週轉率效應：台灣股市之證據

本研究針對台灣股市檢定股票報酬與週轉率之間的實證關係，使用2000年1月至2017年12月間，於臺灣證券交易所上市或中華民國證券櫃檯買賣中心上櫃之普通股股票為研究對象，依據每月之成交量(或成交值)週轉率來建構投資策略，探討各週轉率組合之投資績效，檢定是否存在週轉率效應，並試圖使用不同公司特性與風險因子解釋之；最後檢視週轉率效應對樣本特性或研究期間之敏感度。結果發現較低週轉率股票經風險調整後之平均報酬高於高週轉率股票。即使在控制樣本期間、交易所、產業、規模、淨值市價比、獲利與投資等因素之下，此「週轉率效應」仍然存在。不過，在多頭市場存在反向週轉率效應。

關鍵字

成交量週轉率；成交值週轉率；股票報酬；台灣股市

並列摘要

This study examines the empirical relationship between the stock return and the turnover rate for Taiwan listed companies from January 2000 to December 2017. According to the monthly volume (or value) turnover rate to construct investment strategies, explore the investment performance of each turnover rate portfolio. Then, this paper test whether there is a turnover rate effect, and try to explain using different company characteristics and risk factors. Finally, this study examines the sensitivity of the turnover rate effect to characteristics or periods of the sample. It is found that lower turnover stocks have had higher risk adjusted returns, on average, than higher turnover stocks. This ‘turnover rate effect’ has been in existence even after controlling for sample period, exchange, industry, size, book-to-price, profitability, and investment factors. However, there exists a reverse turnover rate effect during up markets.