| dc.description.abstract | Contrarian investment strategy is based on the return rate of stocks in the formation period, choose to buy stocks with poor performance in a period of time, and sell stocks with good performance, construct an arbitrage portfolio, in the holding period can obtain excess return rate of financial market anomaly, which is caused by investors in the stock market overreaction. Through empirical research, this paper found that the contrarian investment strategy in Taiwan stock market, when the holding period is one year, the contrarian investment strategy can get positive profit. But when the holding period was seven years, selling the winning portfolio (group 1) and buying the losing portfolio (group 10) showed no positive return. Therefore, this paper not only focuses on the analysis of the winner and loser portfolio, but also does the research and analysis of different groups from group 1 to group 10 respectively, so as to achieve the optimal and more profitable portfolio, increase the excess return of investment and reduce investment risk.
This study found that the first group was set as the winner portfolio and the ninth group was set as the loser portfolio during the 1-year holding period in the formative period, and the return of arbitrage portfolio was 12.6% excess return. The first group was set as the winner portfolio and the eighth group was set as the loser portfolio during the testing period of 3 years in the formative period. The excess return of the two arbitrage portfolios was 27.7%. The first group of the 5-year holding period in the formative period was set as the winner portfolio, and the sixth group was set as the loser portfolio. The arbitrage return of the two groups was 40.9% of excess return. Group 10 of the 7-year holding period in the formative period was set as the winner portfolio, and group 7 was set as the loser portfolio, and the arbitrage return of the two groups was 57.7% of excess return.
In this paper, the significance test of excess return rate in the formative period and the testing period is carried out, and it is found that significant positive profit can be obtained. It is consistent with the conclusion that contrarian investment strategy can gain profits when the time limit is long found by western scholars. At present, the stock market changes rapidly, in the stock market investment in addition to the use of appropriate investment strategy, but also in the strategy to find the best portfolio, in order to achieve the profit maximization, risk can be controlled. | en_US |