實證檢視臺灣股票報酬的長期反轉效果

本文旨在探討台灣股票報酬的長期反轉效果(long-term reversal effect)，長期反轉效果係指在長期範圍內，過去表現優異的股票隨後往往會表現不佳;而過去表現不佳的股票接續的表現會較為優異，這種現象與短期的動能效應(momentum effect)剛好相反，本文在 Carhart (1997)提出的四因子模型架構上，進一步檢視各產業類股長期反轉因子的參數估計。樣本期間涵括 2007 年 7 月至 2023 年 9 月，共 195 筆月資料，資料來源為臺灣經濟新報資料庫之各產業類股的指數報酬。實證結果發現，水泥工業類、食品工業類、紡織纖維類、化學工業類及建材營造類的股票報酬皆具有長期反轉效果，即相對於過去表現較差的股票，在未來較長的一段時間內表現會優於過去表現較好的股票。值得注意的是，廣受投資人青睞的電子相關產業(電腦及週邊設備業、光電業、零組件、其他電子業)及航運業類則不具有長期反轉效果，顯示電子產業類股在資通訊科技發展主流的趨勢下，長期間的股票報酬表現趨於穩定水平。據此可知，類股型態與景氣循環較為相關普遍存在顯著性的長期反轉效果，投資人當可運用其反轉的特性作為投資買賣的參考依據。

關鍵字

股票報酬；長期反轉；行為財務；四因子模型

並列摘要

This study investigates the long-term reversal effect in the Taiwan stock market. The long-term reversal effect refers to the phenomenon where, over a long-term period, stocks that have performed well in the past tend to perform poorly, while stocks that have performed poorly tend to perform well. This phenomenon is the opposite of the short- term momentum effect. This paper further examines the parameter estimation of the long- term reversal factor for various industry sectors within the framework of the four-factor model proposed by Carhart (1997). The sample period covers from July 2007 to September 2023, comprising a total of 195 monthly data points. The data source is the index returns of various industry sectors from the Taiwan Economic Journal (TEJ) database. The results discover that the cement, food, textile and fiber, chemical, and construction materials industries exhibit a long-term reversal effect, where stocks that performed poorly in the past tend to outperform those that performed well over a longer period. Notably, the electronics-related industries (computer and peripheral equipment, optoelectronics, components and other electronics) and the shipping industry, do not exhibit the long-term reversal effect. These findings suggest that stocks with reversal effects are more influenced by the business cycle, providing investors with a reference for investment decision.