This paper attempts to find the relationship between momentum and firm¡¦s credit rating. According to Avramov¡¦s (2007) finding, there is a strong link between momentum and firm credit rating in US. In this paper, the similar phenomenon is proven existing in Taiwan stock market. Momentum profitability is large among low-grade firms, but it is insignificant among high-grade firms. The source of momentum profits is from operating performance, financial performance, volatility and illiquidity. For loser (winner) stocks in the low rating category, profit margins, sales growth, operating cash flows, and interest coverage decrease (increase) over the formation and holding periods, while illiquidity and volatility increase (decrease). As the market observes the deteriorating (improving) conditions, there is a pressure to sell (buy) losers (winners), which enhances gains among high risk winners and losses among high risk losers.

本研究採用總資產成長率作為交易策略，而其較資本支出更能完整呈現公司經營活動的特性，近來更受到學者的重視。此外，我們更引進信用風險的概念，利用台灣經濟新報資料庫(TEJ)所發布的TCRI，作為我們分類樣本的依據，在不同信評指標與資產規模分類下，對單一群組，買進總資產成長率較低的投資組合，並同時賣出總資產成長率較高的投資組合。 本研究實證後發現，從2000年到2009年不同信用風險與資產規模的分類群組，可藉由此交易策略得到顯著的異常報酬。主要的原因可推論為「過度投資」與「投資不足」的情形，而特定信用風險的分類，對於公司取得資金的難易也會有所影響，當資金取得容易且管理階層存在代理問題時，異常報酬就會顯著，譬如說低度風險中型公司，其容易取得資金進行過度投資，與公司未來的股價報酬呈現負向關係；又譬如說低度風險大型公司，資產規模龐大，可以視為各產業前幾大公司，雖然資金取得容易，但完善的內控制度使該分類下的交易策略，無法得到顯著的異常報酬。我們可以推論利用資產規模與信用風險進行分類，在某些特定群組下，總資產成長率的交易策略可以得到顯著的異常報酬。 / The research use credit rating index and asset size to classify our sample and set up variety of investment portfolios. In each portfolio, we use asset growth rate to be our investment strategy. Asset growth rate could be known as a good indicator to measure the company growth in the future. By means of forming hedged portfolio, we want to exam the anomalies in credit rating category combined with asset size. We find statistical significance exist in different investment portfolios.

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.