本文研究台灣股市採行反向操作策略的獲利情形，探討在不同的形成期搭配不同的持有期下，若台股採行反向操作策略，是否能獲得顯著的報酬，並以「略過一個月」、「排除極端值個股資料」、「市場劃分為多頭市場與空頭市場」等方式加強驗證效果。 驗證結果顯示在台灣股市採行反向操作策略，無法獲得顯著報酬，採行動能策略則僅有（6,9）、（9,6）、（9,9）三種組合獲得顯著報酬；只有在形成期屬空頭市場且形成期為長期時，搭配中長期（九個月以上）的持有期，於台灣股市執行反向操作策略，才能獲得顯著的正報酬。 This study investigates the profitability of contrarian strategies on the Taiwan stock market. We examine whether the contrarian strategies can create significant profits under different ranking horizons and holding horizons. Three robustness checks are performed by skipping one month between the ranking and the holding periods, excluding firms with extreme past returns, and partitioning the whole sample period into the bull market and the bear market. The empirical results show that overall contrarian strategies are unprofitable on the Taiwan stock market, except when the holding horizon is as long as three years. Thus, the empirical results suggest that there is also long-term reversal in Taiwan as in the U.S. There are only three significant profitable momentum strategies, including the (6,9) strategy, the (9,6) strategy and the (9,9) strategy. Thus, there is also an intermediate-term return continuation as in the U.S., although the evidence in Taiwan is weaker. The contrarian strategies are very profitable when the previous three-year market return is negative and when the holding horizon is nine-month or longer.
