風格投資─臺灣股市的實證

Style Investing-Evidence from Taiwan Stock Markets

王雍智(George Y. Wang) ； 張澤(Jer Chang) ； 戴宏廩(Hong-Lin Dai)

《東海管理評論》 13卷1期 (2011/08) Pp. 1-46

https://doi.org/10.29724/TMR.201108.0001

摘要

近年來，台灣股票市場常常存在各種股票概念族群，例如中國概念股、iPhone概念股等，此與財金學者針對公司股票的特性加以分類－在學理上我們將之稱為「風格」（style），有異曲同工之妙；針對股票市場中特定的風格族群進行投資、以獲取超額報酬的風格投資法（style investing），早已成為近年來許多專業投資機構投資決策的方式。本研究利用投資組合法（portfolio approach），以明確的操作性定義，據以建立價值、成長、大型、及小型等四種風格投資組合（style portfolio），與市場投資組合進行超額報酬之檢定。本研究之主要結果有三：第一，價值效應與成長效應不論在短期及長期皆呈現顯著，價值效應尤比成長效應顯著；而大型股效應（或反向規模效應）則存在長期中，一般小型股的異常報酬則不存於台股；第二，分析風格投資組合在多頭、盤整、及空頭市場下的短期表現，僅有價值、成長、及大型股在盤整市場為顯著，但長期報酬則都顯著，顯示風格投資法具有在長期獲得超額報酬的特別意義；第三，因價值、成長、大型股皆為建立在基本面之選股策略，顯示台股仍較偏向弱式效率市場。

關鍵字

風格 ； 風格投資法 ； 投資組合法 ； 價值效應 ； 成長型效應 ； 大型股效應

並列摘要

In Taiwan stock markets, various concepts of stocks have been raised by practitioners to catch the attention of investors. These so-called concepts are similar to the terminology, style, in finance research. Style investing is referred to as investing similar company characteristics as a style portfolio in order to obtain excess returns. This study examines the short-run and long-run performance of excess return among four groups of style portfolios, i.e., value, stocks, large-capitalization, and small-capitalization, with the portfolio-constructing approach. Three major findings are drawn from the study. First, the study finds evidence for the value effect, the growth effect, and the large-cap effect (or reverse size effect) in Taiwan stock market. Second, since the three market anomalies are statistically significant in the long-run, the implication is that investors should pursue the long-run performance rather than in the short-run with style investing. Third, the market anomalies indicate that Taiwan stock market is weak-form efficient.

並列關鍵字

style ； style investing ； style portfolio ； value effect ； growth effect ； large-cap effect

參考文獻

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Bauman, W. Scott and Robert E. Miller (1997), “Investor Expectations and the Performance of Value Stocks versus Growth Stocks,” Journal of Portfolio Management, 23, 57-68.

Bernstein, Richard (1995), Style Investing: Unique Insight into Equity Management, John Wiley & Sons, Inc, New York.