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題名 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
作者 王穎亭
貢獻者 張興華<br>江彌修
王穎亭
關鍵詞 盈餘動能
資產評價異常
信用風險
日期 2012
上傳時間 22-Jul-2013 11:16:59 (UTC+8)
摘要 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.
參考文獻 一、英文部分
     1. Avramov, D., Chordia, T., Jostova, G., and Philipov, A., 2009. Credit ratings and the cross-section of stock returns. Journal of Financial Markets 12, 469–499.
     2. Avramov, D., Chordia, T., Jostova, G., and Philipov, A., 2012. Anomalies and financial distress. Journal of Financial Economics forthcoming.
     3. Ball, Ray and Philip Brown, 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6 (2), 159–178.
     4. Bernard, V.L., and Thomas, J.K., 1989. Post-earnings announcement drift: delayed price response or risk premium. Journal of Accounting Research 27, 1-35.
     5. Bernard, V.L., and Thomas, J.K., 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics, 13(4), 305- 340.
     6. Brennan, M.J., Chordia, T., and Subrahmanyam, A., 1998. Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics 49, 345-374.
     7. Chan, L.K.C., Jegadeesh, N., and Lakonishok, J., 1996. Momentum strategies. Journal of Finance 51, 1681-1713.
     8. Chordia, T., and Shivakumar, L., 2006. Earnings and price momentum. Journal of Financial Economics 80, 627-656.
     9. 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.
     10. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52(3), 1035-1058.
     11. Dichev, I. D., 1998, Is the risk of bankruptcy a systematic risk? Journal of Finance 53(3), 1131-1147.
     12. Fama, E. F., French, K. R., 1992. The cross-section of expected stock
     returns. Journal of Finance 47 (2), 427–465.
     13. Fama, E. F., French, K. R., 1993. Common risk factors in the returns on
     stocks and bonds. Journal of Financial Economics 33 (1), 3–56.
     14. Fama, E. F., French, K. R., August 2008. Dissecting anomalies. Journal of
     Finance 63 (4), 1653–1678.
     15. Foster, G., Olsen, C., and Shevlin, T., 1984. Earnings releases, anomalies and the behavior of security returns. The Accounting Review, 574-603.
     16. Gibbons, M.R., Ross, S.A., and Shanken, J., 1989. A test of the efficiency of a
     given portfolio. Econometrica 57, 1121-1152.
     17. Griffin, John M., Xiuqing Ji and J. Spencer Martin, 2005. Global momentum
     strategies : A portfolio perspective, Journal of Portfolio Management 31(2),
     23-29.
     18. Hong, D., Lee, C., and Swaminathan, B., 2003. Earnings momentum in international markets. Unpublished working paper. Cornell University.
     19. Jegadeesh, N., and Titman, S., 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-91.
     20. Jegadeesh, N., and Titman, S., 2001. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56, 699-720.
     21. Latane, Henry A., and Charles P. Jones, 1979. Standardized unexpected earnings. Journal of Finance 34, 717-724.
     22. Lintner, John, 1965. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics. 47:1, 13–37.
     23. Merton, Robert C, 1973. Theory of Rational Option Pricing. Bell Journal of Economics and Management Science 4 (1), 141–183.
