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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/58727


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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: 2013-07-01 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.
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    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
    顯示於類別:[金融學系] 學位論文

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