本文根據臺灣上市公司之股票市場，由1981年至2006年之月資料，進行反向投資策略之績效分析。此期間臺灣歷經二次的股市大崩盤，實證結果發現反向投資策略之績效於崩盤前後，確實有明顯地系統性變化。二次崩盤前皆得到顯著負向報酬，而二次崩盤後皆獲得顯著正向報酬。此外，價格反轉之現象通常出現於股市大幅震盪下，反向投資策略遂得以獲利。 進一步探討，崩盤對於投資者心理之衝擊，發現崩盤後，投資者風險承受度明顯地降低，其投資行為趨於保守，反之，崩盤前投資者風險承受度明顯地較高，其投資行為趨於躁進，此期間投資者平均而言，傾向追漲殺跌的情形，而導致超漲、超跌的情況，然而，崩盤後經過預期修正的結果，使得贏家投資組合之股票未來將向下修正，而輸家投資組合之股票未來將向上修正，產生價格反轉(price reversal)現象，使得反向投資策略得以獲利。 針對反向投資策略之獲利性進行因素之探討，發現樣本期間於2001年7月至2006年8月中，其反向投資策略之獲利可由元月效應及規模效應各解釋一部份。可知臺灣股票市場投資者過度反應之現象逐漸降低，價格偏離程度下降。 This paper employs the listed company’s stock market in Taiwan, the monthly data from 1981 to 2006, to investigate the performance analyses of the contrarian investment strategies. The stock market in Taiwan encountered twice great crashes, and our empirical evidences certainly indicate that the contrarian investment strategies exist systematic changes when we compare the two points of time. Before the crash point, the strategy gets apparently negative return. By contraries, the strategy gets apparently positive return after the crash point. Before the great crashes, investors are still inclined to pursue rising and throw falling stocks on average. In addition, price reversal always occurred under great fluctuation, and contrarian investment strategies is valid. By further discussions of the factors to the profitability of the contrarian investment strategy, we find that the January effect and size effect can explain a part of the profitability of the contrarian investment strategy from July of 2001 to August of 2006. It indicates that the phenomenon of investor's overreaction of stock market in Taiwan is reduced gradually, and the degree of deviation in price is diminished.
