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第五章 結論與建議
本研究討論資產定價下的異常現象，並藉由交易策略的實證來了解台 股市場是否存在著異常報酬。
本研究採用最近開始被廣泛討論的交易策略，即總資產成長率。其相 較資本支出更能全面捕捉公司所進行的經營活動，不論是廠房投資或減資 等財務決策。理論上公司如果進行投資將有助於公司未來股價上漲，但實 務上可能因為資金取得的難易度與管理階層的代理問題，使得資本支出的 議題面臨到兩個面向的討論，一個是資金不足；另外一個則是過度投資。
上述兩項因素均會影響公司未來股價發展。
此外，我們更結合了信用風險的分類，利用台灣經濟新報資料庫(TEJ) 的 TCRI，將台股分類成低度風險、中度風險與高度風險的個股，並在各 風險群組中又再依資產規模分成大型公司、中型公司與小型公司。在不同 的分類下，我們買進總資產成長率較低的投資組合，並同時賣出總資產成 長率較高的投資組合，實證哪些群組在此交易策略下有顯著的異常報酬。
1. 我們發現若不依信用風險分類，總資產成長率此交易策略對台股不存在 顯著異常報酬，這也符合 Chu et al(2013)的實證結果。
2. 我們利用等權重投資法與市值加權投資法，分別對投資組合內的相同樣 本給予不同的投資權重，兩者在不同的分類群組有不同顯著的統計結 果。
3. 低度風險中型公司具有顯著的異常報酬，可能是因為低度風險的性質取 得資金容易，較容易出現過度投資的問題；而低度風險大型公司，並沒 有出現顯著異常報酬的情況，可能是因為企業內控制度較完善，較不容 易出現過度投資的問題。
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4. 中度風險下的中型與大型公司，在 TCRI 的資料庫中，取得資金仍相對 容易，但可能受限企業發展不如產業龍頭成熟，較容易出現過度投資的 問題。
5. 高度風險分類下的公司，並未有顯著的異常報酬，我們認為可能是因為 財報品質不佳，且台灣銀行業對高度風險分類下公司進行借貸，需要借 款公司提供擔保品，反而導致高度風險分類下的公司出現投資不足的現 象。
6. 不同的投資組合持有區間中，我們發現持有期間為 9 個月與 10 個月的 實證結果，其不僅在報酬率上普遍較 6 個月與 1 年來得高，並具備非常 顯著(99%的信賴水準下)的異常報酬效果。
7. 單純以資產規模分類，台股市場在此交易策略中，除了有規模效應，也 具備反向規模效應的效果。
本研究認為信用風險結合資產規模的分組下去進行交易策略，是可以 值得繼續深入的議題，但仍有幾項建議可以克服。
1. TCRI 指標更新不夠即時，而本研究所使用的 TCRI 為每季或每年底公 布財務報表後給予的評等，但台股市場為一淺碟型市場，很多消息很快 就會反應完畢，也許可以嘗試利用信用違約交換的方式來取代信評指標，
但目前台灣在這方面仍未建立完善的資料庫。
2. 由於台股的市場規模相較美股小，所以在低度風險與高度風險的分類中，
若再依五等份進行資產成長率的分類，得到的樣本數稍嫌不夠。
3. 由於中度風險的信用評等指標具有僵固性，可以再擴大研究，如果公司 因為信評指標降評的關係，往下納入較低一個風險層級，那銀行往來的 借貸是否會有什麼變化？公司的股價是否會有任何影響？
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4. 可以實證特定的分類群組，其內控制度與銀行往來貸款，對該公司股票 報酬率的影響，譬如說低度風險大型公司，其內控制度是否為其無法透 過總資產成長率得到異常報酬的原因？
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic P1 8.86% -7.94% 26.34% -3.59% 2.25% 50.53% -19.43% -37.05% 74.76% 9.74% 2.25%
All P5 12.35% -4.73% 16.12% -7.30% 17.94% 31.54% -17.25% -42.10% 53.94% 13.14% 17.94% 0.3690 Strategy -3.21% -3.21% 10.23% 3.72% -15.69% 18.99% -2.18% 5.05% 20.82% -3.40% -15.69%
P1 2.28% -16.38% 16.88% -7.90% 1.31% 39.49% -22.76% -40.51% 77.30% -0.31% 4.94%
Micro P5 6.70% -10.16% 9.89% -15.34% 27.92% 43.65% -24.35% -38.39% 65.88% 9.06% 7.49% -0.7463 Strategy -4.42% -6.22% 6.99% 7.43% -26.60% -4.15% 1.59% -2.12% 11.42% -9.37% -2.55%
P1 15.40% -6.14% 12.43% -9.96% -1.23% 51.96% -18.24% -40.18% 86.87% 9.37% 10.03%
Small P5 4.63% -15.38% 14.43% -10.67% 22.98% 28.77% -18.30% -41.02% 66.42% 11.86% 6.37% 0.8615 Strategy 10.77% 9.23% -2.00% 0.70% -24.21% 23.19% 0.06% 0.85% 20.45% -2.49% 3.66%
