信用評等(credit rating)對公司之債務償還能力進行評估，提供給投資人判斷公司之財務結構是否健全的指標。近年來，大眾日趨了解信用風險的重要性，投資者也愈來愈關心風險大小是否會影響到投資報酬率，故本文主要探討信用評等與股票動能之關係。本文利用Jegadeesh and Titman(1993)之方式建構出動能投資策略，研究期間以2007年1月至2018年12月台灣股票市場普通股之股票為研究樣本，檢驗台灣股票市場信用評等與動能投資策略之關係。研究結果顯示在台灣並不具有顯著的動能效應，反之，股價存在過度反應的特性，以信評組成之動能策略部分，結果顯示違約風險機率並無顯著影響各持有期下之動能策略報酬率，並且信評差組成之動能策略報酬率有高於信評佳之現象。

A credit rating is an assessment of a company's ability to service its debt, giving the public an insight into the financial soundness of such a company or institution. In recent years, the public is increasingly aware of the importance of credit risk, and investors are increasingly concerned about whether the size of risk will affect the return on investment. Therefore, this paper mainly discusses the relationship between credit rating and stock momentum. In this paper, Jegadeesh and Titman(1993) are used to construct momentum investment strategies. During the research period, the relationship between Taiwan stock market credit rating and momentum investment strategies is tested by taking the common stocks listed on Taiwan Stock Exchange from January 2007 to December 2018 as research samples. Results show that there is no momentum effect in Taiwan, on the other hand, the stock price has the characteristic of overreaction, with the momentum strategy built in rating, the results showed that the risk of default probability had no significant effect of momentum strategy under each holding period, and the moment strategy with poor rating seems to have higher return than the moment strategy with good rating.

摘要 ii
第一章 緒論 7
第一節 研究背景 7
第二節 研究動機與目的 4
第三節 研究架構 5
第二章 文獻回顧 6
第一節 動能投資策略 6
第二節 信用評等 8
第三節 解釋變數 10
第三章 研究方法 12
第一節 投資組合建構 12
第二節 樣本資料來源 15
第三節 解釋變數 16
第四章 實證結果與分析 18
第一節 無違約風險分類之動能效益分析 18
第二節 違約風險分類下之動能效益分析 22
第三節 迴歸分析 27
第五章 結論與建議 30
參考文獻 32

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