近年來實證研究發現歐美市場具有系統性風險與超額報酬呈自相關的現象，而興起Beta套利交易策略之相關研究，Frazzini and Pedersen(2014)提出「買進低Beta的投資組合，賣出高Beta的投資組合」以獲取市場超額報酬之Beta套利投資策略，然而此一策略是否在單一因子資本資產定價模型具有預測能力的市場仍然可行，是本研究主要探討的議題。本研究自台灣經濟新報資料庫選取台灣股票市場上市公司之相關資料，檢驗台灣股票市場是否具有低風險異常報酬的現象，及建構Beta套利交易策略並透過因子模型檢驗在台灣股票市場是否可以獲取超額報酬。實證研究發現，透過執行Beta套利交易策略在台灣股票市場中，市值前50大之公司樣本可獲取超額報酬；而市值前51大至150大之公司樣本則沒有足夠證據顯示執行策略可獲取超額報酬。;Recently, empirical studies have found beta anomaly from different markets and have inspired the studies on Betting against Beta (BAB) strategy. Frazzini and Pedersen (2014) proposed a BAB strategy by “longing the low-beta assets and shorting the high-beta ones” to earn positive excess returns. We adopt the data in the Taiwan market from Taiwan Economic Journal, to examine whether there is Beta anomaly in the Taiwan market or not. We further construct the BAB strategy, to examine whether the BAB strategy would earns positive returns or not. We find that it would earns positive returns in the data of Top 50 companies and it is no enough evidence that earns positive returns in Top 51-150 companies.
