興櫃股票持有期間與報酬之研究

Emerging Stock Holding Period and Return

秦銘璟(Ming-Chin Chin) ； 余威廷(Wei-Ting Yu) ； 徐煇熹(Hui-Hsi Hsu)

《真理財經學報》 24期 (2011/06) Pp. 1-26

https://doi.org/10.29963/TOJEB.201106.0001

摘要

本文以2002至2009年間，由興櫃轉上市（櫃）股票為樣本，採用價值型、動能型、規模型、流動性投資策略與不同持有期間之報酬進行檢驗及績效比較，探討興櫃股票投資是否具有異常報酬。實證結果發現：價值型策略中，益本比以持有12、24、36個月期間報酬呈現顯著；而淨值市價比以持有6、9、12、24、36個月期間報酬呈現顯著。動能型策略中，過去3個月之報酬率以持有l、3、6、9個月期間報酬呈現顯著；過去6、9、1 2個月之報酬率以持有l、3、6、9、12個月期間報酬呈現顯著；過去24個月之報酬率則在持有3個月期間報酬呈現顯著。規模型與流動性策略中，公司規模以持有12、24、36個月期間報酬呈現顯著，而週轉率以持有24、36個月期間報酬呈現顯著。

關鍵字

興櫃股票 ； 持有期間 ； 異常報酬 ； 投資策略

並列摘要

In this study, from 2002 to 2009, using initial public offerings (IPO) stocks as the sample, adopting value, momentum, size, liquidity investment strategies and different holding period return for testing and performance comparison to explore whether the emerging stock is equipped with abnormal returns. The empirical results are as following: Value strategy, earnings-to-price ratio to hold 12, 24, 36 months period showed significant return; and book-to-market ratio to hold 6, 9, 12, 24, 36 month period showed significant return. Momentum strategy, the past 3-month of return to hold of 1, 3, 6, 9 month period showed significant return; the past 6-, 9-, 12-months of return to hold of 1, 3, 6, 9, 12 month period showed significant return; the past 24-months of return to hold of 3 month period of showed significant return. And size and liquidity strategies, company size to hold 12, 24, 36 month period showed a significant return, while the turnover ratio to hold 24, 36 month period showed significant return.

並列關鍵字

Emerging Stock ； Holding Period ； Abnormal Return ； Investment Strategy