公司治理對企業信用評等之影響與預測

The Effects and Forecasts of Corporate Governance on Credit Ratings

1997 年亞洲金融風暴，乃至恩隆(Enron)、世界通訊(WorldCom)、國內的力霸集團、博達公司及中興銀行等弊案發生後，公司治理議題逐漸為企業所重視。本研究探討公司治理對信用評等之影響，並預測信用評等之移動與違約風險，研究對象為2004-2011 年台灣公開發行公司，共採計6 個產業合計508 家公司，研究方法為Ordered Logit 迴歸模型，並建立研究假說，探討各假說是否支持，最後，本文透過馬可夫鏈模型進行信用等級移轉機率與違約機率之預測。實證結果顯示，在本研究中的6 個產業，大多數產業支持獨立董事比例越高、機構投資人持股比例越高和選用四大會計師事務所，有利於提升企業之信用評等。另有約半數產業支持大股東持股比例越高與董事會規模會影響企業信用評等，但是影響方向於各產業則無一致之結果，因此，公司治理機制確實對企業信用等級有顯著影響。最後，本文將估計結果進行預測，並藉由馬可夫鏈模型建構信用評等轉移矩陣，藉此可瞭解各產業在下一年度各評等等級之移轉機率，以及預測各產業之違約機率，本研究之實證結果可防範企業發生財務危機，亦可做為金融機構授信決策之參考依據。

Following the Asian financial crisis of 1997 and the scandals at Enron, WorldCom, and Taiwanese corporations such as Rebar Group, Procomp Informatics Ltd., and Standard Bank, enterprises have gradually recognized the importance of corporate governance. This study explored the variation in credit ratings from the perspective of corporate governance. The subjects of this research were public companies in Taiwan. The sample comprised 6 industries from which 508 firms were collected during the research period of 2004 to 2011. The Ordered Logit regression model was employed to analyse the 6 industries. Ten hypotheses were established according to the research objective, and its validity was discussed. Finally, we employ the Markov chain model to estimate transition matrices, which are used to forecast transition probabilities and default probabilities. The empirical results of this study support the hypothesis that the credit ratings of a company are significantly influenced by the following factors: a high proportion of independent trustees, a high shareholding ratio of institutional investors and selecting the Big Four for auditing services. The results of this study can also provide a reference for financial institutions and regular investors to understand industrial enterprise credit ratings. Furthermore, the transition probability of the subsequent annual ratings for the 6 industries examined in this study can be predicted using the credit rating transition matrix. The results of this study can also provide a reference for financial institutions and investors to invest or lend.