冷門股投資組合之實證分析;An Empirical Analysis of the Portfolio of Neglected-Firm Stocks

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题名:	冷門股投資組合之實證分析;An Empirical Analysis of the Portfolio of Neglected-Firm Stocks
作者:	黃美瑛;Huang, Mei-Ying
贡献者:	財務金融學系在職專班
关键词:	被忽略的公司;財務指標;投資組合;Neglected-Firm;Financial indicators;Portfolio
日期:	2023-07-24
上传时间:	2024-09-19 16:13:24 (UTC+8)
出版者:	國立中央大學
摘要:	Arbel and Strebel (1982)提出被忽略的公司效應(neglected firm effect)可以獲得較高的異常報酬，本文研究2006到2020年間台股，發現台股也有被忽略的公司效應，報酬高於非被忽略的公司，公司特徵中負債比率、現金股利率、董監持股比率和報酬呈現顯著正相關；營業毛利率、營業費用和股價淨值比與報酬顯著負相關。再輔以財務指標篩選出每年前5%及前10%個股，構成當年度冷門股投資組合。結果顯示，投資組合以均等加權方式建構，能得到最高報酬；平均報酬、風險調整後的Sharpe、Treynor、Jensen及滾動平均報酬績效皆優於台灣50、元大中型100以及元大高股息。1月到3月底為農曆新年及發放年終獎金季節，有顯著異於其他三季正報酬。以多因子模型檢定，存在有顯著異常報酬。;Arbel and Strebel (1982) proposed that the neglected firm effect can obtain higher abnormal returns. This paper studies Taiwan stocks from 2006 to 2020, and finds that Taiwan stocks also have neglected corporate effects, and their returns are higher than those of non-neglected companies. Among the company characteristics, the debt ratio, cash yield rate, director-supervisor shareholding ratio and compensation are significantly positively correlated; operating gross profit margin, operating expenses, MB Ratio show a significant negative correlation with the return. Supplemented by financial indicators, the top 5% and top 10% stocks are selected each year to form a portfolio of unpopular stocks for the year. The results show that constructing in an equal weighting method can get the highest return; the average return、risk-adjusted performance of Sharpe, Treynor, and Jensen and rolling average return are all better than Taiwan Top 50 ETF, Taiwan Mid-Cap 100 Index, and Yuanta Taiwan Dividend Plus ETF. From January to the end of March is the Lunar New Year and the year-end bonus period, which is significantly different from the other three quarters of positive compensation. Tested by multifactor model, there are significant abnormal returns.
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