本研究主要檢驗公允價值保守程度是否會影響企業信用風險。過去文獻指出當公司使用第二層級或第三層級衡量資產、負債之比例越高時，會採用保守的會計數字進行報導(Badia, Duro, Penalva, and Ryan, 2017; Black, Chen, and Cussatt, 2017)。本研究以2011年至2016年台灣上市、上櫃公司為樣本，實證結果發現：第一、使用公允價值第二層級衡量之會計數字的保守程度會負向影響信用評等等級，但公允價值第三層級衡量之會計數字的保守程度不會影響信用評等等級。第二、公允價值第二層級衡量之會計數字的保守程度會負向影響企業整體債務資金成本，但公允價值第三層級衡量之會計數字的保守程度不會影響企業整體債務資金成本。本研究結果隱含：在台灣資本市場中具有保守特性的會計報導，有可能會降低財務報表訂定債務契約之功能。此結果呼應Dyreng, Vashishtha, and Weber (2017)之推論：債權人對於會計資訊的需求，主要以攸關且忠實表達的會計資訊為主，非強調保守低估的會計價值。

The objective of this paper is to examine whether the extent of the fair value conservatism measurements affect firms’ credit risk. Extant literature suggests that firms holding higher proportions of financial instruments measured at Level 2 and Level 3 fair value report more conditionally conservative accounting numbers (Badia, Duro, Penalva, and Ryan, 2017; Black, Chen, and Cussatt, 2017). This study utilities the sample from Taiwan listed firms during periods from 2011 to 2016 and empirical results show that, first, the extent of fair value conservative accounting numbers measured at Level 2 negatively impacts firms’ credit rating, but no effect of fair value measurement at Level 3 on firms’ credit rating. Second, the extent of fair value conservative accounting numbers measured at Level 2 negatively impacts the cost of debt, but no effect of fair value measurement at Level 3 on firms’ overall cost of debt. In sum, these findings suggest that conservatism financial statements tend to decrease the contractibility in the Taiwan debt market. The results also echos the findings of Dyreng, Vashishtha, and Weber (2017), which evidence that lenders require faithful representation financial information rather than conservative or underestimated accounting numbers.

第一章 緒論 1
第二章 文獻探討與假說發展 5
第一節 公允價值與保守 5
第二節 信用評等 7
第三節 債務資金成本 8
第四節 假說發展 9
第三章 研究設計 11
第一節 模型設計 11
第二節 實證模型 12
第三節 資料來源與樣本選取 14
第四章 實證結果分析 15
第一節 敘述性統計 15
第二節 實證模型之迴歸結果 16
第五章 研究結論與建議 19
第一節 研究結論 19
第二節 研究限制與未來研究建議 20

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