     24. Rouwenhorst, K.G., 1998. International momentum strategies. Journal of Finance 53, 267-284.
     25. Sloan, R. G., 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71 (3), 289–316.
     26. Sharpe, William F, 1964.“Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance. 19:3, 425–42.
     
     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。
描述 碩士
國立政治大學
金融研究所
100352018
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100352018
資料類型 thesis
dc.contributor.advisor 張興華<br>江彌修zh_TW
dc.contributor.author (Authors) 王穎亭zh_TW
dc.creator (作者) 王穎亭zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 22-Jul-2013 11:16:59 (UTC+8)-
dc.date.available 22-Jul-2013 11:16:59 (UTC+8)-
dc.date.issued (上傳時間) 22-Jul-2013 11:16:59 (UTC+8)-
dc.identifier (Other Identifiers) G0100352018en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58937-
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) 100352018zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 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。		zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents 摘要 I
     Abstract II
     目錄 III
     表目錄 IV
     圖目錄 IV
     第一章 緒論 1
     第一節 研究背景 1
     第二節 研究動機與目的 2
     第三節　研究架構 4
     第二章 文獻探討 5
     第一節 資產評價異常之研究-以台灣市場為例 5
     第二節 財務危機與信用評等 7
     第三節 盈餘動能相關文獻 8
     第三章 研究方法與資料分析 10
     第一節 台灣信用評等機構 10
     第二節 盈餘動能投資策略 13
     第三節 降評效果與迴歸分析 14
     第四節 資料來源與分析 16
     第四章 研究結果 18
     第一節 盈餘動能投資策略 18
     第二節 降評效果與分析 23
     第三節 迴歸結果與分析 27
     第五章 結論 30
     參考文獻 32
     一、英文部分 32
     二、中文部分 34		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100352018en_US
dc.subject (關鍵詞) 盈餘動能zh_TW
dc.subject (關鍵詞) 資產評價異常zh_TW
dc.subject (關鍵詞) 信用風險zh_TW
dc.title (題名) 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zh_TW
dc.title (題名) The relationship between Earnings momentum and Credit risk in Taiwan marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、英文部分
     1. Avramov, D., Chordia, T., Jostova, G., and Philipov, A., 2009. Credit ratings and the cross-section of stock returns. Journal of Financial Markets 12, 469–499.
     2. Avramov, D., Chordia, T., Jostova, G., and Philipov, A., 2012. Anomalies and financial distress. Journal of Financial Economics forthcoming.
     3. Ball, Ray and Philip Brown, 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6 (2), 159–178.
     4. Bernard, V.L., and Thomas, J.K., 1989. Post-earnings announcement drift: delayed price response or risk premium. Journal of Accounting Research 27, 1-35.
     5. Bernard, V.L., and Thomas, J.K., 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics, 13(4), 305- 340.
     6. Brennan, M.J., Chordia, T., and Subrahmanyam, A., 1998. Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics 49, 345-374.
     7. Chan, L.K.C., Jegadeesh, N., and Lakonishok, J., 1996. Momentum strategies. Journal of Finance 51, 1681-1713.
     8. Chordia, T., and Shivakumar, L., 2006. Earnings and price momentum. Journal of Financial Economics 80, 627-656.
     9. 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.
     10. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52(3), 1035-1058.
     11. Dichev, I. D., 1998, Is the risk of bankruptcy a systematic risk? Journal of Finance 53(3), 1131-1147.
     12. Fama, E. F., French, K. R., 1992. The cross-section of expected stock
     returns. Journal of Finance 47 (2), 427–465.
     13. Fama, E. F., French, K. R., 1993. Common risk factors in the returns on
     stocks and bonds. Journal of Financial Economics 33 (1), 3–56.
     14. Fama, E. F., French, K. R., August 2008. Dissecting anomalies. Journal of
     Finance 63 (4), 1653–1678.
     15. Foster, G., Olsen, C., and Shevlin, T., 1984. Earnings releases, anomalies and the behavior of security returns. The Accounting Review, 574-603.
     16. Gibbons, M.R., Ross, S.A., and Shanken, J., 1989. A test of the efficiency of a
     given portfolio. Econometrica 57, 1121-1152.
     17. Griffin, John M., Xiuqing Ji and J. Spencer Martin, 2005. Global momentum
     strategies : A portfolio perspective, Journal of Portfolio Management 31(2),
     23-29.
     18. Hong, D., Lee, C., and Swaminathan, B., 2003. Earnings momentum in international markets. Unpublished working paper. Cornell University.
     19. Jegadeesh, N., and Titman, S., 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-91.
     20. Jegadeesh, N., and Titman, S., 2001. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56, 699-720.
     21. Latane, Henry A., and Charles P. Jones, 1979. Standardized unexpected earnings. Journal of Finance 34, 717-724.
     22. Lintner, John, 1965. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics. 47:1, 13–37.
     23. Merton, Robert C, 1973. Theory of Rational Option Pricing. Bell Journal of Economics and Management Science 4 (1), 141–183.
     24. Rouwenhorst, K.G., 1998. International momentum strategies. Journal of Finance 53, 267-284.
     25. Sloan, R. G., 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71 (3), 289–316.
     26. Sharpe, William F, 1964.“Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance. 19:3, 425–42.
     
     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。
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