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題名 台灣證券市場財務危機與異常報酬之關係-以價值型投資策略為例
Financial distress and anomalies in Taiwan stock market- value-based strategy
作者 黃鈺家
貢獻者 張興華
黃鈺家
關鍵詞 異常報酬
信用風險
財務危機
價值型投資策略
信用評等
日期 2012
上傳時間 1-Jul-2013 17:52:04 (UTC+8)
摘要 市場上存在許多傳統資產模型無法解釋的異常現象，本論文將探討台灣證券
     市場異常報酬投資策略之獲利與財務危機間的關聯性，重點放在價值型投資策略，
     由買進高淨值市價比的公司股票，放空低淨值市價比的股票，建構出價值型投資
     組合。此投資策略的主要獲利來源出自投資組合的多頭部位，即高淨值市價比的
     公司。且信用風險作為財務危機的代理變數，在解釋異常報酬上扮演重要角色，
     價值型投資策略的異常報酬在高信用風險公司是較大的，表示財務危機的影響是
     有反映在股票報酬上的。而與美國市場的結果不同，信用評等降評對報酬的影響
     在台灣證券市場並不顯著。
Anomalies exist in the markets that cannot be explained by traditional
     asset-pricing models. This paper assesses implications of financial distress for the
     profitability of anomaly-based trading strategies in Taiwan stock market. We focus on
     the value-based strategy which conditions on the BM ratio. It involves buying highest
     BM and selling lowest BM stocks. Financial distress, as proxied by rating downgrades,
     is likely to be a primary ex ante indicator of a company’s future performance.
     Anomaly returns of value-based strategy are bigger in high credit risk companies. But
     unlike the evidence in U.S market, rating downgrades only have limited impact on
     stock returns in Taiwan.
參考文獻 1. Amato, J.D. ,and E.M. Remolona, 2003, The Credit Spread Puzzle. BIS Quarterly Review.
     2. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2009, Credit ratings and the cross-section of stock returns. Journal of Financial Markets. 12(3), 469-499.
     3. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2013, Anomalies and financial distress. Journal of Financial Economics. 108(1), 139-159.
     4. Ball, R. ,and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research. 6(2), 159-178.
     5. Banz, R.W., 1981, The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1), 3-18.
     6. Basu, S., 1983, The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics. 12(1), 129-156.
     7. Bauman, W.S., C.M. Conover ,and R.E. Miller, 1998, Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets. Financial Analysts Journal. 54(2), 75-89.
     8. Campbell, J.Y., J. Hilscher ,and J.A.N. Szilagyi, 2008, In Search of Distress Risk. The Journal of Finance. 63(6), 2899-2939.
     9. Capaul, C., I. Rowley ,and W.F. Sharpe, 1993, International Value and Growth Stock Returns. Financial Analysts Journal. 49(1), 27-36.
     10. Chan, L.K.C., Y. Hamao ,and J. Lakonishok, 1991, Fundamentals and Stock Returns in Japan. The Journal of Finance. 46(5), 1739-1764.
     28
     11. Chu, H.-H., K.-C. Ko, S.-J. Lin ,and H.-W. Ho, 2013, Credit Rating Anomaly in Taiwan Stock Market. forthcoming in Asia-Pacific Journal of Financial Studies.
     12. Cooper, M.J., H. Gulen ,and M.J. Schill, 2008, Asset Growth and the Cross-Section of Stock Returns. The Journal of Finance. 63(4), 1609-1651.
     13. Dichev, I.D., 1998, Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance. 53(3), 1131-1147.
     14. Dichev, I.D. ,and J.D. Piotroski, 2001, The Long-Run Stock Returns following Bond Ratings Changes. The Journal of Finance. 56(1), 173-203.
     15. Fama, E.F. ,and K.R. French, 1992, The Cross-Section of Expected Stock Returns. The Journal of Finance. 47(2), 427-465.
     16. Fama, E.F. ,and K.R. French, 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33(1), 3-56.
     17. Fama, E.F. ,and K.R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance. 50(1), 131-155.
     18. Fama, E.F. ,and K.R. French, 1998, Value versus Growth: The International Evidence. The Journal of Finance. 53(6), 1975-1999.
     19. Fama, E.F. ,and K.R. French, 2004, The Capital Asset Pricing Model: Theory and Evidence. The Journal of Economic Perspectives. 18(3), 25-46.
