| 摘要: | 反向投資策略是根據股票在形成期的報酬率狀況，選擇買進一段時期內表現比較差的股票，而賣出表現比較優的股票，建構一個套利的投資組合，在持有期內能取得超額報酬率的金融市場異常現象，其是投資者在股票市場中過度反應所造成的。本文通過研究實證發現，反向投資策略在台灣股票市場中，當持有期為1年時，反向投資策略是可以得到正向獲利。但當持有期為7年時，賣出贏家組合（第1組）買進輸家組合（第10組）其報酬率卻沒有取得正向獲利。於是本文研究不僅針對贏家及輸家組合的分析，也將第1組～第10組分別做不同組別搭配研究分析，以此達到最佳化及獲利更高的投資組合，增加投資的超額報酬及降低投資風險。
本文研究發現，在形成期持有期1年期的第1組設定為贏家組合，搭配第9組設定為輸家組合，其套利組合收益為12.6％的超額報酬。形成期持有期3年期的第1組設定為贏家組合，搭配第8組設定為輸家組合，這兩組套利組合為27.7％的超額報酬。形成期持有期5年期的第1組設定為贏家組合，搭配第6組設定為輸家組合，這兩組套利收益為40.9％的超額報酬。形成期持有期7年期的第10組設定為贏家組合，搭配第7組設定為輸家組合，這兩組套利收益為57.7％的超額報酬。
本文通過對形成期及持有期情形下對超額報酬率進行顯著性檢驗，發現都能取得顯著的正向獲利。與西方學者的研究發現，當期限較長時反向投資策略能夠取得獲利的這個結論觀點相符合。目前股票市場變化瞬息萬變，在股票市場投資中除了要運用合適的投資策略，也要在策略中找到最佳化的投資組合，以達到獲利最大化、風險可控制的目標。;Contrarian investment strategy is based on the return rate of stocks in the formation period, choose to buy stocks with poor performance in a period of time, and sell stocks with good performance, construct an arbitrage portfolio, in the holding period can obtain excess return rate of financial market anomaly, which is caused by investors in the stock market overreaction. Through empirical research, this paper found that the contrarian investment strategy in Taiwan stock market, when the holding period is one year, the contrarian investment strategy can get positive profit. But when the holding period was seven years, selling the winning portfolio (group 1) and buying the losing portfolio (group 10) showed no positive return. Therefore, this paper not only focuses on the analysis of the winner and loser portfolio, but also does the research and analysis of different groups from group 1 to group 10 respectively, so as to achieve the optimal and more profitable portfolio, increase the excess return of investment and reduce investment risk.
This study found that the first group was set as the winner portfolio and the ninth group was set as the loser portfolio during the 1-year holding period in the formative period, and the return of arbitrage portfolio was 12.6% excess return. The first group was set as the winner portfolio and the eighth group was set as the loser portfolio during the testing period of 3 years in the formative period. The excess return of the two arbitrage portfolios was 27.7%. The first group of the 5-year holding period in the formative period was set as the winner portfolio, and the sixth group was set as the loser portfolio. The arbitrage return of the two groups was 40.9% of excess return. Group 10 of the 7-year holding period in the formative period was set as the winner portfolio, and group 7 was set as the loser portfolio, and the arbitrage return of the two groups was 57.7% of excess return.
In this paper, the significance test of excess return rate in the formative period and the testing period is carried out, and it is found that significant positive profit can be obtained. It is consistent with the conclusion that contrarian investment strategy can gain profits when the time limit is long found by western scholars. At present, the stock market changes rapidly, in the stock market investment in addition to the use of appropriate investment strategy, but also in the strategy to find the best portfolio, in order to achieve the profit maximization, risk can be controlled. |
