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外文摘要
引文資料
題名:
發行體評等高於主權評等之因素探討--以全球商業銀行為例
書刊名:
管理學報
作者:
黃玉麗
/
沈中華
作者(外文):
Huang, Yu-li
/
Shen, Chung-hua
出版日期:
2010
卷期:
27:6
頁次:
頁547-570
主題關鍵詞:
信用評等
;
財務比率
;
主權上限
;
主權評等
;
Credit rating
;
Financial ratios
;
Sovereign ceiling
;
Sovereign credit ratings
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:0
點閱:77
本文探討使銀行獲得高於主權評等的信用評等的因素,以2002至2008年間獲得標凖普爾信評機構評等的銀行為研究對象,並就財務資訊、海外股權及總體經濟變數等進行分析。實證結果發現,獲得高於主權評等的銀行的財務績效,與評等等於或低於主權評等的銀行間,確實存在顯著差異性。銀行具有較高的資本比率、資産品質、管理效率及銀行規模,有較高的機率獲得高於主權的評等等級。銀行的股權結構也有顯著影響,當一銀行的最終控制股東係來自於海外,可以顯著提高銀行獲得高於主權評等的機率;而海外最終控制股東的持股比率愈高,也有助於提高銀行獲得高於主權的評等。就國家特定變數部份發現,美元化的國家、新興市場國家或總體經濟表現較差的國家,其銀行獲得高於主權的評等等級的機率也較高。此外,本文發現銀行獲得高於主權評等等級可能是該國的實際主權評等被低估的原因造成。發現25個樣本中,有超過一半的國家確實出現實際主權評等被低估的現象,該情形主要出現在阿根廷、巴西、約旦、巴拿馬及土耳其等國。
以文找文
The aim of this study is to investigate why bank ratings may exceed sovereign ceiling. The results are as followed. First, the financial information exists significantly differences between banks ratings higher than the sovereign and bank ratings equal to or worse than the sovereign. Banks with better capital ratio, asset quality, management efficiency and larger size have a higher probability to obtain a rating higher than the sovereign. Further, a foreign ultimate owner is an important factor for banks being assigned a rating higher than the sovereign. The higher percentage of ultimate ownership is also helpful for banks to get a rating higher than the sovereign. Second, from the aspects of country characteristics, we find banks assigned a rating higher than the sovereign are from dollarized countries, emerging market economies. Besides, countries with worse macroeconomic index are more likely to have banks rating pierce the sovereign ceiling. Finally, the results show more than half of our samples with "estimated" sovereign ratings higher than their "actual" estimated, representing SCR underestimation exists. The countries are Argentina. Brazil. Jordan. Panama and Turkey.
以文找文
期刊論文
1.
Kaplan, Robert S.、Urwitz, Gabriel(1979)。Statistical Models on Bond Ratings: A Methodological Inquiry。Journal of Business,52(2),231-261。
2.
Kliger, Doron、Sarig, Oded(2000)。The Information Value of Bond Ratings。Journal of Finance,55(6),2879-2902。
3.
Pinches, George E.、Mingo, Kent A.(1975)。The Role of Subordination and Industrial Bond Ratings。The Journal of Finance,30(1),201-206。
4.
Pogue, Thomas F.、Soldofsky, Robert M.(1969)。What's in a Bond Rating?。Journal of Financial and Quantitative Analysis,4(2),201-228。
5.
Poon, Winnie P. H.、Lee, Junsoo、Gup, Benton E.(2009)。Do Solicitations Matter in Bank Credit Ratings? Results from a Study of 72 Countries。Journal of Money,41(2/3),285-314。
6.
Morgan, Donald P.(2002)。Rating Banks: Risk and Uncertainty in an Opaque Industry。The American Economic Review,92(4),874-888。
7.
Hand, John R. M.、Holthausen, Robert W.、Leftwich, Richard W.(1992)。The Effect of Bond Rating Agency Announcements on Bond and Stock Prices。The Journal of Finance,47(2),733-752。
8.
Ferri, Giovanni、Liu, Li-Gang(2004)。How do Global Credit-Rating Agencies Rate Firms from Developing Countries?。Asian Economic Papers,2(3),30-56。
9.
Poon, W. P. H.(2003)。Are Unsolicited Credit Ratings Biased Downward?。Journal of Banking and Finance,27(4),593-614。
10.
Poon, W. P. H.、Firth, M.(2005)。Are Unsolicited Credit Ratings Lower? International Evidence from Bank Ratings。Journal of Business Finance and Accounting,32(9/10),1741-1770。
11.
Ferri, Giovanni、Liu, Li-Gang、Majnoni, Giovanni(2001)。The Role of Rating Agency Assessments in Less Developed Countries: Impact of the Proposed Basel Guidelines。Journal of Banking and Finance,25(1),115-148。
12.
Kwan, S.(2004)。Risk and Return of Publicly Held Versus Privately Owned Banks。Federal Reserve Bank of New York Economic Policy Review,10(2),97-107。
13.
Horrigan, James O.(1966)。The Determination of Long-Term Credit Standing with Financial Ratios。Journal of Accounting Research,4(1),44-62。
14.