     20. Fama, E.F. ,and K.R. French, 2008, Average Returns, B/M, and Share Issues. The Journal of Finance. 63(6), 2971-2995.
     29
     21. Fama, E.F. ,and K.R. French, 2008, Dissecting Anomalies. The Journal of Finance. 63(4), 1653-1678.
     22. Graham, B. ,and D. Dodd, Security Analysis,1934. 1934: New York: Whittlesey House/ McGraw Hill.
     23. Griffin, J.M. ,and M.L. Lemmon, 2002, Book–to–Market Equity, Distress Risk, and Stock Returns. The Journal of Finance. 57(5), 2317-2336.
     24. Hand, J.R.M., R.W. Holthausen ,and R.W. Leftwich, 1992, The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. The Journal of Finance. 47(2), 733-752.
     25. Jagannathan, R. ,and Z. Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns. The Journal of Finance. 51(1), 3-53.
     26. Jegadeesh, N. ,and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. 48(1), 65-91.
     27. Lakonishok, J., A. Shleifer ,and R.W. Vishny, 1994, Contrarian Investment, Extrapolation, and Risk. The Journal of Finance. 49(5), 1541-1578.
     28. Laxmi Chand, B., 1988, Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. The Journal of Finance. 43(2), 507-528.
     29. Levy, H., 1978, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio. The American Economic Review. 68(4), 643-658.
     30
     30. Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics. 47(1), 13-37.
     31. Markowitz, H., 1952, Portfolio Selection. The Journal of Finance. 7(1), 77-91.
     32. Merton, R.C., 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, in The Journal of Finance. p. 483-510.
     33. Porta, R.L., J. Lakonishok, A. Shleifer ,and R. Vishny, 1997, Good News for Value Stocks: Further Evidence on Market Efficiency. The Journal of Finance. 52(2), 859-874.
     34. Reinganum, M.R., 1981, Misspecification of capital asset pricing: Empirical anomalies based on earnings` yields and market values. Journal of Financial Economics. 9(1), 19-46.
     35. Roll, R., 1977, A critique of the asset pricing theory`s tests Part I: On past and potential testability of the theory. Journal of Financial Economics. 4(2), 129-176.
     36. Roll, R., 1980, Performance evaluation and benchmark errors (I). The Journal of Portfolio Management. 6(4), 5-12.
     37. Roll, R., 1981a, Performance Evaluation and Benchmark Errors (II). The Journal of Portfolio Management. 7(2), 17-22.
     38. Roll, R., 1981b, A Possible Explanation of the Small Firm Effect. The Journal of Finance. 36(4), 879-888.
     39. Rosenberg, B., K. Reid ,and R. Lanstein, 1985, Persuasive evidence of market inefficiency. The Journal of Portfolio Management. 11(3), 9-16.
     31
     40. Rozeff, M.S. ,and M.A. Zaman, 1998, Overreaction and Insider Trading: Evidence from Growth and Value Portfolios. The Journal of Finance. 53(2), 701-716.
     41. Sharpe, W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance. 19(3), 425-442.
     42. Sheu, H.-j. ,and K.-p. Ku, 1999, An empirical study of forecasting power of turnover and book-to-price for stock returns in Taiwan. Advances in Pacific Basin financial markets. 5, 325-336.
     43. Sloan, R.G., 1996, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review. 71(3), 289-315.
     44. Titman, S., K.C.J. Wei ,and F. Xie, 2004, Capital Investments and Stock Returns. The Journal of Financial and Quantitative Analysis. 39(4), 677-700.
     45. 方智強、姚明慶, 1998, 台灣上市公司的淨值市價比現象. 管理學報. 15(3), 367-391.
     46. 陳家彬, 1999, 台灣地區股票報酬之橫斷面分析：三因子模式之實證. 興大人文社會學報. 8, 213-235.
描述 碩士
國立政治大學
金融研究所
100352015
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100352015
資料類型 thesis
dc.contributor.advisor 張興華zh_TW
dc.contributor.author (Authors) 黃鈺家zh_TW
dc.creator (作者) 黃鈺家zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:52:04 (UTC+8)-
dc.date.available 1-Jul-2013 17:52:04 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:52:04 (UTC+8)-
dc.identifier (Other Identifiers) G0100352015en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58727-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 100352015zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 市場上存在許多傳統資產模型無法解釋的異常現象，本論文將探討台灣證券
     市場異常報酬投資策略之獲利與財務危機間的關聯性，重點放在價值型投資策略，
     由買進高淨值市價比的公司股票，放空低淨值市價比的股票，建構出價值型投資
     組合。此投資策略的主要獲利來源出自投資組合的多頭部位，即高淨值市價比的
     公司。且信用風險作為財務危機的代理變數，在解釋異常報酬上扮演重要角色，
     價值型投資策略的異常報酬在高信用風險公司是較大的，表示財務危機的影響是
     有反映在股票報酬上的。而與美國市場的結果不同，信用評等降評對報酬的影響
     在台灣證券市場並不顯著。		zh_TW
dc.description.abstract (摘要) Anomalies exist in the markets that cannot be explained by traditional
     asset-pricing models. This paper assesses implications of financial distress for the
     profitability of anomaly-based trading strategies in Taiwan stock market. We focus on
     the value-based strategy which conditions on the BM ratio. It involves buying highest
     BM and selling lowest BM stocks. Financial distress, as proxied by rating downgrades,
     is likely to be a primary ex ante indicator of a company’s future performance.
