信用評等對於債權人而言是相當重要的參考指標，可以衡量企業的違約風險，降低資訊不對稱的現象，是金融機構在評估貸款時的重要參考依據，但信用評等並非投資獲利的指標。 因此本研究欲探討信評等級的變動是否可以提供給市場未察覺到的資訊，使股票有異常報酬，以台灣企業信用風險指標(Taiwan Corporate Credit Risk Index,TCRI)進行探討，透過事件研究法分析TCRI變動後一至三年內的長期股票異常報酬，藉此判斷TCRI等級的變動是否可傳達訊息給市場，作為投資人進行長期投資決策時的參考指標。 然而國內外此方面的研究皆未考慮到公司財務受限程度的不同，在財務受限的情況下將影響公司的投資活動並且間接影響公司價值，最後反應在股票價值上，因此本研究將利用Whited and Wu(2006)所建構的財務受限指數區分各公司的財務受限程度，藉此探討財務受限程度不同的公司在面臨TCRI變動時的長期異常報酬有何差異。 Credit rating is an important reference index for creditor,it can evaluate the default risk of corporation and reduce the information asymmetry.It is also an important indicator for financial institutions to evaluate loan applications.However,credit rating is not an indicator of profit. Therefore,this study try to figure out informational content of credit rating changes and how they affect stock prices in the market of Taiwan.This paper uses Event study to analyze the long-term abnormal return after the changes of Taiwan Corporate Credit Risk Index (TCRI) and determine whether the changes of TCRI can provide information to market and be a reference index for stock investors when they make long-term investment decisions. On the other hand,even though financial constraints will influence corporation’s investment activities and then further influence corporation’s value and stock price,previous studies did not consider the influence of financial constraint when discussing the relationship between abnormal return and changes of credit rating.As a result,this study uses the financially constrained index established by Whited and Wu(2006) to explore whether the different financially constrained levels will influence the long-term abnormal return when facing changes of TCRI
