應用信用違約交換在動能策略上之研究：以日本股市為例

A study of applying credit default swap on momentum strategy: Evidence from Japanese stock market

劉子豪(Tzu-Hao Liu)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2015年)

摘要

本文的研究著重於信用違約交換(CDS)及動能，而不是選取過去大部分文獻所使用的信用評等。本研究探討及比較日本上市公司有無CDS之動能獲利差異。樣本期間為2007年1月至2014年12月。本文建構了兩種動能策略如下：CDS價格法，使用信用違約交換之價格高低來區分群組，再採取動能策略；CDS波動法，使用信用違約交換之價格每日變動幅度高低來區分群組，再採取動能策略。本文的研究重點專注在有CDS之日本上市公司。實證結果發現，透過CDS波動法在群組一採取3個月形成期並持有投資組合3、6、9、12個月的動能策略，皆能獲得顯著之正報酬。

關鍵字

動能 ； 信用違約交換 ； 信用評等

並列摘要

This study examines information based on credit default swap (CDS) and momentum, rather than credit rating proposed by most studies. We compare and discuss momentum profits on Japanese firms with/without CDS. Our sample periods are from Jan. 2007 to Dec. 2014. We construct two momentum strategies as followed. First, we separate groups by using the high and low price of CDS into momentum strategies. Second, we separate groups by using volatility of the price of CDS into momentum strategies. We focus on the Japanese firm with CDS. Our findings show that there are significant momentum returns in holding portfolios for 3, 6, 9 and 12 months formed period by 3 months in group 1 in the second methods.

並列關鍵字

Momentum ； Credit default swap ； Credit rating

參考文獻

李柏儒(2012)。動能策略在日本股市的實證研究。國立政治大學財務管理所碩士論文。

Andy, C. W. C., S. Titman, and K. C. John Wei, 2000, Momentum, legal systems and ownership structure: An analysis of Asian stock markets, Working Paper, University of Texas.

Byström, H., 2005, Credit default swaps and equity prices: The Itraxx CDS index market, Lund University Working Paper.

Carhart, M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.

Fama, E. F. and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.