台灣樂透型股票之研究

論文提要內容：　　本文依據Kumar(2009)定義樂透型股票的方式，以獨特性波動率、獨特性偏態以及股價等三個因素對台灣股票市場進行樂透型股票的篩選。研究期間為2015年至2019年12月共五年的資料。目的在觀察短期買入持有樂透型股票，若能超越長期持有指數型基金元大台灣50以及元大富櫃50的報酬率，代表台灣股市存在樂透型股票，同時享有超額報酬。實證結果發現，上市、上櫃及全體樣本所選取之樂透型股票投資組合，其短期報酬率是可擊敗大盤的，尤其是當日沖銷，當日平均報酬率依序為3.53 %、4.53 %和3.96 %，皆勝過大盤的0.19%，此意味著投機客可以在短時間的投資即可獲取超額報酬。但是隨著樂透型股票持有期間愈長，其投資報酬率則會產生遞減的趨勢。在大多數小於三個月的持有期間下，樂透型股票的投資報酬率皆優於大盤，並且對大盤具有顯著差異。本研究透過統計分析發現，在全體樣本市場中，上櫃股票比上市股票更容易成為樂透型股票，此外，投機者可以在短期持有時間下，對樂透型投資組合進行投機交易，藉此獲取極高的報酬。

關鍵字

樂透型股票；獨特性波動率；獨特性偏態；低股價；投資組合

並列摘要

Abstract: Based on Kumar's (2009) definition of lottery-type stocks, we select lottery-type stocks in the Taiwan stock market following three factors: idiosyncratic volatility, idiosyncratic skewness, and stock price. The study period is from January 2015 to December 2019. The study focus on the short-term performance of selected lottery-type stocks in Taiwan stock markets. Moreover, we can observe its performance exceed the Yuanta Taiwan Top 50 ETF (0050) and Yuanta Taiwan GreTai 50 ETF (006201), expectedly. The empirical results found that the short-term portfolio returns of the lottery-type stocks all can beat the market, especially in the day-trading. The average daily returns are 3.53%, 4.53% and 3.96%, respectively. All of them are gretter than 0.19% of the market, which means that speculators can obtain excessive returns in a short-term period. But as the lottery-type stocks hold for a longer period, their return will tend to decline. In most holding periods of less than three months, the return of lottery-type stocks is better than the market, and there are significant differences from the market. The study also found that in all sample markets, OTC stocks are easier to become lottery-type stocks than TWSE stocks. In addition, speculators can trade lottery-type stocks under short-term period, and then obtains excess return.