Pinches, George E.、Mingo, Kent A.(1973)。A Multivariate Analysis of Industrial Bond Ratings。The Journal of Finance,28(1),1-18。
15.
West, R. R.(1970)。An Alternative Approach to Predicting Corporate Bond Ratings。Journal of Accounting Research,8(1),118-125。
16.
Holthausen, Robert W.、Leftwich, Richard W.(1986)。The effect of bond rating changes on common stock prices。Journal of Financial Economics,17(1),57-90。
17.
Ederington, Louis H.(1985)。Classification models and bond ratings。The Financial Review,20(4),237-262。
18.
Li, J.、Shin, Y.、Moore, W.(2006)。Reactions of Japanese markets to changes in credit ratings by global and local agencies。Journal of Banking & Finance,30(3),1007-1021。
19.
Dichev, Ilia D.、Piotroski, Joseph D.(2001)。The Long-Run Stock Returns Following Bond Ratings Changes。Journal of Finance,56(1),173-203。
20.
Ammer, J. and F. Packer,(2000)。How Consistent Are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk。Journal of Fixed Income,10(3),24-30。
21.
Bissoondoyal-Bheenick, E.,(2005)。An Analysis of the Determinants of Sovereign Ratings。Global Finance Journal,15(3),251-280。
22.
Borio, C. and F. Packer,(2004)。Assessing New Perspective on Country Risk。BIS Quarterly Review,December,47-64。
23.
Cantor, R. and F. Packer,(1996)。Determinants and Impact of Sovereign Credit Ratings。Federal Reserve Bank of New York Economic Policy Review,2(October),1-15。
24.
Cluff, G. S. and P. G. Farnham,(1984)。Standard & Poor’s vs. Moody’s: Which City Characteristics Influence Municipal Bond Ratings?。Quarterly Review of Economics and Business,24(3),72-94。
25.
Cole, R. A.、J. W. Gunther(1995)。Separating the Likelihood and Timing of Bank Failure。Journal of Banking and Finance,19(6),1073-1089。
26.
Durbin, E. and D. Ng,(2005)。The Sovereign Ceiling and Emerging Market Corporate Bond Spreads。Journal of International Money and Finance,24(4),631-649。
27.
Gaillard, N.,(2009)。The Determinants of Moody's Sub-Sovereign Ratings。International Research Journal of Finance and Economics,31(September),194-209。
28.
González-Hermosillo B. C. Pazarbas ıoglu and R. Billings(1997)。Determinants of Banking System Fragility: A Case Study of Mexico, Staff Papers。International Monetary Fund,44(3),295-314。
29.
Mora, N.,(2006)。Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt?。Journal of Banking and Finance,30(7),2041-2062。
30.
Poon, W., M. Firth and H. G. Fung,(1999)。A Multivariate Analysis of the Determinants of Moody’s Bank Financial Strength Ratings。Journal of International Financial Markets, Institutions, & Money,,9(3),267-283。
31.
Reeb, D. M.、Mansi, S. A.、Allee, J. M.(2001)。Firm Internationalization and the Cost of Debt Financing: Evidence from Non-Provisional Publicly Traded Debt。The Journal of Financial and Quantitative Analysis,36(3),395-414。
32.
UBS Investment Bank,(2004)。The New World of Credit Ratings。UBS,1(September),1-22。
33.
Zaima, J. K.、McCarthy, J.(1988)。The Impact of Bond Rating Changes on Common Stocks and Bonds: Tests of the Wealth Redistribution Hypothesis。Financial Review,23(4),483-498。
會議論文
1.
Altman, E.、Katz, S.(1976)。Statistical Bond Rating Classification Using Financial and Accounting Data。The Conference on Topical Research in Accounting。New York:New York University。205-239。
研究報告
1.
Ammer, J.、Clinton, N.(2004)。Good News Is No News? The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities。
2.
Borensztein, E., K. Cowan and P. Valenzuela,(2006)。The Sovereign Ceiling Lite and Bank Credit Ratings in Emerging Markets Economies。
3.
Borensztein, E., K. Cowan and P. Valenzuela,(2007)。Sovereign Ceiling “Lite? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies。
4.
Demirguc-Kunt, A. and E. Detragiache,(1998)。The Determinants of Banking Crises: Evidence from Developing and Developed Countries。
5.
Depken, C. A., C. LaFountain and R. Butters,(2006)。Corruption and Creditworthiness: Evidence from Sovereign Credit Ratings。
6.
Ferri, G. and L. G. Liu,(2002)。Do Global Credit Rating Agencies Think Globally? The Information Content of Firm Ratings around the World。
7.
Grandes, M. and M. Peter,(2005)。How Important is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa。
8.
Hardy, D. C. and C. Pazarbasioglu,(1998)。Leading Indicators of Banking Crises: Was Asia Different?。
9.
Hutchison, M. and K. McDill,(1999)。Are All Banking Crises Alike?。
10.
Rojas-Suarez, L.,(2001)。Rating Banks in Emerging Markets: What Credit Rating Agencies should Learn from Financial Indicators。
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