上下游同產業公司股價報酬衝擊對公司債利差之影響

Abstract

近年來，同產業公司之間互動對公司財務決策之影響日益受到關注，在Leary and Roberts(2014)中以同產業公司平均股價報酬衝擊作為槓桿比率之代理變數，探討其對公司債利差之影響。本研究延續其論文，加入供應鏈因素，欲探討當顧客或供應商之同產業公司之個別風險增加時，對顧客及供應商之破產風險、供應鏈之穩定及公司之信用風險之影響。實證結果顯示，上下游之同產業公司的個別風險對上下游公司資本決策造成影響，並與公司債利差呈顯著負相關，且越重要之顧客其影響越大，但在供應鏈端則未見此差異，顯見顧客端及供應端在不可取代性上之差異。

The study investigates how the idiosyncratic risks of peer firms of suppliers/ customers affect corporate bond yield spreads. We use the average stock return shocks of the peer firms as a proxy of the change of the peer firm’s capital structures, which is developed by Leary and Roberts(2014). The results show that both the idiosyncratic risks of peer firms of suppliers and customers negatively affect a firm’s credit spread. In addition, more important customers have more significant effects while more important suppliers do not have this kind of effect compared to non-main suppliers.