P1 -0.80% -5.96% 38.74% 4.76% -1.08% 49.01% -13.73% -38.41% 56.14% 16.62% 10.53%
Big P5 21.22% 9.14% 16.14% -0.07% 10.77% 24.97% -15.24% -43.19% 43.81% 16.26% 8.38% 0.4450 Strategy -22.01% -15.10% 22.60% 4.82% -11.85% 24.04% 1.51% 4.77% 12.33% 0.36% 2.15%
P1 11.23% -13.81% 7.11% 11.29% 3.75% 16.21% -4.41% -28.45% 55.44% 0.93% 5.93%
Micro P5 12.76% 6.80% 14.28% -2.26% 3.31% 20.90% -15.16% -31.24% 40.10% 5.97% 5.55% 0.1111 Strategy -1.54% -20.61% -7.18% 13.54% 0.44% -4.68% 10.75% 2.80% 15.34% -5.04% 0.38%
P1 6.78% -5.44% 12.95% 8.00% 15.47% 18.89% -8.48% -33.72% 53.90% 21.00% 8.94%
Small P5 26.31% 2.99% 25.00% 0.68% 17.03% 24.08% -16.17% -47.14% 26.77% 18.82% 7.84% 0.2570 Strategy -19.53% -8.42% -12.04% 7.31% -1.55% -5.19% 7.69% 13.42% 27.13% 2.18% 1.10%
P1 14.64% 2.71% 26.67% 6.32% 0.55% 14.82% 1.14% -38.22% 42.88% 26.91% 9.84%
Big P5 16.49% -7.58% 20.95% 6.85% 16.28% 17.28% -7.58% -33.80% 32.54% 19.47% 8.09% 0.6664 Strategy -1.85% 10.29% 5.73% -0.53% -15.72% -2.46% 8.72% -4.42% 10.33% 7.45% 1.75%
Holding Period is 6 month-Equally Weighted Group
C1 All Rated
附錄一:持有期間為 6 個月之等權重投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 3.11% -24.18% 6.36% -9.90% 9.47% 38.32% -26.96% -31.32% 81.60% 13.80% 6.03%
Micro P5 19.06% -18.92% 24.14% -15.37% 41.69% 48.27% -27.19% -30.07% 65.44% 7.69% 11.47% -1.2278 Strategy -15.95% -5.26% -17.77% 5.47% -32.22% -9.95% 0.23% -1.25% 16.17% 6.11% -5.44%
P1 4.67% -4.71% 6.77% -10.86% 13.85% 55.45% -17.64% -34.04% 72.05% 18.72% 10.43%
Small P5 2.02% -14.99% 4.52% -7.93% 26.63% 31.45% -26.86% -41.57% 68.20% 10.22% 5.17% 1.7436*
Strategy 2.65% 10.28% 2.25% -2.92% -12.78% 24.00% 9.22% 7.53% 3.85% 8.50% 5.26%
P1 10.22% -0.15% 24.80% 4.65% 11.72% 36.63% -10.79% -31.70% 58.09% 18.79% 12.23%
Big P5 15.75% -8.51% 19.39% 6.94% 12.86% 32.09% -18.16% -45.67% 60.91% 12.73% 8.83% 1.7544*
Strategy -5.53% 8.36% 5.41% -2.30% -1.15% 4.54% 7.37% 13.97% -2.82% 6.06% 3.39%
P1 35.12% -11.28% -8.13% -6.27% -10.67% 29.12% -16.40% -46.57% 50.18% 17.40% 3.25%
Micro P5 6.96% -29.45% 43.00% -27.83% 3.11% 16.10% -28.55% -40.87% 87.99% 2.70% 3.32% -0.0078 Strategy 28.16% 18.17% -51.13% 21.56% -13.78% 13.02% 12.15% -5.70% -37.81% 14.70% -0.07%
P1 18.21% -17.47% 56.20% -23.18% -11.61% 116.84% -21.57% -44.71% 114.62% 3.95% 19.13%
