市場上存在許多傳統資產模型無法解釋的異常現象，本論文將探討台灣證券
市場異常報酬投資策略之獲利與財務危機間的關聯性，重點放在價值型投資策略，
由買進高淨值市價比的公司股票，放空低淨值市價比的股票，建構出價值型投資
組合。此投資策略的主要獲利來源出自投資組合的多頭部位，即高淨值市價比的
公司。且信用風險作為財務危機的代理變數，在解釋異常報酬上扮演重要角色，
價值型投資策略的異常報酬在高信用風險公司是較大的，表示財務危機的影響是
有反映在股票報酬上的。而與美國市場的結果不同，信用評等降評對報酬的影響
在台灣證券市場並不顯著。

Anomalies exist in the markets that cannot be explained by traditional
asset-pricing models. This paper assesses implications of financial distress for the
profitability of anomaly-based trading strategies in Taiwan stock market. We focus on
the value-based strategy which conditions on the BM ratio. It involves buying highest
BM and selling lowest BM stocks. Financial distress, as proxied by rating downgrades,
is likely to be a primary ex ante indicator of a company’s future performance.
Anomaly returns of value-based strategy are bigger in high credit risk companies. But
unlike the evidence in U.S market, rating downgrades only have limited impact on
stock returns in Taiwan.

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