| dc.description.abstract | Arbel and Strebel (1982) proposed that the neglected firm effect can obtain higher abnormal returns. This paper studies Taiwan stocks from 2006 to 2020, and finds that Taiwan stocks also have neglected corporate effects, and their returns are higher than those of non-neglected companies. Among the company characteristics, the debt ratio, cash yield rate, director-supervisor shareholding ratio and compensation are significantly positively correlated; operating gross profit margin, operating expenses, MB Ratio show a significant negative correlation with the return. Supplemented by financial indicators, the top 5% and top 10% stocks are selected each year to form a portfolio of unpopular stocks for the year. The results show that constructing in an equal weighting method can get the highest return; the average return、risk-adjusted performance of Sharpe, Treynor, and Jensen and rolling average return are all better than Taiwan Top 50 ETF, Taiwan Mid-Cap 100 Index, and Yuanta Taiwan Dividend Plus ETF. From January to the end of March is the Lunar New Year and the year-end bonus period, which is significantly different from the other three quarters of positive compensation. Tested by multifactor model, there are significant abnormal returns. | en_US |