上下游廠商現金部位對公司信用風險之影響

Abstract

2008年全球金融海嘯突顯了違約風險與流動性危機透過交易對手蔓延至整個供應鏈之現象，經由供應鏈中相關物流、金流和資訊流的波動，將影響公司的信用風險。而文獻中提到公司持有現金之一動機為預防動機，上下游廠商持有現金可對其自身產生保護作用，進而降低公司的信用風險。本文將使用2001年到2010年美國公司的資料來探討公司上下游廠商的現金部位對公司信用風險的影響。 本研究實證顯示，在控制了文獻中提到影響公司債利差重要的變數之下，供應商及顧客的現金部位對公司的公司債利差有顯著的負向影響。同時發現供應商及顧客的現金部位對公司信用風險的負向效果會受到供應商及顧客的營業淨現金流的影響而減弱，供應商及顧客的投資淨現金流則會加強此負向效果，而供應商及顧客的融資淨現金流對其負向效果則無顯著影響。最後發現上下游廠商的現金仍然可對公司債利差提供額外的資訊。

The global financial crisis in 2008 highlighted the phenomenon that default risk and liquidity crunch spread through business counterparties of a supply chain via the fluctuations of production flow, cash flow and information flow. According to the precautionary motive of a firm to hold cash, cash holding of a firm’s suppliers and customers reduce their insolvency risk and therefore mitigate the firm’s credit risk. We use American firm data from 2001 to 2010 to examine the impact of suppliers’ and customers’ cash holdings on a firm’s credit risk. Empirical results of this study show that the cash holdings of suppliers and customers have significantly negative impacts on corporate bond yield spreads when controlling bond yield spread determinant variables well known in literature. This study also finds that the negative relation between a firm’s credit risk and the cash holdings of its suppliers (customers) becomes weaker when suppliers (customers) have higher level of operating net cash flow. Moreover, higher level of investing net cash flow of suppliers (customers) enhances the negative relation while the financing net cash flow of suppliers (customers) has insignificant impact on the negative effect.