本研究以台灣股票市場之贏家組合及輸家組合，探討贏家組合及輸家組合在市場中實施反向操作策略是否有超額之報酬。研究中並考慮公司規模(大、小)、公司類別(電子類、非電子類)及景氣循環(擴張期、收縮期)等因素對於實施反向操作策略績效之影響。根據實證結果發現如下：1.形成期6個月以上，持有期12個月以上實施反向操作策略成功；形成期1個月則持有期必須24個月，實施反向操作策略才會成功，由此可見持有期越長，實施反向操作策略越成功。本研究進一步以形成期為1個月的的基礎下，發現小規模輸家報酬率減小規模贏家報酬率優於大規模輸家報酬率減大規模贏家報酬率，顯示反向操作對於小規模公司優於大規模公司。2.若以投資標的區分，則發現非電子類上市櫃公司，形成期是6個月以上，實施反向操作策略都成功，且持有期越長越成功。電子類上市櫃公司則在形成期及持有期都在12個月以上實施反向操作策略才會比較顯著。3.本研究進一步以形成期為1個月的的基礎下，發現全體上市櫃公司在持有期12個月及24個月受景氣影響顯著，電子類上市櫃公司在持有期24個月受景氣影響顯著，且擴張期之影響大於收縮期之影響；非電子類則不受景氣循環之影響。 This study is based on the winners' portfolio and the losers' portfolio in the Taiwan Stock Market. We examine whether the Contrarian Strategy can create significant profits under different winners' portfolio and losers' portfolio. The Contrarian Strategy study consider the factors about the scale of company (large and small), the type of company (electronic, non-electronic) and boom cycle (expansion period, systolic period). The empirical results as follows: 1.The investor gains positive excess return from contrarian strategy at forming period more than 6 month and holding period more than 12 month. If forming period is only 1 month and holding period is 24 month,then the investor gains positive excess return from contrarian strategy. Long-tern investment from contrarian strategy gains more excess return than short-tern investment from contrarian strategy. If the study is based on the forming period of a month. The return rate of loser in small company subtracts the return rate of winner in small company is higher than the return rate of loser in big company substracts the return rate of winner in big company. We found that the effect of small companines from contrarian strategy impects more than the effect of big companies from contrarian strategy. 2.Non-electronics company gains positive excess return from contrarian strategy at forming period more than 6 month. Electronics company gains positive excess return from contrarian strategy at forming period and holding period more than 12 month. Long-tern investment gains more excess return than short-tern investment from contrarian strategy. 3.If the study is based on the forming period of a month.We found that all listed companies in the holding period of 12 months and 24 months are affected by the boom cycle, the impact of expansion is greater than the impact of systolic. Electronic companies in the holding period of 24 months are affected by the boom cycle, and the impact of expansion is greater than the impact of systolic.Non-electronic category is not affected by the impact of the boom cycle.
