本文研究台灣股市短期採取反向操作策略的獲利情形,探討在不同的形成期搭配不同的持有期下,台灣股市短期若採取反向操作策略,是否能獲得顯著的報酬。實證結果顯示在台灣股市在短期採行反向操作策略,無法獲得顯著報酬,但若採行動能策略則僅有(15,5)、(15,10)、(15,20)三種組合獲得顯著報酬。 另外,再透過迴歸分析,在三種迴歸模型中,單因子模型、Fama and French三因子模型及本研究提出Fama and French三因子+週轉率因子模型的模型,其中本研究所提出Fama and French三因子+週轉率因子模型的模型,其平均解釋能力是三個模型中最高的,但其因子對超額報酬之解釋能力並非全部都顯著。
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. The empirical results show that overall contrarian strategies are unprofitable on the Taiwan stock market, but There are only three significant profitable momentum strategies, including the (15,5) strategy, the (15,10) strategy and the (15,20) strategy. In addition, we address three regression models including single factor model, Fama and French model, Fama and French and turnover factor model. We find that Fama and French and turnover factor model’s average ability to explain is the best through regression analysis. But, its factors are not all remarkable for the explanation of excess returns.