- 學位論文
反向操作策略獲利性之研究：以台灣股市為例
A Study of the Contrarian Profits in the Taiwan Stock Market
並列摘要
This study investigates the profitability of contrarian strategies on the Taiwan stock market. We examine whether the contrarian strategies can create significant profits under different ranking horizons and holding horizons. Three robustness checks are performed by skipping one month between the ranking and the holding periods, excluding firms with extreme past returns, and partitioning the whole sample period into the bull market and the bear market. The empirical results show that overall contrarian strategies are unprofitable on the Taiwan stock market, except when the holding horizon is as long as three years. Thus, the empirical results suggest that there is also long-term reversal in Taiwan as in the U.S. There are only three significant profitable momentum strategies, including the (6,9) strategy, the (9,6) strategy and the (9,9) strategy. Thus, there is also an intermediate-term return continuation as in the U.S., although the evidence in Taiwan is weaker. The contrarian strategies are very profitable when the previous three-year market return is negative and when the holding horizon is nine-month or longer.