臺灣股市之動能效應：觀察投資組合之高階動差特性與條件風險值之應用

Taiwan Stock Momentum Effects: Investigations into Portfolio Characteristics of Higher- Order Moments and Applications of Conditional VaR

本研究以創新角度，導入偏峰態高階動差與條件風險值，探討近年來台股最佳動能投資策略。以累積報酬率、夏普比率、穩定尾部調整報酬率與瑞秋比率等作為建立投資組合的四個準則。後兩者以條件風險值作為風險指標，考量股票報酬非常態分配特性。我們依贏家、輸家組合及不同形成期及持有期，檢視動能或動能反轉策略在台股之投資績效。實證結果提供了在台灣股市建立投資策略與風險管理之重要參考。我們發現以輸家組合之瑞秋比率選股準則獲得最高之年報酬率，且以左偏高狹峰輸家組合之瑞秋比率獲得最高年報酬率58%。報酬以九至十二個月的長期投資組合為佳。高報酬的投資組合多屬於輸家具有左偏且高狹的特性，反映台股屬淺碟型市場，股市常過度反應而產生動能反轉現象。因台股價格波動大，以瑞秋比率為選取準則可控制極端之投資風險，獲取較大投資報酬。

The study incorporates skewness and kurtosis of stock returns and the conditional VaR for the recent Taiwan stock market to explore profitable momentum strategies from a fresh perspective. It utilizes cumulative returns, the Sharpe ratio, the stable tailed adjusted returns ratio, and the Rachev ratio as the portfolio selection criteria. The latter two criteria further take non-normality of stock returns into account by using the Conditional VaR as the risk index. We classify winner or loser portfolios, and examine investment performances of momentum or momentum reversal strategies for various formation and holding periods. The findings provide insights into investment strategies and risk management in the Taiwan stock market. The study finds that the loser portfolios with the Rachev ratio criteria deliver the highest annualized returns, and portfolios which show left-skewed and high-kurtosis characteristics provide the best annualized return of 58%. Investors holding stocks for 9 to 12 months receive the most fruitful profits. The high returns from loser, left-skewed and high-kurtosis portfolios indicate the reversal pattern and the overshooting feature in the volatile 'plate-form' stock market in Taiwan. Thus, investors are likely to gain from the stock market by using the Rachev ratio as the portfolio selection principle because extreme risks in the volatile stock market are considered.