臺灣股市反轉策略與其相關因素之研究

Abstract

本文以反轉策略為主軸，加上週轉率排行、週轉率變動和法人持股比率等因子做為投資組合的選股條件，觀察是否可得到較佳的報酬率，以試圖找出較適合台股的操作策略。

結果發現，以形成期股價報酬率最低所選出的前期輸家組合，報酬率雖為正卻不顯著。若在反轉策略之後，陸續加入單因子、二因子和三因子來篩選投資組合，隨著考慮因子的增加，投資組合的報酬率有漸漸提升的現象，且個別月報酬率，亦是愈趨穩定。反轉策略加上三因子的投資組合，即「反轉策略+低週轉率排行+週轉率變動變高+低法人持股比率」的投資組合，擁有較高的平均月報酬率。

從個別月報酬率的部分來觀察，第一季普遍都有正報酬，除了第一季外，每季的季底，如六月、九月和十二月的報酬率為負，因此，元月效應在本研究中是存在的。另外，形成期較短的投資組合，擁有比較高的報酬率，而選股比率對報酬率無影響。

This paper focuses on contrarian strategies and combines turnover ranking, turnover changes and institutional investors holding as the criteria for stock picks. The purpose is to observe whether this approach yields better returns and to identify the strategies ideal for Taiwanese equities.

The results find that the portfolio of the losers during the previous period based on the lowest returns of the formation period yields positive but not significant returns. However, if the contrarian strategy incorporates single factors, two factors and three factors in the screening of the investment portfolios, the returns of the portfolio begin to gradually increase with the addition of factors. The individual monthly returns become increasingly stable. The combination of a contrarian strategy and three factors produces a portfolio of low turnover ranking, high turnover changes and low institutional investors holding reports high average monthly returns.

As for individual monthly returns, there are mostly positive returns in the first quarter. Except for the first quarter, the returns at the end of each quarter (e.g. June, September and December) are all negative. Therefore, this paper finds that January effects do exist, and the investment portfolios with shorter formation periods tend to have higher returns. The stock pick percentage has no influence on returns.