An Investigation into the Profitability of Contrarian Strategy and its Determinants: Evidence from Taiwan

• Main Authors: Cheng-ting Tsai, 蔡承庭
• Other Authors: Yung-shi Liau
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/03890606867238162712

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 99 === 　　Based on the contrarian strategy originated form DeBondt and Thaler (1985), this study uses data per month in twenty six years and explores the contrarian strategy beneficial factors conducted by publicly traded companies in Taiwan. First, winner portfolio and loser portfolio would be formulated and the excess return of each holding period of contrarian strategy is chosen and book-to-market value of three model composed of market risk, size effect, and book to market value ratio is applied. Besides, the important eight macroeconomics variables are analyzed with regard to macroeconomics influencing on the excess return of contrarian strategy. Furthermore, the globalization in financial market transmit rapidly and the contagion effect of financial crisis events have compact co-movement with global economics. Therefore, it is reasonable to explore contrarian strategy with financial crisis events. 　 　　Empirical results show that investors′long-term investment gains positive significance excess return from contrarian strategy. If companies choose higher book to market value ratio, they may gain more in book-to-market value of three model. The macroeconomics factors of customs-cleared exports, M1b money supply and financial crisis events have positive effect. Leading index, rediscount rate, and consumer price index have negative influence. The long-term contrarian strategy for twenty-four month may gain excess return via financial crisis event. Internet bubble has great impact on short-term and long-term portfolio because the relationship between Taiwan and American industries is close and contagion effect resulted from globalization makes result more significant.