股價均值回歸與台灣飼料產業的投資策略：2007.1～2016.5

Mean Reversion in Stock Prices and the Investment Strategy of the Feed Industry in Taiwan: 2007.1~2016.5

事件研究常是衡量公司環境改變，對財務的影響，短期股價如何檢驗回歸平均值之假說面臨沒有證據可以檢定市值變化是「基本面」變化的不偏誤估計的論點。本研究運用程式交易，檢驗2007年1月至2016年5月例如：卜蜂和大統益二廠商股價價差之回歸平均值的特性，結果發現投資人可以利用RSI的價差與股價背離，在台灣飼料產業獲得超額報酬。換言之：技術分析仍然可以在市場獲利，也證明我國部分證券市場在2007年至2016年，仍不符合半強勢效率市場的條件。

Event studies can be used to investigate how changes in company environment affect corporate finance. However, using short-term stock prices to examine mean reversion may face the problem: there is no evidence that changes in market value are unbiased estimates of changes in fundamentals. This study adopts program trading to test the mean reversion of pathogenic avian influenza event (such as: CP Group and TTET) between Jan 2007 and May 2016 in the feed industry of Taiwan. The results show that investors can use RSI spread and stock price deviation to make abnormal returns. In other words, investors can make profits based on technical analyses. Therefore, the evidence suggests that between 2007 and 2016 the security market in Taiwan did not fully meet the condition of a semi-strong form efficient market.