| Summary: | 碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 98 === This paper investigates whether the short-term overreaction exist around the major events, taking the global financial crisis in 2008 as example. This work examines whether there is a significant positive return of a short-term contrarian strategy, the portfolio formatted by selling the winners’ portfolio and buying the losers’ portfolio. Following the previous studies, this paper not only investigates the impact of combinations of formation period and holding period on the performance of contrarian strategies, but also includes the waiting period after the portfolio is formatted. This paper examines whether the performance of contrarian strategies be improved after considering the waiting period. Then, this work examines whether there is significant difference of the performance of contrarian strategy between the results of using two returns measures, CAR and BHAR. Empirical results reveal that, using CAR as the return measure, a significant short-term overreaction in Taiwan’s stock market is found and the return of contrarian strategy is significantly positive. Using BHAR as the return measure, the phenomenon of overreaction and the returns of contrarian strategy are less significant. However, the returns of contrarian strategy improve after considering the waiting period, and this is the case both in CAR and BHAR measures. The factors affecting choice of portfolio formation, such as size, book-to-market, and turnover ratio, could be included into the consideration in the future study. Other non-financial major events could be used to explore the existence of overreaction and the effectiveness of contrarian strategy.
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