本研究採用事件研究法，以探討在控制先前的評級狀態下，信用評級的變動會如何影響公司債券的信用違約交換利差。然後，在控制先前的評級狀態此前提下，本研究利用回歸分析，進一步探討盈餘管理會如何影響信用違約交換利差與信用評級之間的關係。結果表明，降級可被信用違約交換市場預期。其次，當信用評級的變動是由“穩定”的評級狀態轉變而成，則此信用評級的變動對信用違約交換利差的影響最大。最後，對盈餘管理程度高的公司而言，降級會對其信用違約交換利差造成的影響最大，而對盈餘管理程度低的公司而言，升級會對其信用違約交換利差造成的影響最大。但是，關於此違約交換利差的變化方向，並未得出一致的結論。

This study adopts event study to explore the impact of credit ratings on corporate bond CDS spreads after previous rating status is controlled. And then based on the condition that previous rating status is taken into account, this study further discusses how earnings management influences the relationship between CDS spreads and credit ratings through regression analysis. The results show that the downgrades could be anticipated by CDS markets. Next, the greatest impact of credit rating on CDS spreads occurs in the situation where the previous rating status is “stable”. Lastly, the company with high earnings management level experiences the largest impact on CDS spreads when rating downgrades, while the company with low earnings management level experiences the largest impact on CDS spreads when rating upgrades. However, it is difficult to draw a conclusion of the change direction of CDS spreads in this finding.

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