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    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/9675

    Title: 國家主權評等與國際動能策略
    Authors: 陳獻儀
    Contributors: 管理學院
    Date: 2008
    Issue Date: 2010-05-14 16:12:48 (UTC+8)
    Abstract: 本研究計劃旨在探討國際動能交易策略與國家主權評等之關連性。本文之主要推論是價格動能獲利性可能係源自於景氣循環所致,此一假說近期為許多文獻所肯定,例如
    Chordia and Shivakumar (2002)、Antoniou, Lam, and Paudyal (2007)皆指出景氣循環可能是促成價格動能的因素。此外,本研究的另一推論是景氣循環係與一國的信用風險程度相關,有關信用評等與動能策略獲利性的連結,最早是由Avramov, Chordia, Jostov,and Philipov (2007, JF)所提出的,根據四位學者的論點,因為信用風險會隨著景氣循環而改變,所以理應檢測與釐清動能策略利潤與信用風險的關連性。國家主權評等係信用評等機構對於國家主權的債信能力及信用風險之評估, 其納入考量的要素為:國家經濟狀態、資本市場的透明度、公私部門的投資水準、海外直接投資、外匯準備和國家經濟因應政治局面變動之穩定度等等。該項評等資訊與以往文獻所使用景氣循環代理變數最大的區別,是在於它衡量國家信用風險的方法更具完整性與多元化。依作者所知,目前尚無相關的學術研究,將國家主權評等應用於國際股市報酬的預測之上。

    This project examines the profitability of momentum strategies based on
    sovereign ratings in several international equity markets. My primary conjecture is
    that price momentum and business cycle are related. This hypothesis derives from
    recent several papers (e.g. Chordia and Shivakumar (2002);Antoniou, Lam, and
    Paudyal (2007) ) in which business cycle is proposed as a possible explanation of
    price momentum. A secondary conjecture of my study is that business cycle is
    related to the credit risk of a country. The link between credit rating and momentum
    profits is first explored by Avramov, Chordia, Jostov, and Philipov (2007, JF).
    According their argument, since credit risk varies over the business cycle, it is natural
    to ask whether the momentum payoffs are related to the credit risk of firm. A
    sovereign credit rating reflects the rating agency’s opinion on the ability and
    willingness of sovereign governments to service their outstanding financial
    obligations in full and on time. These sovereign ratings reflect factors such as a
    country’s economic status, transparency in the capital markets, levels of public and
    private investment flows, foreign direct investment, foreign currency reserves and
    the ability of a country’s economy to remain stable despite political change. An
    important difference between sovereign credit ratings and business cycle variables is
    that the former in the description international capital market risk conditions is the
    integrity also multi-dimensional. To my knowledge, no study has examined the
    usefulness of sovereign ratings for returns prediction in an international setting.
    Appears in Collections:[財務金融學系] 科技部研究計畫

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