臺灣博碩士論文加值系統

本文旨在探討台灣股票報酬的長期反轉效果(long-term reversal effect)，長期 反轉效果係指在長期範圍內，過去表現優異的股票隨後往往會表現不佳;而過去表 現不佳的股票接續的表現會較為優異，這種現象與短期的動能效應(momentum effect)剛好相反，本文在 Carhart (1997)提出的四因子模型架構上，進一步檢視各 產業類股長期反轉因子的參數估計。樣本期間涵括 2007 年 7 月至 2023 年 9 月， 共 195 筆月資料，資料來源為臺灣經濟新報資料庫之各產業類股的指數報酬。實 證結果發現，水泥工業類、食品工業類、紡織纖維類、化學工業類及建材營造類的 股票報酬皆具有長期反轉效果，即相對於過去表現較差的股票，在未來較長的一段 時間內表現會優於過去表現較好的股票。值得注意的是，廣受投資人青睞的電子相 關產業(電腦及週邊設備業、光電業、零組件、其他電子業)及航運業類則不具有長 期反轉效果，顯示電子產業類股在資通訊科技發展主流的趨勢下，長期間的股票報 酬表現趨於穩定水平。據此可知，類股型態與景氣循環較為相關普遍存在顯著性的 長期反轉效果，投資人當可運用其反轉的特性作為投資買賣的參考依據。

This study investigates the long-term reversal effect in the Taiwan stock market. The long-term reversal effect refers to the phenomenon where, over a long-term period, stocks that have performed well in the past tend to perform poorly, while stocks that have performed poorly tend to perform well. This phenomenon is the opposite of the short- term momentum effect. This paper further examines the parameter estimation of the long- term reversal factor for various industry sectors within the framework of the four-factor model proposed by Carhart (1997). The sample period covers from July 2007 to September 2023, comprising a total of 195 monthly data points. The data source is the index returns of various industry sectors from the Taiwan Economic Journal (TEJ) database. The results discover that the cement, food, textile and fiber, chemical, and construction materials industries exhibit a long-term reversal effect, where stocks that performed poorly in the past tend to outperform those that performed well over a longer period. Notably, the electronics-related industries (computer and peripheral equipment, optoelectronics, components and other electronics) and the shipping industry, do not exhibit the long-term reversal effect. These findings suggest that stocks with reversal effects are more influenced by the business cycle, providing investors with a reference for investment decision.

目次
中文摘要 ................................... i
英文摘要 ...................................ii
誌謝 ......................................iii
目次 ......................................iv
表目次 ....................................vi
圖目次 ....................................vii
第一章 緒論..................................1
第一節 研究背景..............................1
第二節 研究動機..............................2
第三節 研究目的..............................4
第四節 研究架構..............................6
第二章 文獻回顧...............................7
第一節 CAPM 與股票報酬.......................7
第二節 行為財務與長期反轉效果..................8
第三節 類股輪動與行為決策.....................10
第三章 研究方法 .............................11
第一節 資料來源.............................11
第二節 研究變數.............................13
第三節 實證模型.............................14
第四章 實證結果..............................16
第一節 敘述統計.............................16
第二節 實證結果分析..........................19
第五章 結論..................................30
第一節 結論.................................30
第二節 研究限制..............................31
第三節 研究建議..............................32
參考文獻 ....................................33
表目次
表 1 臺灣證券交易所自編類股指數 ........................................11
表 2 台灣各產業指數超額報酬之敘述統計....................................17
表 3 變數之敘述統計...................................................18
表 4 變數Pearson相關係數..............................................19
表 5 傳統產業........................................................20
表 6 電子類加權平均...................................................23
表 7 電子類相關產業...................................................24
表 8 生技及塑膠相關產業................................................25
表 9 電機鋼鐵相關產業..................................................27
表 10 觀光航運相關產業.................................................28
表 11 長期反轉因子與假說驗證............................................30
圖目次
圖 1 台灣股票市場 1994 年至 2023 年成交股數 ............................ 3
圖 2 台灣股票市場 1994 年至 2023 年成交金額 ............................ 3
圖 3 各產業 2008 年至 2023 年成交量比重 ............................... 5
圖4 研究架構圖........................................................6

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