     Anomaly returns of value-based strategy are bigger in high credit risk companies. But
     unlike the evidence in U.S market, rating downgrades only have limited impact on
     stock returns in Taiwan.		en_US
dc.description.tableofcontents 摘要 ......................................................................................................................... i
     表目錄 ....................................................................................................................... iv
     第一章 緒論 .............................................................................................................. 1
     第一節 研究背景 ..................................... 1
     第二節 研究動機 ..................................... 1
     第二章 文獻回顧 ..................................................................................................... 4
     第一節 資產定價模型 ................................. 4
     第二節 證券市場異常現象 ............................. 5
     第三節 財務危機與異常報酬 ........................... 6
     第三章 研究方法 ..................................................................................................... 8
     第一節 資料來源與研究期間 ........................... 8
     第二節 價值策略樣本選取標準 ........................ 13
     第三節 投資報酬之計算 .............................. 13
     第四章 實證結果與分析 ..................................................................................... 14
     第一節 規模、價值與信用評等 ........................ 14
     第二節 信用評等降評之影響 .......................... 22
     第三節 迴歸分析 .................................... 23
     第五章 結論 ............................................................................................................ 26
     iii
     參考文獻 ................................................................................................................... 27
     附錄 ...................................................................................................................... 32		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100352015en_US
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) 信用風險zh_TW
dc.subject (關鍵詞) 財務危機zh_TW
dc.subject (關鍵詞) 價值型投資策略zh_TW
dc.subject (關鍵詞) 信用評等zh_TW
dc.title (題名) 台灣證券市場財務危機與異常報酬之關係-以價值型投資策略為例zh_TW
dc.title (題名) Financial distress and anomalies in Taiwan stock market- value-based strategyen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Amato, J.D. ,and E.M. Remolona, 2003, The Credit Spread Puzzle. BIS Quarterly Review.
     2. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2009, Credit ratings and the cross-section of stock returns. Journal of Financial Markets. 12(3), 469-499.
     3. Avramov, D., T. Chordia, G. Jostova ,and A. Philipov, 2013, Anomalies and financial distress. Journal of Financial Economics. 108(1), 139-159.
     4. Ball, R. ,and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research. 6(2), 159-178.
     5. Banz, R.W., 1981, The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1), 3-18.
     6. Basu, S., 1983, The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics. 12(1), 129-156.
     7. Bauman, W.S., C.M. Conover ,and R.E. Miller, 1998, Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets. Financial Analysts Journal. 54(2), 75-89.
     8. Campbell, J.Y., J. Hilscher ,and J.A.N. Szilagyi, 2008, In Search of Distress Risk. The Journal of Finance. 63(6), 2899-2939.
     9. Capaul, C., I. Rowley ,and W.F. Sharpe, 1993, International Value and Growth Stock Returns. Financial Analysts Journal. 49(1), 27-36.
     10. Chan, L.K.C., Y. Hamao ,and J. Lakonishok, 1991, Fundamentals and Stock Returns in Japan. The Journal of Finance. 46(5), 1739-1764.
     28
     11. Chu, H.-H., K.-C. Ko, S.-J. Lin ,and H.-W. Ho, 2013, Credit Rating Anomaly in Taiwan Stock Market. forthcoming in Asia-Pacific Journal of Financial Studies.
     12. Cooper, M.J., H. Gulen ,and M.J. Schill, 2008, Asset Growth and the Cross-Section of Stock Returns. The Journal of Finance. 63(4), 1609-1651.
     13. Dichev, I.D., 1998, Is the Risk of Bankruptcy a Systematic Risk? The Journal of Finance. 53(3), 1131-1147.
     14. Dichev, I.D. ,and J.D. Piotroski, 2001, The Long-Run Stock Returns following Bond Ratings Changes. The Journal of Finance. 56(1), 173-203.