Small P5 31.12% 5.23% 14.77% -17.42% -0.73% 46.49% -18.82% -46.48% 63.67% 2.28% 8.01% 1.1196 Strategy -12.91% -22.70% 41.42% -5.76% -10.89% 70.36% -2.75% 1.77% 50.95% 1.66% 11.12%
P1 18.21% -12.25% 46.68% -0.14% -10.50% 76.96% -21.73% -47.90% 71.66% 15.27% 13.63%
Big P5 31.12% -7.58% 8.80% -4.34% 6.81% 42.47% -17.48% -50.17% 44.48% 25.00% 7.91% 0.8961 Strategy -12.91% -4.66% 37.88% 4.21% -17.31% 34.48% -4.25% 2.27% 27.18% -9.74% 5.71%
Holding Period is 6 month-Equally Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 9.31% -1.34% 29.86% 5.15% -1.34% 29.42% 1.65% -37.09% 46.33% 13.53% -1.34%
All P5 20.78% -4.75% 21.45% 3.61% 9.66% 23.39% -3.68% -38.69% 32.30% 19.38% 9.66% 0.8795 Strategy -1.76% -1.76% 8.40% 5.33% -11.00% 6.03% 5.33% 1.61% 14.04% -5.85% -11.00%
P1 12.77% -17.42% 15.18% -14.31% -0.38% 35.56% -35.07% -41.53% 56.99% -9.97% 0.18%
Micro P5 13.24% -6.01% 1.81% -8.03% 38.38% 32.62% -32.19% -37.24% 50.44% 0.79% 5.38% -1.1712 Strategy -0.47% -11.42% 13.36% -6.27% -38.76% 2.94% -2.88% -4.30% 6.54% -10.76% -5.20%
P1 22.51% -11.03% 12.70% -7.05% 4.55% 51.76% -24.51% -33.30% 68.01% 3.66% 8.73%
Small P5 8.82% -12.76% 18.71% -5.98% 28.27% 23.25% -20.36% -41.06% 49.87% 15.98% 6.47% 0.4663 Strategy 13.69% 1.73% -6.01% -1.07% -23.71% 28.51% -4.14% 7.76% 18.14% -12.32% 2.26%
P1 12.22% -10.99% 25.98% 8.09% 1.56% 18.30% -4.52% -31.09% 38.39% 13.98% 7.19%
Big P5 21.33% 3.93% 23.90% 8.48% 17.60% 21.06% -6.55% -38.92% 23.55% 17.21% 9.16% -0.6468 Strategy -9.11% -14.92% 2.08% -0.38% -16.04% -2.76% 2.03% 7.83% 14.83% -3.22% -1.97%
P1 12.01% -15.49% 7.11% 14.04% 1.28% 11.21% -6.75% -30.06% 46.67% 3.16% 4.32%
Micro P5 3.02% 12.78% 14.28% 1.19% 23.46% 15.78% -27.00% -36.37% 44.25% 5.12% 5.65% -0.2794 Strategy 8.99% -28.27% -7.18% 12.86% -22.19% -4.57% 20.25% 6.30% 2.42% -1.96% -1.33%
P1 5.34% -8.21% 12.95% 7.84% 16.58% 21.19% -6.82% -32.80% 58.52% 20.56% 9.52%
Small P5 124.63% 4.70% 25.00% 5.85% 19.87% 19.40% -15.27% -48.17% 18.85% 16.48% 17.13% -0.5735 Strategy -119.29% -12.91% -12.04% 1.99% -3.29% 1.80% 8.45% 15.37% 39.67% 4.08% -7.62%
P1 14.15% -19.90% 28.92% 14.16% -3.58% 11.03% 9.99% -25.06% 26.40% 25.39% 8.15%
Big P5 23.94% -7.83% 22.67% 14.04% 21.18% 23.61% -2.88% -38.86% 18.43% 23.76% 9.81% -0.4131 Strategy -9.79% -12.06% 6.25% 0.11% -24.76% -12.58% 12.87% 13.81% 7.97% 1.62% -1.66%
Holding Period is 6 month-Value Weighted Group
C1 All Rated
