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題名：投資與非投資級公司債之價格動能與風險調整
作者：王筱娟
作者(外文)：Hsiao-Chuan Wang
校院名稱：國立臺灣大學
系所名稱：財務金融學研究所
指導教授：何淮中
學位類別：博士
出版日期：2017
主題關鍵詞：公司債；動能；過度反應；分位數風險；Corporate bond；Momentum；Overreaction；Quantile risk
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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。
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.
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