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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李艷榕(Yen-Jung Lee) | |
dc.contributor.author | Chun-Chien Chang | en |
dc.contributor.author | 張淳茜 | zh_TW |
dc.date.accessioned | 2021-06-15T13:09:43Z | - |
dc.date.available | 2026-12-31 | |
dc.date.copyright | 2016-08-03 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-06-28 | |
dc.identifier.citation | Amato, J. D., and Furfine, C. H. 2004. Are credit ratings procyclical? Journal of Banking & Finance, 28(11), 2641-2677.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50969 | - |
dc.description.abstract | 本研究主要探討當總經理可以對於其股權進行避險行為時,該避險行為對於與總經理的風險偏好以及信用評等的影響。
為了解決代理問題,公司常給予總經理鉅額的股票或者是權益報酬,但這又衍生出另一個問題。因為總經理的個人財富會與公司的表現緊密的連結,會使得總經理高度暴露在公司特定風險之中,為了規避該風險,總經理會作出對於公司次好的決定。當總經理可以將自己持有的股權進行避險時,可以防止持有股票之價值下跌,又可以獲得或鎖定股票上漲的利益。因此,本研究預期總經理進行避險交易後,會激勵其願意承擔風險,執行較具風險性的政策(例如:研究發展支出),並增加公司整體風險,因為當公司整體風險增加,總經理持有的大量員工認股權價值亦會隨公司風險增加。然而當資金投入於高風險性的投資時,會使公司發生財務危機以及倒債風險的可能性提升,因此信用評等機構可能會因此降低該公司之信用評等。本研究使用1996年至2014年中,該年總經理有進行避險交易之美國上市公司及同產業、同規模的公司為樣本。 在公司風險行為模型中,本研究以研究發展支出以及公司整體風險作為風險行為之代理變數,實證結果發現,當總經理對於其股權進行避險交易後,可以使得其個人財富暴露於公司特定風險的程度降低,總經理財產的價值不會因為股價的下跌而損失,又可以得到股價上漲的利益,所以原本規避風險的總經理會願意承擔風險,因此會增加具有風險性的政策,同時公司整體風險也會隨之上升。 在信用評等模型中,以Standard & Poor’s國內長期債權人的信用評等作為衡量信用評等之依據,實證結果發現,當總經理對於其股權進行避險行為後,會進行高風險性的政策,使公司整體風險增加。本文同時也發現,當總經理對於其股權進行避險行為後,信用評等機構會調降該公司之信用評等,可能由於高風險性的政策會增加公司發生財務危機以及倒債風險的可能性提升。 | zh_TW |
dc.description.abstract | This paper examines the relationship between the CEO’s hedging transactions and his risk-taking behavior as well as the firm’s credit rating.
In order to solve agency problem, firms give their CEOs a substantial amount of equity-based compensation, which gives rise to another problem. Because the CEO’s wealth is close tied to the firm’s stock price performance, he is exposed to a high level of firm-specific risk, and thus has an incentive to reduce risk by undertaking inefficient corporate policies. If the CEO is hedges the risk of his euqity holdingsusing derivative transactions, his personal wealth is isolated from the stock price volatility. Therefore, I expect that after the CEO makes hedging transactions, he will have an incentive to increase risk-taking behavior (e.g., invest more heavily in R&D), and therefore the firm’s total risk. Risky investments will result in a higher default risk and a higher possibility of financial crisis for the firm, thereby leading to poorer credit ratings. Using U.S. public-traded companies with CEO hedging transactions from 1996 to 2014 as well as matching firms in the same year, industry, and with similar sizeI find that CEOs engaging in hedging transactions are more likely take risk investments, as proxied by a higher R&D expense and total firm risk. Moreover, I find that firms are more likely to have a lower credit rating after their CEOs engaging in hedging transactions, suggesting that credit rating agencies incorporate the risky firm profile into consideration when determining the credit quality of the firm. I find that CEO’s hedging transactions lead CEOs to invest in risky activity, and rating agencies downgrade the firm’s credit rating. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T13:09:43Z (GMT). No. of bitstreams: 1 ntu-105-R03722014-1.pdf: 1365768 bytes, checksum: 546df9e85ac35340462b673d730e2f65 (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | 目錄
中文摘要 i ABSTRACT ii 目錄 iii 表目錄 v 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究架構與流程 3 第二章 文獻探討 4 第一節 代理問題 4 第二節 獎酬制度相關之文獻 4 第三節 與避險相關之文獻 6 第四節 與信用評等相關之文獻 9 第三章 研究方法 12 第一節 研究假說 12 第二節 實證模型與變數衡量 13 第三節 樣本 26 第四章 實證結果與分析 28 第一節 交易年度之測試 28 第一項 敘述性統計分析 28 第二項 複迴歸分析 40 第二節 敏感性測試之分析 46 第一項 敘述性統計 48 第二項 敏感性測試複迴歸分析 60 第五章 研究結論、限制與建議 66 第一節 研究結論 66 第二節 研究限制與建議 67 REFERENCE 68 附錄 74 | |
dc.language.iso | zh-TW | |
dc.title | CEO對其股權進行避險與公司風險性投資及信用評等之影響 | zh_TW |
dc.title | An Empirical Study on the Relationship Between CEO’s Hedging Transactions and Corporate Risk-Taking Behavior and Credit Rating | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 林孝倫,劉心才 | |
dc.subject.keyword | 總經理,股權避險,風險性投資,信用評等,代理問題, | zh_TW |
dc.subject.keyword | CEO,Ownership hedging,risk-taking,credit rating,agency problem, | en |
dc.relation.page | 76 | |
dc.identifier.doi | 10.6342/NTU201600531 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2016-06-28 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 會計學研究所 | zh_TW |
顯示於系所單位: | 會計學系 |
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