臺灣博碩士論文加值系統

過去的研究證明投資人偏好具有樂透型報酬的資產，並且發現賭博和投機對資產報酬的潛在影響，本研究以台灣市場為樣本，探討樂透型股票的特徵和未來報酬之間的關係。實證結果發現，在台灣的股票市場中，樂透型股票並未被過度訂價，其未來報酬顯著為正，投資人可以藉由買入樂透型股票並賣出非樂透型股票來獲利。而分別探討各個特徵時，只有股價 (Price)對未來報酬有顯著的負向預測能力，Price越低，未來報酬越高，並且Price對未來報酬的負向預測能力在市值低的股票中會更顯著。報酬偏態 (MAX)和報酬波動度 (VOL) 則不具有單獨預測未來報酬的能力，MAX只有在月營收低的股票會對股票報酬有負向預測能力，VOL只有在股價低的股票會對股票報酬有正向預測能力。此外，本研究也進一步發現，在投資人關注度低的股票中，樂透型股票的未來報酬顯著高於非樂透型股票，其中VOL越大，未來報酬越高；Price則是越小未來報酬會越高；而MAX在投資人關注度低的股票則不具有預測能力。

Previous studies have confirmed that investors prefer assets with lottery-like payoffs and discover the potential impact of gambling and speculation on stock returns. In this study, we use Taiwan’s evidence to investigate the relationship between the characteristics of lottery-like stocks and future returns. We find that lottery-like stocks aren’t overpriced in Taiwan and their future returns are significant positive. Investors can earn profit by buying lottery-like stocks and selling non-lottery-like stocks. When discussing each characteristic separately, only Price has a significant negative predictive ability for future returns. The lower the price is, the higher the future returns will be. And this predictive ability is more significant in stocks with low market capitalization. While Skewness (MAX) and Volatility (VOL) do not have the ability to predict future returns alone. Only for stocks with low monthly sales can let MAX predict future returns with negative correlation, and only for stocks with low price can make VOL predict future returns with positive correlation. In addition, this study finds that among stocks with low investor attention, VOL and Price can significantly predict future returns. The larger the VOL, the higher the future returns. The smaller the price, the more the future returns will be. While MAX does not have predictive ability in stocks with low investor attention.

表目錄 ii
圖目錄 iii
第一章　緒論 1
第二章　資料與研究方法 7
第一節 資料來源 7
第二節 資料頻率 7
第三節 資料描述 7
一、 主要變數 7
二、 次要變數 9
第四節 樣本調整 9
一、 時間平移 9
二、 回溯 10
第五節 研究方法 11
一、 資產組合 11
二、 迴歸分析 12
第三章　實證結果 13
第一節 樣本敘述 13
第二節 偏態 (MAX) 對於橫斷面股票報酬的影響 16
第三節 波動度 (VOL) 對於橫斷面股票報酬的影響 25
第四節 股價 (Price) 對於橫斷面股票報酬的影響 34
第五節 樂透型股票特徵對於橫斷面股票報酬的影響 43
第四章　結論 48
參考文獻 50

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