日內與隔夜報酬對資產定價的影響：臺灣實證

Lou et al. (2019) 表明，隔夜報酬與日內報酬具有延續性以及反轉模式，且將14 種資產定價異常所制訂投資策略的月報酬分解為隔夜及日內報酬時，發現兩者具有相反的跡象，並且這些異常僅完全存在於隔夜或日內期間。因此本研究為瞭解臺灣股市中是否存在與美國市場相同的報酬延續性以及反轉模式，參照Lou et al. (2019) 將報酬拆解為隔夜與日內部分，實證結果發現臺灣股市存在上個月隔夜報酬越小（大），下一個月的隔夜報酬也會越小（大），且日內報酬越大（小）；相反，若上個月日內報酬越小（大），下一個月的日內報酬也會越小（大），且隔夜報酬越大（小）的持續性與反轉的現象。接著，本研究亦探討若干資產定價異常的存在與否，發現臺灣股票市場僅存在公司規模與營利動能效應，且其溢酬均完全存在於隔夜或日內期間，而帳面市值比、動能、產業動能、獲利能力、資產增長率、Beta係數、獨特性波動、股票發行、裁決性應計以及週轉率則不可獲利，本研究推論其原由為隔夜與日內效果加總後導致。最後，本研究使用隔夜或日內報酬與投資策略的交互項來探討其對未來獲利性的影響，結果指出週轉率與隔夜報酬關聯程度較高。

關鍵字

隔夜報酬；日內報酬；資產定價異常

並列摘要

Lou et al. (2019) document strong overnight and intraday firm-level return continuation along with an offsetting, and show that the overnight and intraday returns of 14 asset-pricing anomalies have opposite signs, and that these anomalies exist only entirely overnight or entirely intraday. To understand whether there is the same persistence and reversal pattern in the Taiwan stock market as the US market, this study disassembles returns into overnight and intraday components. The empirical results point out that stocks with relatively high overnight/intraday returns over the last month have, on average, relatively high overnight/intraday returns as well as relatively low intraday/overnight returns in the subsequent month. In addition, our results will provide further understanding on the existence and absence of several asset-pricing anomalies. The results point out that the Taiwan stock market only has the effect of size and earnings momentum, and its premiums all exist in overnight or intraday periods. The effect of idiosyncratic volatility, equity issuance, discretionary accruals, and turnover are not profitable, and this study deduces that the reason for this is the sum of overnight and intraday effects. Finally, this study uses the interaction term of overnight or intraday return and investment strategy to explore its impact on future profitability. The results indicate that turnover is highly correlated with overnight returns.