信用評等和市場反應過度

Credit Rating and Market Overreaction

廖雅舲(Ya-ling Liao)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

本研究旨在透過信用評等探討台灣上市公司和美國S&P 500指數選樣公司短期價格持續（動能策略）和長期價格反轉（反向策略）績效，以解釋異常報酬呈現市場反應不足或過度反應之現象。本研究發現，一般而言，輸家組合相較於贏家組合有較低的信用評等和較低的報酬。在二市場中，動能與反向策略分別與信用風險有著強烈相關，意味信用評等高低對市場過度反應或反應不足下會決定投資策略績效好壞，無論是台灣或是美國皆有這種現象。例如在高信用風險下，美國動能策略優於反向策略，台灣則在一般信用風險下短期為反向策略而長期為動能策略。另外，我們觀察元月效應與景氣循環對市場反應不足或過度反應的影響。我們發現，美國相較台灣，投資策略績效在元月效果下較明顯。至於景氣循環方面，發現到投資環境的不同與景氣循環有密切的影響，在成熟市場中，衰退期有助於動能效益；但在新興市場中，衰退期卻是助長反向效益的產生。最後，在考慮資訊不對稱因素後，發現美國資訊不對稱的程度較低，台灣則是同時受到資訊不對稱與信用風險的雙重影響。因此，本研究認為投資策略同時考慮報酬與風險時，甚至控制市場與公司特性，其獲得的投資效益將會大於只考慮報酬面的投資效益。

關鍵字

信用評等 ； 動能投資 ； 景氣循環 ； 資訊不對稱 ； 反向投資

並列摘要

This paper examines the effect of credit rating on market overreaction and underreaction. We compare and analyze the performance of short-term price continuations (momentum strategy) and long-term price reversals (contrarian strategy) in Taiwan and U.S. markets. We find lower credit rating and lower return for the losers than the winners. In addition, under higher credit risk, momentum strategy performs well than contrary strategy in the U.S. market. Similar results are found when considering January effect and business cycles, respectively. In contrast to the Taiwan market, under normal credit risk, the contrary strategy in the short run works well while the momentum strategy in the long run performs well. As for business cycle, we find investment environment with there is close influence with business cycle. In the mature market, momentum benefits are better in expansion period. But in the new developing market, contrarian benefits are better in Recession period. Finally, these proxies for information uncertainty seem to provide different momentum payoffs only in the cases of high credit risk stocks in U.S. market and low credit risk stocks in Taiwan market, whereas credit risk provides differential momentum payoffs across different value of the information uncertainty variables. Therefore, results are robust and can not be fully explained by information uncertainty.

並列關鍵字

contrarian strategy ； credit rating ； momentum strategy ； and information asymmetry ； business cycle

參考文獻

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