| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 98 === In this study, from the sample of the Taiwan Ratings Corporation(TRC) ,I use long-term credit ratings in 2007 and 2008. I examine the relationship between credit ratings and stock abnormal returns by using event study methods. The objective of this research is to investigate (1) whether there are different credit ratings announcement effects between in 2007 and 2008. (2)whether the higher grade credit ratings can generate more stock abnormal returns than the lower grade credit ratings. (3)I establish cross-sectional regression to explore which factors can affect cumulative average abnormal returns. The factors are associated with finance (profitability, solvency, cash flow ,operating capacity and growing power dimensions) ,corporate governance (board characteristics, ownership structure dimensions).
The results of this study show that(1) there are different credit ratings announcement effects between in 2007 and 2008. (2) the higher abnormal returns can not generated by the higher credits ratings.(3) the dimensions of finance and corporate governance can affect cumulative average abnormal returns. Not only profitability, solvency and growing power influence on the cumulative average abnormal returns, but also board characteristics, ownership structure dimensions influence on the cumulative average abnormal returns.
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