附錄二:持有期間為 6 個月之市值加權投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 15.58% -29.25% 5.31% -10.70% 7.86% 40.18% -26.11% -29.74% 69.25% 13.41% 5.58%
Micro P5 16.12% -40.82% 29.17% -2.47% 50.71% 27.42% -33.09% -31.41% 46.16% -1.57% 6.02% -0.0703 Strategy -0.54% 11.57% -23.85% -8.23% -42.85% 12.76% 6.98% 1.67% 23.09% 14.97% -0.44%
P1 4.36% -3.60% 6.83% -12.03% 16.41% 68.64% -21.41% -34.61% 73.79% 20.16% 11.85%
Small P5 1.31% -10.05% 8.75% -3.36% 25.70% 24.90% -21.69% -43.87% 42.18% 18.38% 4.22% 1.4102*
Strategy 3.05% 6.45% -1.92% -8.66% -9.29% 43.74% 0.29% 9.27% 31.62% 1.78% 7.63%
P1 30.87% -8.29% 26.47% 1.36% 14.44% 32.85% -8.53% -36.52% 39.47% 12.45% 10.46%
Big P5 15.75% -16.93% 26.40% 1.60% 9.12% 19.58% -17.13% -46.99% 34.15% 13.63% 3.92% 2.3622**
Strategy -5.53% 8.64% 0.07% -0.24% 5.32% 13.27% 8.60% 10.47% 5.32% -1.18% 4.47%
P1 64.85% -21.20% -12.87% -19.60% 3.26% 257.82% -27.22% -49.88% 17.30% 2.95% 21.54%
Micro P5 -3.46% -29.58% 44.53% -26.80% 16.73% 90.75% -31.34% -41.06% 67.71% -5.16% 8.23% 0.6554 Strategy 68.31% 8.39% -57.39% 7.19% -13.48% 167.07% 4.13% -8.82% -50.41% 8.10% 13.31%
P1 35.66% -29.74% 64.51% -24.27% -7.21% 70.16% -40.63% -44.26% 104.45% 0.37% 12.90%
Small P5 35.34% 20.13% 15.77% -13.50% 4.00% 31.41% -24.21% -40.24% 44.24% 3.72% 7.67% 0.4908 Strategy 0.33% -49.87% 48.74% -10.77% -11.21% 38.75% -16.42% -4.02% 60.21% -3.35% 5.24%
P1 3.31% -7.49% 41.76% 1.05% -22.49% 47.88% -1.27% -54.65% 58.26% 19.63% 8.60%
Big P5 8.32% -5.74% 8.68% 1.41% 8.09% 34.13% -15.47% -48.27% 49.83% 11.20% 5.22% 0.6395 Strategy -5.01% -1.75% 33.08% -0.37% -30.58% 13.76% 14.20% -6.38% 8.43% 8.43% 3.38%
Holding Period is 6 month-Value Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 56.28% -11.12% 63.00% -7.25% 3.53% 62.52% -14.86% -22.84% 78.43% 9.57% 3.53%
All P5 34.65% -11.46% 25.54% 3.41% 22.48% 42.43% -18.64% -25.81% 55.57% 7.50% 22.48% 1.1522 Strategy 0.34% 0.34% 37.45% -10.66% -18.95% 20.09% 3.78% 2.97% 22.86% 2.07% -18.95%
P1 143.05% 63.80% 356.22% 98.79% 61.66% 180.08% -21.30% 16.75% 182.37% 48.24% 112.97%
Micro P5 129.48% -32.30% 271.21% 66.16% 21.07% 51.82% 2.45% -17.64% 96.13% 23.01% 61.14% 3.5889***
Strategy 13.57% 96.11% 85.01% 32.64% 40.59% 128.26% -23.75% 34.39% 86.24% 25.22% 51.83%
P1 54.38% 1.30% 101.27% 15.56% 64.26% 77.32% -5.60% 25.00% 171.92% 58.26% 56.37%
Small P5 79.32% 27.72% 42.68% 7.87% 167.90% 31.12% -23.74% -27.69% 90.47% 9.67% 40.53% 0.9094 Strategy -24.94% -26.42% 58.59% 7.68% -103.64% 46.20% 18.14% 52.69% 81.45% 48.59% 15.83%