     15. Fama, E.F. ,and K.R. French, 1992, The Cross-Section of Expected Stock Returns. The Journal of Finance. 47(2), 427-465.
     16. Fama, E.F. ,and K.R. French, 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33(1), 3-56.
     17. Fama, E.F. ,and K.R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance. 50(1), 131-155.
     18. Fama, E.F. ,and K.R. French, 1998, Value versus Growth: The International Evidence. The Journal of Finance. 53(6), 1975-1999.
     19. Fama, E.F. ,and K.R. French, 2004, The Capital Asset Pricing Model: Theory and Evidence. The Journal of Economic Perspectives. 18(3), 25-46.
     20. Fama, E.F. ,and K.R. French, 2008, Average Returns, B/M, and Share Issues. The Journal of Finance. 63(6), 2971-2995.
     29
     21. Fama, E.F. ,and K.R. French, 2008, Dissecting Anomalies. The Journal of Finance. 63(4), 1653-1678.
     22. Graham, B. ,and D. Dodd, Security Analysis,1934. 1934: New York: Whittlesey House/ McGraw Hill.
     23. Griffin, J.M. ,and M.L. Lemmon, 2002, Book–to–Market Equity, Distress Risk, and Stock Returns. The Journal of Finance. 57(5), 2317-2336.
     24. Hand, J.R.M., R.W. Holthausen ,and R.W. Leftwich, 1992, The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. The Journal of Finance. 47(2), 733-752.
     25. Jagannathan, R. ,and Z. Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns. The Journal of Finance. 51(1), 3-53.
     26. Jegadeesh, N. ,and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. 48(1), 65-91.
     27. Lakonishok, J., A. Shleifer ,and R.W. Vishny, 1994, Contrarian Investment, Extrapolation, and Risk. The Journal of Finance. 49(5), 1541-1578.
     28. Laxmi Chand, B., 1988, Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. The Journal of Finance. 43(2), 507-528.
     29. Levy, H., 1978, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio. The American Economic Review. 68(4), 643-658.
     30
     30. Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics. 47(1), 13-37.
     31. Markowitz, H., 1952, Portfolio Selection. The Journal of Finance. 7(1), 77-91.
     32. Merton, R.C., 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, in The Journal of Finance. p. 483-510.
     33. Porta, R.L., J. Lakonishok, A. Shleifer ,and R. Vishny, 1997, Good News for Value Stocks: Further Evidence on Market Efficiency. The Journal of Finance. 52(2), 859-874.
     34. Reinganum, M.R., 1981, Misspecification of capital asset pricing: Empirical anomalies based on earnings` yields and market values. Journal of Financial Economics. 9(1), 19-46.
     35. Roll, R., 1977, A critique of the asset pricing theory`s tests Part I: On past and potential testability of the theory. Journal of Financial Economics. 4(2), 129-176.
     36. Roll, R., 1980, Performance evaluation and benchmark errors (I). The Journal of Portfolio Management. 6(4), 5-12.
     37. Roll, R., 1981a, Performance Evaluation and Benchmark Errors (II). The Journal of Portfolio Management. 7(2), 17-22.
     38. Roll, R., 1981b, A Possible Explanation of the Small Firm Effect. The Journal of Finance. 36(4), 879-888.
     39. Rosenberg, B., K. Reid ,and R. Lanstein, 1985, Persuasive evidence of market inefficiency. The Journal of Portfolio Management. 11(3), 9-16.
     31
     40. Rozeff, M.S. ,and M.A. Zaman, 1998, Overreaction and Insider Trading: Evidence from Growth and Value Portfolios. The Journal of Finance. 53(2), 701-716.
     41. Sharpe, W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance. 19(3), 425-442.
     42. Sheu, H.-j. ,and K.-p. Ku, 1999, An empirical study of forecasting power of turnover and book-to-price for stock returns in Taiwan. Advances in Pacific Basin financial markets. 5, 325-336.
     43. Sloan, R.G., 1996, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review. 71(3), 289-315.
     44. Titman, S., K.C.J. Wei ,and F. Xie, 2004, Capital Investments and Stock Returns. The Journal of Financial and Quantitative Analysis. 39(4), 677-700.
     45. 方智強、姚明慶, 1998, 台灣上市公司的淨值市價比現象. 管理學報. 15(3), 367-391.
     46. 陳家彬, 1999, 台灣地區股票報酬之橫斷面分析：三因子模式之實證. 興大人文社會學報. 8, 213-235.		zh_TW