股票動能投資策略與信用評等分析—以台灣股票市場為例

Momentum Strategy and Credit Rating—An Example of Taiwan Stock Market

朱展德(Chan-Te Chu)

指導教授 ： 林哲群

國立清華大學/科技管理學院/計量財務金融系/碩士(2020年)

摘要

信用評等(credit rating)對公司之債務償還能力進行評估，提供給投資人判斷公司之財務結構是否健全的指標。近年來，大眾日趨了解信用風險的重要性，投資者也愈來愈關心風險大小是否會影響到投資報酬率，故本文主要探討信用評等與股票動能之關係。本文利用Jegadeesh and Titman(1993)之方式建構出動能投資策略，研究期間以2007年1月至2018年12月台灣股票市場普通股之股票為研究樣本，檢驗台灣股票市場信用評等與動能投資策略之關係。研究結果顯示在台灣並不具有顯著的動能效應，反之，股價存在過度反應的特性，以信評組成之動能策略部分，結果顯示違約風險機率並無顯著影響各持有期下之動能策略報酬率，並且信評差組成之動能策略報酬率有高於信評佳之現象。

關鍵字

信用評等 ； 動能投資策略

並列摘要

A credit rating is an assessment of a company's ability to service its debt, giving the public an insight into the financial soundness of such a company or institution. In recent years, the public is increasingly aware of the importance of credit risk, and investors are increasingly concerned about whether the size of risk will affect the return on investment. Therefore, this paper mainly discusses the relationship between credit rating and stock momentum. In this paper, Jegadeesh and Titman(1993) are used to construct momentum investment strategies. During the research period, the relationship between Taiwan stock market credit rating and momentum investment strategies is tested by taking the common stocks listed on Taiwan Stock Exchange from January 2007 to December 2018 as research samples. Results show that there is no momentum effect in Taiwan, on the other hand, the stock price has the characteristic of overreaction, with the momentum strategy built in rating, the results showed that the risk of default probability had no significant effect of momentum strategy under each holding period, and the moment strategy with poor rating seems to have higher return than the moment strategy with good rating.

並列關鍵字

Credit Rating ； Momentum Strategy

參考文獻

Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91.

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