利差交易(Carry Trade)是在各種貨幣的利率水平上進行套利的交易以獲得價差收益的交易型態。而利差交易在這幾年創造出諸多研究的方向；利差交易又稱為套息交易，即借入低利率的貨幣，以購買其它高收益的投資工具，如高利率貨幣、股票、或是實物資產等，進而從中賺取其間的利率及匯率差價。諸如債券或國庫券等現貨金融工具所帶來的收益與該項投資的融資成本間的差額。 利差交易多在市場處於穩定低風險狀況下時，才能夠得到穩定的報酬率，因此如何客觀準確的評量目前市場所處的風險狀態，以獲得相對平穩又較佳的收益是主要的研究方向。本研究以如何求得利差交易裡面各項最佳且保持穩定性的參數與指標，假設利差交易可以經由衡量某些風險指標的平均值，並當風險指標低時建立利差交易部位，反之，當風險指標高時結束利差交易，甚至更積極進行反向利差交易，以求達到穩定報酬率的目標。 / Title of Thesis: Empirical Performance of Carry Trade Trading Strategy School/Graduate School: National Chengchi University Executive Master Of Business Administration, Advanced Finance Class – Risk Management and Insurance Group Graduate Student : Lee, Nai-Chun Instructor: Dr. Kang, Jung Pao Thesis Content: Carry trade bases on interest rate differences of many currency pairs to make capital gains and interest income and it creates many research topics in recent years. Carry trade borrows low yield currencies and invests other high yield targets such as high yield currencies, stocks, or real assets to get interest incomes and capital gains from foreign exchange rates. Only when a foreign exchange market is under stable and low-risk conditions, carry trade can achieve stable return rates. Therefore, how to objectively evaluate current market risk situations to get relatively stable and more returns is the main research topic of this thesis. This thesis reports how to get optimal and consistently stable parameters and indicators of carry trade. It assumes that carry trade can build positions by measuring some mean values of risk indicators when risk indicators are low. On the contrary, it ends the trade when risk indicators are high and even actively short carry trade positions to achieve stable return rates. Key words: carry trade、capital gain、exchange rate、risk indicator

本研究旨在探討企業盈餘管理行為對其信用評等之影響，以Ordered Probit Model，探討台灣上市櫃(包含興櫃)企業之盈餘管理行為，對台灣經濟新報社(TEJ)的台灣企業信用風險指標(Taiwan Corporate Credit Risk Index, 簡稱TCRI)是否造成影響，並進一步觀察其影響為何。 本研究發現，企業之盈餘管理行會影響其信用評等，而且透過進一步之邊際影響分析，顯示企業盈餘管理對當期盈餘之影響，與信用評等之間存在著反向的關係，意味著，信用評等人員在使用財務報表，進行信用評等程序時，統計上會因為企業之盈餘管理行為而有處理上之差異；本研究另外發現就平均而言，盈餘增加(減少)之裁量性應計數影響TCRI下降機率的增加(減少)幅度，大於TCRI不變以及TCRI上升之機率變動幅度。 / This study investigates the influence of earnings management on credit rating. Using Ordered Probit Model, this study tests whether earnings management of listed companies (emerging stock included) effects Taiwan Corporate Credit Risk Index (TCRI). This study finds that earnings management does affect credit rating. In addition, it suggests that earnings with income-increasing discretionary accruals have more opportunity for getting downgradings than earnings with income-decreasing discretionary accruals through analysis of marginal effects. That is, the credit analysts treat earnings management in a different way when rating companies. Moreover, this study also finds that the marginal effects of income-increasing discretionary accruals of increasing opportunity for getting downgradings are larger than the marginal effects of opportunity for getting unchanged and upgradings. Similarly, the marginal effects of income-decreasing discretionary accruals of decreasing opportunity for getting downgradings are larger than the marginal effects of opportunity for getting unchanged and upgradings.