- 學位論文
贏家詛咒在台灣股票市場的驗證
Study of the Winner’s Curse for Taiwan Stock Markets.
摘要
本研究以買進持有報酬率(BHR)和三因子模型估計累積異常報酬率(CAR)此兩種選股方法，以形成輸家和贏家投資組合，分別一年期、兩年期、三年期與四年期的持有期，以驗證1989年至2018年台灣股票市場是否存在贏家詛咒之現象。 研究結果發現，買進持有報酬率在全體樣本、上市與上櫃之輸家與贏家投資組合中一年期至四年期皆有過度反應。反向投資策略在全體樣本、上市與上櫃是有正的報酬，且在三年期時有過度反應。探討輸家與贏家投資組合報酬率之差異性發現，交易面、收益力與現金流量是有顯著的項目。 因前述討論買進持有報酬率方法下，輸家與贏家投資組合報酬率之差異性在特定因素是具有顯著。因此本研究再加入三因子模型估計累積異常報酬來驗證。全體樣本、上市與上櫃在輸家投資組合中上櫃持有三年期報酬率沒有產生反轉，其餘樣本與期間是有過度反應；贏家投資組合在全體樣本與上櫃一年期至四年期有過度反應，上市要三年期才有過度反應。反向投資策略在全體樣本和上市三年期是有呈現過度反應，上櫃則需要超過四年期以上才可能會有過度反應。探討輸家與贏家投資組合報酬率之差異性發現，交易面和收益力是有顯著的項目。 台灣股票市場是有過度反應，投資人有高估股票價格或期望過高，所以導致台灣股票市場有贏家詛咒之現象。買進持有報酬率在反向投資策略的結果是高於累積異常報酬率，且三年期的報酬率為最高。
並列摘要
This study is designed to verify whether a winner’s curse existed in Taiwan’s stock market from 1989 to 2018 by examining losers’ and winners’ investment portfolios formed on a basis of two stocks screening methods: buy-and-hold return (BHR) and cumulative abnormal return (CAR) estimated by the three-factor model. Investment holding periods of one year, two years, three years and four years were respectively introduced for analyses. The findings revealed that BHRs showed results of overreaction for all the samples in one-year to four-year holding periods. Positive returns were found by referring to all the samples when contrary investment strategies applied. In addition, overreaction was observed with three-year holding period. Next, the difference analyses between losers’ and winners’ returns of portfolios evidenced the significant effects of transactions, profitability and cash flow. We find that the differences between losers’ and winners’ investment portfolios were significant by factor testing. Therefore, the CARs estimated by the three-factor model were introduced for further analyses and verifications. The results show that no reversals were found in losers’ portfolios with three-year holding period and overreaction was found in winners’ portfolios holding from one year to four years for all the samples. We also find that overreaction was also observed only with winners’ listed stocks held for three years. Overreaction was found in all the samples and listed stocks of three-year holding period when contrary investment strategies applied while no overreaction was observed from OTC stocks unless they were held for more than four years. The discussions over the differences between losers’ and winners’ portfolio returns verified that transactions and profitability presented significant effects. Overreactions were found in Taiwan’s stock market. The investors either overestimated stock prices or had higher expectations, which led to a winner’s curse in Taiwan’s stock market. The results of buy-and-hold returns applying contrary investment strategies were better than those of CARs, with the highest return observed with three-year holding period.