動量與信用評等

MOMENTUM AND CREDIT RATINGS

黃慧珊(Hui-shan Huang)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2009年)

摘要

投資人是否有可用訊息或指標可引導投資人進行可獲利的投資策略而達到獲利目標。Jegadeesh and Titman (1993) 投資人可以進行買進過去賺錢的企業和賣出過去賠錢的企業的動量交易策略來賺取異常的動量報酬。
本研究目的在於探討台灣股票市場是否有跟Avramov’s 等學者(2007)所研究之美國股票市場有一樣的情況 ，本研究採用台灣經濟新報社(TEJ)之台灣企業信用風險指標(TCRI)作為信用評等的資料來源，研究期間為 1995年 1 月至 2008 年 12 月。結果我們發現在台灣股票市場中操作動能投資策略不能獲得超額報酬且動量超額報酬並非與信用風險程度有絕對關係。

關鍵字

信用評等 ； 動量

並列摘要

This study wants to investigate if investors can use some messages or indicators following investment strategy to achieve profit goals. Jegadeesh and Titman (1993) document the momentum-based trading strategy of buying past winners and selling past losers provides statistically significant and economically abnormal return.
The study wants to know whether Taiwan stock market is similar as Avramov et al. (2007) showed that the momentum payoffs documented in the literature are generated by low-grade firms that account for less than 4% of the overall market capitalization of rated firms. This study use credit risk indicators (TCRI) from Taiwan Economic Journal (TEJ) as a credit sources of information over the period from January 1995 to December 2008. We found there is no relationship between momentum and credit rating in Taiwan stock market.

並列關鍵字

Credit Rating ； Momentum

參考文獻

Jing, S. C. “The Momentum Effect and the Corresponding Investors-Orde Submission Strategies in the Taiwan Stock Market.” MBA Thesis, National Dong Hwa University , 2004.

Avramov, D., C. Tarun, and J. Gergana. “Momentum and Credit Rating.” Journal of Finance 512, (2007): 2503-2519.

Avramov, D. and T. Chordia. “Asset Pricing Models and Financial Market Anomalies.” Review of Financial Studies 19, (2006): 1001-1040

Badrinath, S. G. and W. Sunil. “Momentum Trading by Institutions.” Journal of Finance 57, (2002): 2449-2478.

Blume, L., D. Easley, and M. O’Hara. “Market Statistics and Technical Analysis: The Role of Volume.” Journal of Finance 49, no.1 (1994): 153–181.