近年來國內投資的風潮愈來愈盛行，許多投資者也將資金投入股票市場、期貨市場或其他衍生性金融商品。然而，一般投資者可能並無太多的資訊來判斷一檔股票的優劣，進而使有些散戶投資者血本無歸。所以本研究主要目的是讓一般投資者在進行投資前有個可以判斷的公開資訊，使一般投資者可以考慮是否該把資金投入該股票。本研究探討台灣上市公司信用評等、財務變數及公司治理變數對投資績效之間的關聯性。而研究結果發現當企業信用評等愈差時股票報酬率愈高，反之若企業信用評等愈好則投資者的股票報酬率反而愈低。此外，負債比率、稅後淨利率與公司市值與其他財務指標對股票報酬率也都具有顯著的影響性。由上述結果顯示，投資者可以透過信用評等指標及其他財務報表的資訊來判斷是否願意進場投資。

In recent years, more and more financial instruments are introduced into the capital markets. Thus, many market participants invest their capital into stocks, bonds, and derivatives. However, individual investors, in general, are lack of information for stocks and this results in losing money in their investments. Thus, the purpose of this study is to explore more valuable information in term of the information released in public as the reference for investing stocks listed in Taiwan stock exchange. In this study, we explore the relationship among credit rating, corporate governance, and financial statement variables. The results reveal that the firms with lower credit rating have higher rate of returns; and those in the firms with higher credit rating, on the contrary, have higher rate of returns. In addition, we also reveal that the debt ratio, net profit rating, and firm values have significant impacts on stock returns. As a result, market participants mayinvest stocks by taking the credit rating and other financial indicators into account.

目錄   I 
表目錄 II
圖目錄 III 
第一章、緒論	1
第一節、研究背景與動機	1
第二節、研究目的	2
第三節、研究流程	3
第四節、研究架構	4
第二章、文獻探討	5
第一節、信用評等	5
第二節、投資績效	6
第三節、信用評等與投資策略	8
第三章、研究假說與方法	10
第一節、研究資料與研究變數	10
第二節、研究假說	15
第三節、研究方法與模型	16
第四章、實證結果與分析	22
第一節、敘述統計量	22
第二節、實證結果分析(一)	23
第三節、實證結果分析(二)	27
第五章、結論與建議	31
第一節、研究結論	31
第二節、研究意涵	32
第三節、研究限制與建議	33
參考文獻	34
表目錄
表4-1 敘述統計量	22
表4-2 多元迴歸模型之實證結果(一)	23
表4-3多元迴歸模型之實證結果(二)	24
表4-4多元迴歸模型之實證結果(三)	25
表4-5虛擬變數之多元迴歸模型之實證結果	26
表4-6分量迴歸模型第t期之實證結果	28
表4-7分量迴歸模型第t-1期之實證結果	29
圖目錄
圖1-1研究流程圖	3

參考文獻
1.Ashbaugh-Skaife, H., Collins, D. W.&LaFond, R. (2006). The effects of   corporate governance on firms’ credit ratings. Journal of Accounting and Economics, 42(1), 203-243.
2.Avramov, D., Chordia, T., Jostova, G.&Philipov, A. (2007).Momentum and credit rating. Journal of Finance, 62(5), 2503-2520.
3.Avramov, D., Chordia, T., Jostova, G.&Philipov, A. (2009).Credit ratings and the cross-section of stock returns. Journal of Financial Markets, 12(3), 469-499.
4.Avramov, D., Chordia, T., Jostova, G.&Philipov, A. (2009).Dispersion in analysts’ earnings forecasts and credit rating. Journal of Financial Economics,91(1), 83-101.
5.Barber, B. M., &Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors.  Journal of Finance, 55(2), 773-806.
6.Barber, B. M., Lehavy, R., &Trueman, B. (2007). Comparing the stock recommendation performance of investment banks and independent research firms. Journal of Financial Economics, 85(2), 490-517
7.Bizjak, J. M., Brickley, J. A., & Coles, J. L. (1993).Stock-based incentive compensation and investment behavior. Journal of Accounting and Economics,16(1), 349-372.
8.Brammer, S., Brooks, C.&Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35(3), 97-116.
9.Cantor, R., Gwilym, O. A., & Thomas, S. H. (2007).The use of credit ratings in investment management in the US and Europe.  Journal of Fixed Income,17(2), 13-26.
10.Chen, S. S., Chen, H. Y., Chang, C. C., & Yang, S. L. (2013). How do sovereign credit rating changes affect private investment? Journal of Banking & Finance, 37(12), 4820-4833.
11.Choy, E., Gray, S.&Ragunathan, V. (2006). Effect of credit rating changes on Australian stock returns. Accounting & Finance, 46(5), 755-769.
12.Cornell, B., & Green, K. (1991). The Investment Performance of Low‐grade Bond Funds.  Journal of Finance, 46(1), 29-48.
13.Cruces, J. J. (2006). Statistical properties of country credit ratings. Emerging Markets Review, 7(1), 27-51.
14.Czarnitzki, D., & Kraft, K. (2007). Are credit ratings valuable information?.Applied Financial Economics, 17(13), 1061-1070.
15.De Haan, L., &Kakes, J. (2011). Momentum or contrarian investment strategies: evidence from Dutch institutional investors. Journal of Banking & Finance, 35(9), 2245-2251.
16.Gatev, E., & Ross, S. A. (2009).Momentum Trading and Performance with Wrong Return Expectations.  Journal of Portfolio Management, 35(3), 73-78.
17.Grinblatt, M., &Keloharju, M. (2000). The investment behavior and performance of various investor types: a study of Finland's unique data set. Journal of Financial Economics, 55(1), 43-67.
18.Grunert, J., Norden, L., & Weber, M. (2005).The role of non-financial factors in internal credit ratings. Journal of Banking & Finance, 29(2), 509-531.
19.Habib, A. (2010). Portfolio Performance Evaluation: Investment Corporation of Bangladesh. Journal of Economics and Sustainable Development, 1(1), 1-11.
20.Heflin, F., Shaw, K. W., & Wild, J. J. (2011).Credit ratings and disclosure channels. Research in Accounting Regulation, 23(1), 20-33.
21.Huij, J., &Derwall, J. (2011).Global equity fund performance, portfolio concentration, and the fundamental law of active management.Journal of Banking & Finance, 35(1), 155-165.
22.Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica:Jjournal of the Econometric Society, vol.33-50.
23.Mun, J. C., Vasconcellos, G. M., & Kish, R. (1999).Tests of the contrarian investment strategy evidence from the French and German stock markets.International Review of Financial Analysis, 8(3), 215-234.
24.Shen, Q., Szakmary, A. C., & Sharma, S. C. (2005). Momentum and contrarian strategies in international stock markets: Further evidence. Journal of Multinational Financial Management, 15(3), 235-255.
25.Tang, T. T. (2009). Information asymmetry and firms’ credit market access: Evidence from Moody's credit rating format refinement. Journal of Financial Economics, 93(2), 325-351.