動能策略與違約風險之間關係

Momentum and Default Risk

林維裕(Wei-yu Lin)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

本文探討動能策略(Momentum Strategy)與違約風險機率(Default Risk Probability)之間的關係。此研究目的為提供投資者增加投資收益的管道，本研究使用Merton’s (1974) 選擇權定價模型衡量違約風險機率為主要變數，本研究提出下列研究目的，首先考慮動能策略效益與違約機率之間的關係，其次再與市場的特性的關係做探討，最後再探討元月效應、景氣循環對動能效益是否有顯著影響。結合動能策略與違約風險機率進而探討在考慮動能策略後，違約風險機率是否依然能對報酬有所影響，結果發現違約機率與報酬是有正向關係。

關鍵字

動能策略 ； 違約機率 ； 景氣循環

並列摘要

This study examines the relations between momentum profits and default risk probability. We use default risk probability as the proxy variable to test whether the default risk probability momentum strategy can increase profits or not. We use Merton’s (1974) option pricing model to compute default risk probability. From our result, we find that the default risk probability transparency will affect return; it will have a higher return in the future. We hope that this study can bring some interesting implications for future research.

並列關鍵字

Momentum Strategy ； Default Risk Probability ； Business cycle

參考文獻

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