| Summary: | 碩士 === 國立屏東科技大學 === 企業管理系所 === 96 === For improving the transparency of corporate information, and decreasing the information asymmetry between principals and agencies, Finance Supervisory Commission constituted a credit ranking act and established the first ranking organization, Taiwan Ratings Corporation (TRC). Taiwan Securities and Futures Institute set up “Information Transparency and Disclosure Ranking System (ITDRS)”. The government expects ITDRS and TRC to execute independent, fair and professional ranking system, and strengthen investors’ confidence of the capital market.
This research intends to discover whether the ranking results announced by ITDRS and TRC will influence the stock prices of companies, causing the fluctuation of stock prices, and produce the remarkable abnormal returns (AR). It implies that investors will be influenced by the ranking results.
The empirical results show:
(1) ITDRS has information content, but the correlation of its ranking results and AR are different from our anticipation. The ranking results by ITDRS were divided into five grades. A+ is the highest, representing more transparent; C- is the lowest, representing most opaque. Our research expects that the higher ranking grades, the more transparent of information and the more AR. However, our results show that the companies with high ranking results, like A and B group, their AR are negative. The AR of C and C- group is positive. The hypothesis 1 of our research is not supported by the empirical results. It may be the reason that the announcement day of ranking result is very close to the disclosure date of the annual reports or quarterly reports. The events happened in the same period. Therefore, the observation data maybe are influenced by other events or the external factors, such as the earnings announcement, causing the fluctuation of the stock prices. Hence, it is resulted that the announcement of transparency rankings by ITDRS does not reveal significant influence on the investor’s investment decisions.
(2) The credit ratings by TRC have information content. However, the results are contrary to our anticipation. The results of long term credit ratings are divided into 10 grades. The highest grade is twAAA, the lowest grades are SD and D. It is hypothesized that the more transparent a company is, the more AR the company earns. But, the hypothesis 2 in this study is not supported by the empirical data. The empirical results show that the AR of the company with high ranking grades, like the twA group, is not completely greater than the company with lower ranking grades, like the twBBB group. Although the hypothesis 2 did not supported, it did imply that the transparency of information will influence stock price positively. Only twAAA group did not have significant AR, the other three groups, however, have positively significant AR. All the three groups are at the first half in long term credit ratings results by TRC, representing more transparent of information. The empirical results show that transparency of information has positive influence on stock price and are, therefore, important to companies. It will also assist investors in their decision making.
In addition, comparing the empirical results between two ranking systems, the higher ranking group by ITDRS show negative and significant AR, however, the credit ratings announced by TRC show positive and significant AR. It implies that credit ratings by TRC are more useful than by ITDRS for investors in their decision making.
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