P1 72.33% 6.96% 89.18% 3.39% 11.06% 89.77% 7.58% -15.82% 96.17% 44.83% 40.54%
Big P5 60.59% 10.30% 50.76% 6.89% 8.96% 34.37% -11.11% -31.01% 28.90% 11.72% 17.03% 3.0391***
Strategy 11.74% -3.34% 38.42% -3.50% 2.11% 55.40% 18.70% 15.20% 67.27% 33.11% 23.51%
P1 35.63% -19.45% 18.59% 48.29% 161.89% 49.48% -0.87% 29.14% 75.81% 15.30% 41.38%
Micro P5 56.68% -20.31% 191.71% -13.13% -27.99% 20.19% -35.80% -40.97% -11.35% -33.78% 8.53% 1.1274 Strategy -21.05% 0.86% -173.12% 61.42% 189.88% 29.29% 34.93% 70.11% 87.17% 49.08% 32.86%
P1 70.84% -8.88% 33.15% 6.24% -0.82% 30.30% 26.71% -6.66% 48.86% 11.02% 21.08%
Small P5 30.11% 0.92% 24.75% 11.35% -9.18% -2.12% -37.89% -47.62% 16.16% -12.59% -2.61% 3.2302***
Strategy 40.73% -9.80% 8.40% -5.11% 8.36% 32.41% 64.60% 40.96% 32.70% 23.61% 23.69%
P1 33.27% 2.04% 40.93% -2.25% -7.01% 5.44% -7.58% -27.19% 29.54% 13.37% 8.06%
Big P5 27.26% -22.87% 19.24% 1.57% 25.51% 31.10% -2.35% -24.95% 2.68% 5.98% 6.32% 0.2736 Strategy 6.01% 24.90% 21.69% -3.82% -32.52% -25.67% -5.22% -2.23% 26.86% 7.39% 1.74%
Holding Period is 9 month-Equally Weighted Group
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 52.38% 102.90% 196.46% 33.79% 43.58% 147.86% 1.64% -4.44% 186.20% 66.30% 82.67%
Micro P5 177.90% -6.14% 209.73% 13.86% 39.64% 66.55% -37.18% -23.55% 63.69% 16.45% 52.10% 1.3693 Strategy -125.52% 109.05% -13.27% 19.93% 3.94% 81.31% 38.82% 19.11% 122.51% 49.85% 30.57%
P1 67.74% 35.14% 109.10% 75.61% 22.41% 85.24% -11.64% -19.85% 110.56% 30.74% 50.50%
Small P5 40.44% -33.81% 81.69% 12.42% 38.68% 44.85% -56.48% -27.98% 100.31% -7.42% 19.27% 3.8190***
Strategy 27.31% 68.95% 27.42% 63.20% -16.27% 40.39% 44.83% 8.13% 10.25% 38.16% 31.24%
P1 52.89% -1.85% 59.42% 4.65% 66.11% 68.39% -4.44% 11.14% 55.52% 25.91% 33.77%
Big P5 138.72% 64.87% 45.90% 6.94% 13.60% 45.49% -15.35% -34.09% 53.10% 15.56% 33.48% 0.0215 Strategy -85.83% -66.72% 13.52% -2.30% 52.51% 22.90% 10.91% 45.23% 2.43% 10.35% 0.30%
P1 97.30% -42.69% 500.55% -21.31% 112.14% 73.43% 2.97% -22.40% 102.87% 22.69% 82.55%
Micro P5 33.46% -53.01% 6.25% 299.80% 143.42% 83.08% -33.46% -7.98% 105.14% 39.01% 61.57% 0.3364 Strategy 63.84% 10.32% 494.29% -321.11% -31.28% -9.65% 36.43% -14.42% -2.27% -16.33% 20.98%
P1 33.65% -5.39% 133.64% 9.32% -10.39% 51.93% -10.19% 21.95% 221.88% 34.03% 48.04%
