以往許多文獻皆發現在債信評等降等後，股票報酬會有顯著的異常負報酬出
現，但當債信評等升等後，卻未有類似的異常報酬產生，亦即投資人對評等變動
宣告產生不對稱反應的現象。先前研究對於債信評等變動宣告的觀察，多側重在
投資人對受評公司的股價反應上，且對於異常報酬的解釋也多數由投資人過度反
應(overreaction)或反應不足(underreaction)的角度切入，然而，此種方式對於宣告效果反應之不對稱性現象，並無法提供十分嚴謹的論述。
首先，有別於以往文獻對於先進國家信評成熟市場所進行之實證，本研究計
劃針對規模較小型且信評經驗較不足的台灣市場，探究債信評等宣告是否能提供
給投資人額外的資訊內涵。其次，鑒於以往實證結果所顯示的，信評降等宣告之
異常負報酬表現，本計劃嘗試透過投資人心理因素著手，特別是檢視處分效果在
債信評等宣告日附近之影響性，期能更加了解投資人在面臨債信變動宣告時之反
應。
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.
