計畫名稱：由行為財務學角度探討債信評等之資訊性 96-2416-H-468-007-
研究計畫英文摘要：
Key words: labor policy, family ideology, familism, individualism
Several studies suggest that abnormal equity returns following bond
downgrades are negative, whereas there is no significant abnormal equity return reaction subsequent to upgrades. There is no a priori reason why equity returns should react to upgrades and downgrades in an asymmetric fashion. The
explanation that previous studies provide for those results is that they are due to investors’ underreaction or overreaction to the information content of rating changes, and such doings are unable to offer a very rigorous argumentation.
First, unlike previous studies that are largely based on large stock markets this research examines whether credit rating announcements convey more valuable information to investors in a relative small market, the Taiwan stock market, than to investors in a large market. Second, this research tries to report the puzzling results regarding negative abnormal returns following downgrades are largely due to investors’ sentiment. Moreover, this project proposes to examine whether the “disposition effect” will affect investors’ trading behavior around the credit action announcement.
