國家主權信用評等與國際動能策略

SOVEREIGN RATINGS AND INTERNATIONAL MOMENTUM STRATEGIES

本文旨在探討國際動能交易策略與國家主權評等之關連性。以往研究多數指出價格動能獲利性，可能係源自於景氣循環所致。而國家主權評等係反應評等機構，對於國家主權政府是否能充分且即時履行其流通在外的金融債務之意願與能力的看法，該評等資訊與以往文獻所慣用的景氣循環變數最大的區別，係在於它衡量國家風險的方法更具完整性與多元化。本文採用國際國家風險指南(ICRG)所發布的綜合風險評等分數為國家信用風險衡量依據，長期以來，該機構為所有評等機構中唯一能每月定期提供多數國家信用風險詳細資訊者。透過1998年1月份至2008年5月份間，21個已開發與18個新興市場國家的股票報酬資料進行分析，實證結果顯示，動能利潤與國家風險水準具有顯著的負向關係，當綜合風險評等分數愈低（風險愈高）時，動能投資組合利潤會隨之降低。特別的是，該現象在新興市場國家和亞洲地區國家將更為明顯。

This paper examines the profitability of momentum strategies based on sovereign ratings in several international equity markets. Recent several papers have indicated that business cycle is proposed as a possible explanation of price momentum. 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. An important difference between sovereign credit ratings and business cycle variables is that the former in the description international capital market risk conditions is more complete also multi-dimensional. We use a composite risk rating compiled by the International Country Risk Guide (ICRG), which is the only international rating agency to provide detailed and consistent monthly data over an extended period for a large number of countries. Furthermore, using stock return data from 21 developed and 18 emerging markets over the January 1998 to May 2005 period, we find that momentum profits are negatively correlated with the country-risk measures and generally fall in response to a lower composite risk ratings score. Specially, this evidence is more pronounced in emerging markets and Asian countries.