relationship between business information disclosure transparency and credit risk has also been studied in different industries.