| Summary: | 碩士 === 亞洲大學 === 財務金融學系碩士班 === 99 === This study uses credit rating data of Taiwan Ratings Corp. including the first-time credit ratings and the long-term credit rating changes to understand the intra-industry information value of the credit ratings by examining rated firms’ and their competitors’ stock returns. The study finds not significant stock abnormal return around announcement period of the first-time credit ratings. For long-term credit rating changes, the rated firms there are no abnormal announcement returns in credit upgrade events, while there are significantly negative abnormal returns in credit downgrade events. The asymmetry result is consistent with that of past literature. Moreover, the finding is that there exists an intra-industry competitive effect. Namely, in the downgraded event, while the announcement firms have negative abnormal returns, the rival firms in the same industry have positive abnormal stock returns. This means that the information of rating changes not only affects announcement firms but also the rivals in the same industry. Further, the more serious the degree of credit downgrades, the stronger the competitive effects; this reveals that the rival firms have significantly relative advantages. However, if the credit downgrade of announcement firms is slight, the rivals’ abnormal returns are in the same direction with the announcement firms’, indicating a contagion effect. Therefore, the degree of the credit downgrade for rated firms likely affects the relative position in industry between rated firms and rivals. All in all, credit ratings in Taiwan contain information values and can be used by market investors to form an investment strategy.
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