公司多角化與信用風險

Abstract

在過去的研究中，不論是針對多角化折價或溢價，均著重於股權的價值。而後有學者提出了過去的研究均忽略了債權價值的改變。多角化折價只是由於多角化使風險下降（共保效果），使財富由股東移轉到債權人身上。在本篇研究中，我們將從事無相關購併的主併公司視為從事多角化的公司。嘗試找出當從事多角化動作時，具有不同特性的公司是否將有不同的行為，並試著驗證財富移轉與共保效果是否適用於各種性質的樣本。理論上，當公司本身信用品質較差時，多角化所達到的共保效果與風險效果將使債權價值上升，而使股權價值下降。而對信用品質佳的公司而言，共保效果與風險效果的作用方向則相反。我們的實證結果顯示，財富移轉效果確實存在於各信用品質不同的公司。但根據主併公司風險程度的不同，財富移轉的方向也就不同。當主併公司為非投資等級公司時，多角化將使其違約機率下降，財富由股東移轉給債權人；當主併公司為投資等級公司時，多角化將使其違約機率上升，財富由債權人移轉到股東身上。

Existing literature on diversification discount or premium focuses on the wealth of stockholders. Mansi and Reeb (2002) state that diversification discount just results from wealth transfer and that risk reduction causes wealth transfers from stockholders to debt holders. In this study, we view acquirer firms which involve in conglomerate mergers as diversifying firms and try to investigate whether firms with different characteristics have different behaviors. In theory, diversification reduces risky firms’ default probability through coinsurance effect and risk effect. But when firms are relatively safe, coinsurance and risk effect will generate impacts on a firm in different direction. Our empirical results show that wealth transfer effect exists but in different directions in firms with different credit quality. Default probability of risky firms declines when they conduct diversification, which is consistent with coinsurance effect with wealth transferred from stockholders to debt holders. On the contrary, default probability of investment grade firms increases when they diversify, which is inconsistent with coinsurance effect. In this case, the risk effect is greater than coinsurance effect and wealth transferred from debt holders to stockholders. We conclude that wealth transfer effect exists in firms with different credit quality, but the directions are opposite.