低波動策略與近因偏誤：台灣股票市場的實證

本文以1982年7月至2018年12月的台股普通股作為研究樣本，探討買入低波動並賣出高波動組合的低波動策略投資組合，在台灣股票市場受近因偏誤影響之分析。首先，我們發現低波動策略在台灣市場並不具獲利性，在考慮近因偏誤下，我們分別建構高近因偏誤與低近因偏誤的低波動策略，並發現高近因偏誤之低波動策略具有顯著獲利性，同時其獲利性較市場報酬來得穩健。此結果顯示投資人之交易行為的確受近因心理之影響。在穩健性測試中，我們發現高近因偏誤的低波動策略在高流動性的公司中仍顯著為正，而以低流動性、高市值及高成交量的公司尤其顯著。在總風險和獨特性風險衡量下，各以高及低法人持股公司顯著，說明散戶相對法人無法完全分散獨特性風險，故高近因策略之獲利性會受此影響。在市場景氣擴張時，投資人情緒加深近因偏誤之影響，進而強化低波動策略之獲利性。整體而言，我們發現台灣市場的低波動度效果的確受到投資人的近因偏誤影響，在考量此因素後，可建構較佳之低波動交易策略。

關鍵字

台灣股票市場；低波動策略；近因偏誤

並列摘要

In this paper, we use common stock listed in the Taiwan stock market for the period from July 1982 to December 2018 to examine the low-volatility strategy, which involves buying the low-volatility portfolio and short selling the high-volatility portfolio. We first show that the low-volatility strategie is not profitable. Considering the impact of recency biases, we construct two low-volatility strategies, namely high-recency and low-recency low-volatility strategies, and show that the low-recency low-volatility strategy generates significantly positive profits, which is more robust and resilient than the market portfolio. The result indicates that investors' trading behavior is widely affected by recency bias. The robustness tests reveal that the profitability of the high-recency low-volatility strategy is particularly stronger among stocks with low liquidity, high market capitalization, and high trading volumes. Further, investors’ behavioral bias is strengthened when investor sentiment is high, resulting in higher profitability of the high-recency low-volatility strategy. Overall, we document supportive evidence for the recency bias in explaining the low-volatility anomaly in the Taiwan stock market. By taking recency bias into considertaion, we are able to come up with a better low-volatility strategy to enhance its profitability.