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| Title: | 台灣股票市場信用風險對資產評價異常之影響-以盈餘動能為例
The relationship between Earnings momentum and Credit risk in Taiwan market |
| Authors: | 王穎亭 |
| Contributors: | 張興華
江彌修
王穎亭 |
| Keywords: | 盈餘動能
資產評價異常
信用風險 |
| Date: | 2012 |
| Issue Date: | 2013-07-22 11:16:59 (UTC+8) |
| Abstract: | 盈餘動能是資本資產訂價模型所無法解釋的報酬異常現象中，常被學者討論的議題之一。本文首先探討台灣股市是否可由盈餘動能策略獲得超額報酬，再進一步檢視盈餘動能策略與信用風險之間的關聯性。接下來，本文試圖了解公司因財務危機而被降評時，對於盈餘動能投資策略之績效影響。最後，本研究將參考Avramov et al. (2012)之模型設計，加入盈餘動能因子(SUE)及降評之變數，探討考慮降評因子之前後，盈餘動能對報酬的影響力。
經由實證後發現，2003年到2012年的台灣股市，可以由盈餘動能策略獲得超額報酬。將台灣全體上市櫃公司依據信用風險等級分成三組之後，分別進行盈餘動能策略投資後，結果顯示信用風險愈高，報酬率不一定愈高。然而，若考慮降評效果，把樣本中前一個投資期間被降評的公司自樣本剔除，再進行盈餘動能策略投資，結果則顯示信用風險愈高，報酬率愈高，符合了我們的預期。另外，本文經由迴歸實證，發現公司的盈餘動能對報酬有顯著正向關係，但考慮降評因子後，盈餘動能反而對報酬無顯著影響力了，可以證實若公司遭降評，此資訊將反應在股價上，使股價下降幅度過大，連帶也吸收了過去盈餘表現對股價的影響，使盈餘動能對於報酬沒有顯著的影響力。
Earnings momentum effect is one of wildly-discussed pricing anomalies that cannot be explained by capital assets pricing model, we would like to exam whether it exists in Taiwan stock markets. Specifically, we would examine how the profitability of the earnings momentum trading strategies is affected by credit risk (measured by the credit ratings, TCRI). Furthermore, we will examine whether downgrades have any impact on the profitability of earnings momentum trading strategy by excluding returns around rating downgrades. Finally, following the model designed by Avramov et al. (2012), we use the regression analysis to examine the relationship between the stock return and our variables of SUE and downgrades.
Through empirical data from 2003 to 2012 with stocks listed and ever listed on Taiwan Stock Exchange and OTC Securities Market, we find earnings momentum effect does exist. Furthermore, we examine whether the profitability of earnings momentum trading strategies significantly differs among different credit risk groups. We find that out return on our portfolio is not certainly higher when the credit risk is higher. However, after excluding returns around rating downgrades, we could find the relationship between the return and credit risk is positive. |
| Reference: | 一、英文部分
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二、中文部分
1. 丁碧惠、曾家齊，2005。市場狀態與動能投資策略績效關聯性之研究，台灣金融 財務季刊，第六輯第四期，1-19。
2. 古永嘉、李鑑剛，1998，台灣股票市場報酬率之橫斷面與縱斷面混合分析，輔仁管理評論，第五卷第一期，77-96。
3. 李美樺、杜玉振、涂登才，2008，以橫斷面跨期資本資產訂價模型衡量台灣股市報酬與風險之動態關係,銘傳大學2008年國際學術研討會
4. 李春安、羅進水、蘇永裕，2006。動能策略報酬、投資人情緒與景氣循環之研究，財務金融學刊，第十四卷第二期，73-109。
5. 洪茂蔚、林宜勉、劉志諒，2007。動能投資策略之獲利性與影響因素，中山管理評論，第十五卷第三期，515-546。
6. 洪榮華、張憶萍，1994，財務比率、公司規模與股票異常現象關係之實證研究，邁向股票上市之路理論與實務研討會論文集國立成功大學，229-320。
7. 洪榮華、雷雅淇，2001，公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究，管理評論，第二十一期，25-48。
8. 陳安琳、李文智、葉仲康，2000，系統風險規模效果對股票報酬的影響，中華管理評論，1-14。
9. 馮志卿，1998，營運活動現金流量、應計項目與業外損益的盈餘持續性及市場效率研究，國立臺灣大學會計研究所未出版碩士論文。
10. 詹家昌、王冠婷，2006，「財務限制會影響公司系統風險嗎？」，台灣管理學刊，第六卷第一期，59-84。
11. 雷雅淇（2000），「公司規模、股價、益本比、淨值市價比與股票超常報酬關係之實證研究」，中央大學企業管理研究所碩士論文。
12. 趙正源，2004，應計項目組成與股票報酬之關聯性，輔仁大學會計學系研究所未出版碩士論文。
13. 盧敬植，2007，台灣股票市場及各別產業風險貼水之初步研究，證券櫃買中心報告。
14. 顧廣平，2011。盈餘與營收動能，管理學報，第二十八卷第六期，521-544。 |
| Description: | 碩士
國立政治大學
金融研究所
100352018
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0100352018 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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