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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 何淮中 | |
| dc.contributor.author | Hsiao-Chuan Wang | en |
| dc.contributor.author | 王筱娟 | zh_TW |
| dc.date.accessioned | 2021-06-17T01:59:41Z | - |
| dc.date.available | 2022-07-27 | |
| dc.date.copyright | 2017-07-27 | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017-07-20 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/67944 | - |
| dc.description.abstract | 本論文主要是針對動能循環中，因為價格的過度反應而產生的反轉，提出一個偵測指標，並改進傳統動能策略。主要動機來自於文獻中藉由傳統動能策略無法在信用評等為投資等級的公司債獲取超額報酬的結果，此一結果有別於大部分資產類別所顯示出的價格動能現象。本研究以1994年1月到2014年6月的美國公司債券價格資料，實際驗證了此一結合傳統動能與反轉偵測指標的修正策略。同時也以公開或非公開發行以及投資人情緒指標等子樣本驗證了價格動能效果不只存在於低信用評等公司債，同時也存在於高信用評等公司債。本文的結果提供了一重要結論，即對於各資產類別，價格動能的存在具有一致性。 | zh_TW |
| dc.description.abstract | This dissertation proposes an overreaction detection method to capture the price reversals in the momentum cycle. Motivated by the absence of the momentum effect in invest-ment-grade (IG) bonds, which is uncommon for most financial assets, we verify the method by showing significant improvements in the refined momentum portfolios of U.S. IG bonds from January 1994 to June 2014. The subsample of private or public firms and the relation to investor sentiment also indicate price momentum for not only non-investment-grade (NIG) bonds, but also IG bonds. Our results carry important con-sistency implications for the price continuations across financial assets and markets. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T01:59:41Z (GMT). No. of bitstreams: 1 ntu-106-D00723003-1.pdf: 1252265 bytes, checksum: b991307c7b954544c5d781e98d7c5fa1 (MD5) Previous issue date: 2017 | en |
| dc.description.tableofcontents | 摘要 I
Abstract I List of Figures IV List of Tables V Chapter 1 1 Introduction 1 Chapter 2 5 Related Literature 5 2.1. Behavioral Models for Momentum Effect 5 2.2. Trading Volume and Momentum Life Cycle 7 2.3. Momentum and Credit Risk 9 Chapter 3 13 Quantile Risk Index 13 3.1. Index Construction 13 3.2. Derivations of the QR index in view of risk management 20 Chapter 4 22 QR Effect on Corporate Bond Price Momentum 22 4.1. Data on Corporate Bonds 23 4.2. Preliminary Data Analysis 26 4.3. Portfolio Formation for QR–momentum Strategy 34 4.4. QR–Momentum Strategy 35 4.5. Further Analyses for QR Effect on Corporate Bonds 41 4.5.1. Comparison between QR Effect and Momentum Effect 41 4.5.2. QR Effect under Investment Sentiment 43 Chapter 5 50 Robustness Checks 50 5.1. Stability of QR–Momentum Strategies 51 5.2. QR–Momentum Strategies under Different Parametric Settings 53 5.3. QR Effect and Short-term Reversal Effect 55 5.4. QR–momentum Strategies for Equities 57 5.5. Spillover Effect of Equity Quantile Risk 61 5.6. The Role of QR Effect in Momentum Life Cycle 65 Chapter 6 69 Conclusion 69 References 70 | |
| dc.language.iso | en | |
| dc.title | 投資與非投資級公司債之價格動能與風險調整 | zh_TW |
| dc.title | Momentum of Rated Corporate Bonds with Quantile Risk Adjustment | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-2 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 張森林,王之彥,李世欽,蔡維哲 | |
| dc.subject.keyword | 公司債,動能,過度反應,分位數風險, | zh_TW |
| dc.subject.keyword | Corporate bond,Momentum,Overreaction,Quantile risk, | en |
| dc.relation.page | 74 | |
| dc.identifier.doi | 10.6342/NTU201701746 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2017-07-20 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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