台灣信用風險與權益報酬之研究

Abstract

本研究利用台灣經濟新報之TCRI資料庫，控制規模和股價淨值比效益影響，探討信用風險對未來股票報酬解釋力，並加入信用風險建構出反向投資策略，期能對投資人提供一個有效的投資策略。 對於找出信用風險和權益報酬關係部份，除TCRI外，本研究也採用未加入人為判斷之信用評等綜合總分，進行再次測試；測試方式係採用分組t檢定；為避免存活偏誤(Survivorship Bias)，加入下市公司進行敏感性分析。在投資策略方面，本研究針對年報公告日之後續股市報酬率，測試組別間報酬率差異，暨以迴歸分析來評估反向投資策略是否能獲得高於大盤之報酬率；也針對公司一月底自結損益公布日之後續股市報酬率，採用迴歸分析，測試反向投資策略運用於一到四月各月報酬率和半年報酬率是否可以超逾大盤。 經由民國88年至93年之年資料實証研究後，發現： 一、較受投資人關注的成長股和大型股，信用風險和股市報酬為反向趨勢。僅有中股價淨值比中型股、低股價淨值比中型股和小型股，股票報酬和信用風險才會有正向顯著關係。 二、投資人可在自結損益和年報公布日時點，建立涵括規模、股價淨值比和信用風險等各類型反向投資策略，獲取高於大盤之報酬。若在一月底自結損益公告即形成投資策略，則預期可以較四月底才形成之反向投資設計，獲得較高之報酬率。

The purpose of this study is to examine the relationship between credit risk and the subsequent stock returns. I use TEJ's TCRI as a proxy variable to the credit risk. In the security returns tests, the effects on market value and market-to-book ratio were controlled. Finally, a contrarian strategy was built by adding credit risk variable. The t-test was applied to examine the relationship between stock return and its credit risk. Furthermore comprehensive scores without artificial adjustments were added to replace TCRI for the t-tests. In analyzing investment tactics, the t-test was applied on financial statement announcement date, and applied regression self-assessed income. The results show: 1.In contrast with the popularity of growth and large-cap stocks among individual securities, medium stocks with medium market-to-book ratio, small stocks with lower market-to book-ratio, and medium stocks with lower market-to-book ratios have higher returns. 2.The contrarian strategy is suitable for the stock market in Taiwan. We also find significantly greater returns associated with applying the contrarian strategy in January than that in April.