公允價值會計對於融資成本之影響

Abstract

本研究探討公允價值會計與融資成本間之關係，我們檢視2007年至2011年間美國債券市場上新發行債券之殖利率和已發行公司債之公司信用評等，第一部分，本研究探討公允價值衡量之淨資產是否會降低信用評等與提高債券殖利率，結果顯示當公允價值衡量之淨資產佔總資產比例提升，公司信用評等將會降低，債券殖利率將會上升。 第二部分，我們探討第三等級淨資產是否比第一、二等級淨資產對於信用評等和債券殖利率更具影響，我們發現在信用評等的部分，實證結果顯示第二等級淨資產較具有顯著影響，與預期不同，在債券殖利率部分，由實證結果可知第二和第三等級淨資產對於信用評等和債券殖利率具顯著影響，且第三等級淨資產比第二等級淨資產更具影響力。 最後一部分，本研究探討當公司治理增強是否可以降低信用評等公司與債券投資人的疑慮，從而使得第三等級淨資產對於信用評等與債券殖利率的影響降低，在債券殖利率部份的結果符合預期，代表著當公司治理程度較高將降低第三等級淨資產對於債券殖利率的影響。

In this paper, I investigate the relationship between fair value accounting and the cost of debt. I use yield spreads of newly issued non-convertible bonds and long-term credit ratings of U.S. publicly traded companies during the 2007-2011 period. First, I test whether fair value measured net total assets lower credit ratings and raise yield spreads. The finding suggests that firms tend to have lower credit ratings and higher yield spreads when a higher percentage of their net assets are measured by fair value accounting. Second, I investigate whether the effect of Level 3 net assets on credit ratings and yield spreads is greater than those of Level 1 and Level 2 net assets. I find that only Level 2 net assets significantly influence credit ratings. On the other hand, Level 2 and Level 3 net assets significantly affect yield spreads. In addition, the effect of Level 3 net assets on yield spreads is greater than that of Level 2 net assets. Finally, I investigate whether strong corporate governance alleviates the effect of Level 3 net assets on credit ratings and yield spreads. Results suggest that the impact of Level 3 net assets varies with the strength of a company's corporate governance. Stronger corporate governance reduces the impact of Level 3 net assets on yield spreads.