異質性風險與股票報酬率：臺灣上市公司之實證分析

Idiosyncratic Risk and Stock Returns: Empirical Analysis of Taiwan Stock Market

張俊評(Chang, Chun-Ping) ； 蔡永順(Tsai, Yung-Shun) ； 臧仕維(Tzang, Shyh-Weir) ； 徐秀芬(Hsiu, Show-Fen)

《藝見學刊》 19期 (2020/04) Pp. 101-119

https://doi.org/10.6207/ART-VISION.202004_(19).101-119

摘要

本論文主要參考Blitz, Huij, Lansdorp and Verbeek（2013）研究模型，探討臺灣股票市場以反轉策操作可否獲得超額報酬，而研究標的則為股票報酬率之殘差；本論文的研究期從1992年1月至2013年12月，利用Fama and French（1993）三因子模型，加上Charhart（1997）四因子模型進行實證分組，證明殘差股票報酬具有預測功效；實證結果顯示，以殘差反轉策略進行殘差分組時，投資績效遠超過傳統反轉策略，殘差反轉策略的累積報酬，是傳統反轉策略的兩倍，也遠超過大盤指數。另外本研究也發現，以殘差值分組的最小值所組成投資組合，其投資報酬率，高過其他殘差分組之投資組合；在衡量風險系數之後，殘差值分組反轉策略投資組合和殘差值最小值的投資組合，一樣可以得到超額報酬，操作效能確實高出傳統反轉策略很多，值得投資人採用的投資策略。

關鍵字

殘差 ； 反轉策略 ； 三因子模型

並列摘要

The previous studies on momentum and reversal strategy mostly adopt rate of return on stocks to construct portfolios. By following the residual strategy proposed by Blitz, Huij, Lansdorp and Verbeek (2013), this paper tries to explore whether their strategy works in emerging market like Taiwan. Target of studies is residual strategy of return on stocks; Study period of this paper is from January 1992 to December 2013. By following model of Blitz, Huij, Lansdorp and Verbeek (2013), Fama-French three-factor model (1993), and Charhart four-factor model (1997), we show that residual stock returns have predictive power for future returns. Empirical results show that the performance of residual reversal strategy is four times as large as that of traditional reversal strategy, a result consistent with Blitz et. al. (2013). However, the residual reversal portfolio is found to underperform the smallest residual quintile portfolio, of which the return is twice as large as that of the residual reversal portfolio.

並列關鍵字

residual ； reversal strategy ； three-factor model