本篇論文主旨是在檢測市場動能的獲利能力與公司信用評級之間是否有關係存在。本研究蒐集了從2012年7月至2017年6月期間在台灣證券交易所和證券櫃檯買賣中心之上市公司的月報酬及公司評等資料，總樣本為1,643公司中的1,457家擁有評等之公司。本研究顯示了市場動能的獲利能力在低信用評等的的公司中有顯著的正報酬，但在高信用評等的公司中卻幾乎不存在。更進一步的研究指出，樣本期間所記錄到的市場動能收益皆來自低信用評級公司，而且這些低信用評級公司的市值甚至佔不到全體評級公司市值的24％。因此，依據本篇研究的證據顯示，低信用評級的公司可能是市場動能超額溢酬的主要來源。

This paper examines the relationship between momentum profitability and credit rating. Base on the sample firms listed on TWSE and TPEx, I find that Momentum profitability is significant among low-grade firms, but it is nonexistent among high-grade firms. The momentum payoffs documented in the paper are generated by low-credit rating firms that account for less than 24% of the overall market capitalization of rated firms. My evidence suggests that low-credit rating firms are likely to be the main sources among momentum profitability.

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