企業未來盈餘對信用風險的影響

Abstract

本研究評估由Ohlson 模型產生出的“Other information”對企業的信用風險的影響。”Other information”隱含所有對公司價值有關的未來資訊。實證結果顯示，在控制著名的變數如財務槓桿，股票波動性，信用評等和資訊不對稱下，”Other information” 對企業債券與無風險債券的利率差具有顯著的負面影響，顯示未來的價值優關的資訊越多，債權人要求較低的風險貼水。除此之外，本研究發現，”Other information”的波動性與債券利率差呈現顯著的正相關。此結果表示，企業未來的資產價值分佈變動性增加會導致債權人要求較高的風險貼水。透過本文研究，顯示”Other information”對於信用風險有顯著的影響。

This study evaluates the impact of the “other information” generated by Ohlson’s model on firm credit risk as captured by bond yield spreads. The empirical results of this research show that the other information, which represents the all value-relevant information in the future, has significant and negative effects on corporate bond yield spreads after controlling for well-known variables such as leverage, equity volatility, credit rating and information asymmetry. In addition, this work also finds that the other information volatility significantly and positively relates to bond yield spreads due to an increase in variations of firms’ future asset value distributions. These results reveal that the other information conveys favorable information about firm credit risk.