全球股市違約動能

Default and momentum in global stock markets

張智傑(Chih-Chieh Chang)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2013年)

摘要

本研究探討動能策略和違約風險機率之間的關係。我們使用違約風險機率，研究違約風險機率和動量策略的投資組合，以探討是否可以藉由違約風險機率的增加達到獲利能力的提升。我們研究七個股票市場，使用Merton’s (1974)的選擇權定價模型計算違約風險概率，且遵循Jegadeesh和Titman(1993)以建構基於六個月的累積回報率和違約概率的動能投資組合。
我們發現，在英國和加拿大的市場能藉由違約概率來增加動能利潤。在美國，每月的動能平均報酬率會隨著違約風險的增加而減少，而在英國則是會隨著違約風險增加，動能報酬率也會隨之增加。此外，在大多數的股市中調整市場風險或三個因素風險，也同樣存在異常報酬。
最後，分別控制元月效應和市場狀態和景氣循環，我們的結果是穩健的。因此，我們的研究結果揭示了動量研究的寶貴經驗和目光投向。

關鍵字

元月效應 ； 景氣循環 ； 違約風險概率 ； 動量策略

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 combination of default risk probability and momentum strategy can increase profits or not. We use Merton’s (1974) option pricing model to compute default risk probability. We follow Jegadeesh and Titman (1993) to construct momentum portfolios based on 6-month cumulated returns and default probability. We find the addition of default probability to momentum to increase profits, especially in UK and Canada markets. In addition, there exist abnormal returns in most stock markets by adjusting market risk or three factor risks. Finally, by controlling January effects, market states and business cycle, our results are robust. Hence, our findings shed valuable sights on the empirical momentum studies.

並列關鍵字

Business cycle ； January effect ； Default risk probability ； Momentum strategy

參考文獻

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