臺灣股票市場之低價股效應探討

本研究針對台灣股票市場檢定股票報酬與低價股之間之實證關係，使用2001年1月至2020年12月間，於臺灣證券交易所上市與中華民國證券櫃買中心上櫃之普通股股票為研究對象，依每月底最後一個交易日之收盤價來建構投資策略，檢定各股價組合之投資績效，是否存在低價股效應，並以風險因子嘗試解釋之，最後進一步比較分析不同子樣本或不同子期間之低價股效應。結果顯示臺灣股票市場存在顯著低價股效應，即較低股價股票之平均績效顯著高於較高股價股票，但於三因子模式中雖股價與平均報酬呈現反向關係，但不具顯著低價股效應。此外發現低價股效應存在季節效應及春節效應，且受產業別和週轉率所影響。

關鍵字

低價股；股票報酬；臺灣股市

並列摘要

The study examines the empirical relationship between the stock return and the low price stock for Taiwan listed companies from January 2001 to December 2020. According to the closing price of the last trading day at the end of each month to construct investment strategies, exploring the investment performance of each stock price’s portfolio. Then, this paper te st whether there is a low price effect, and tries to explain using different rick factors. Finally, th is study examines the low price effect to subsample or periods of the sample. The results show that there is a significant low price effect in the Taiwan stock market. It means the average performance of lower priced stocks is significantly higher than that of higher priced stocks However, in the three factor model, although the stock and average return show a reverse relationship , it does n ot have a significant low price effect. In addit ion, it is found that low price effect has a seasonal effect and Chinese new year effect, and is affected by industry types and turnover rates.

並列關鍵字

Low-Price Stock ； Stock Return ； Taiwan Stock Market

參考文獻

英文文獻

Google Scholar

1. Black, F., Jensen M. C., and Scholes M, (1972), “The capital asset pricing model: Some empirical test,” in: M. C. Jensen. ed., Studies in the theory of capital market, New York, NY: Praeger.