Small P5 124.69% -12.02% 47.45% 19.33% 472.43% 29.91% 26.03% -19.47% 65.81% 45.57% 79.97% -0.5865 Strategy -91.04% 6.64% 86.19% -10.01% -482.82% 22.02% -36.23% 41.41% 156.07% -11.54% -31.93%
P1 33.65% -4.24% 105.67% 10.95% -4.39% 160.24% 12.18% -35.51% 298.94% 126.25% 70.37%
Big P5 124.69% -5.90% 66.82% -1.07% 36.15% 39.83% 0.27% -13.04% 60.00% 69.26% 37.70% 1.1213 Strategy -91.04% 1.65% 38.85% 12.02% -40.55% 120.41% 11.91% -22.47% 238.93% 56.99% 32.67%
Holding Period is 9 month-Equally Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 37.76% -4.75% 61.76% -5.20% -4.75% 32.12% 0.47% -23.51% 47.88% 9.14% -4.75%
All P5 35.12% -5.24% 31.05% 5.44% 9.12% 22.23% -9.22% -23.88% 29.82% 6.02% 9.12% 1.2814 Strategy -7.07% -7.07% 30.72% 9.69% -13.86% 9.89% 9.69% 0.37% 18.06% 3.11% -13.86%
P1 179.69% 6.82% 337.88% 190.29% 25.34% 117.10% -32.89% -6.06% 118.51% 40.12% 97.68%
Micro P5 190.06% -32.15% 233.13% 17.25% 23.86% 25.72% -34.75% -24.02% 49.82% 0.59% 44.95% 2.9027***
Strategy -10.37% 38.97% 104.75% 173.04% 1.48% 91.38% 1.86% 17.96% 68.69% 39.53% 52.73%
P1 50.40% -5.27% 103.82% -0.37% 93.79% 60.93% -23.15% 4.67% 122.31% 44.47% 45.16%
Small P5 186.29% 21.21% 34.52% 2.55% 45.99% 16.47% -42.34% -33.24% 52.92% -10.41% 27.40% 0.9045 Strategy -135.89% -26.48% 69.29% -2.91% 47.80% 44.45% 19.19% 37.91% 69.39% 54.88% 17.76%
P1 24.30% -10.94% 45.43% 5.17% 9.32% 14.88% -4.67% -18.63% 42.26% 22.38% 12.95%
Big P5 33.49% -13.51% 42.34% 12.26% 22.15% 18.18% -16.69% -26.92% 2.97% -3.01% 7.13% 1.1304 Strategy -9.19% 2.57% 3.09% -7.09% -12.83% -3.30% 12.02% 8.29% 39.29% 25.39% 5.82%
P1 34.34% -27.19% 18.59% 33.78% 113.16% 43.51% -16.09% -5.95% 71.80% 13.80% 27.98%
Micro P5 33.88% -9.43% 191.71% -27.06% -28.52% 10.40% -55.50% -47.38% -24.51% -34.73% 0.89% 1.0262 Strategy 0.46% -17.76% -173.12% 60.83% 141.68% 33.11% 39.41% 41.43% 96.31% 48.54% 27.09%
P1 59.06% -10.64% 33.15% 9.50% 4.81% 17.88% 30.20% 0.26% 45.34% -2.12% 18.74%
Small P5 137.25% 1.32% 24.75% 23.04% -15.86% -2.67% -36.93% -56.73% 5.15% -36.98% 4.23% 1.0939 Strategy -78.19% -11.96% 8.40% -13.53% 20.67% 20.56% 67.13% 56.98% 40.20% 34.86% 14.51%
P1 14.15% -19.24% 31.62% 14.01% -2.51% 7.62% 9.81% -19.16% 0.18% 12.21% 4.87%
Big P5 23.94% -20.87% 19.93% 8.05% 22.82% 23.80% -13.27% -27.33% 3.36% 10.26% 5.07% -0.0449 Strategy -9.79% 1.63% 11.69% 5.96% -25.33% -16.18% 23.07% 8.17% -3.17% 1.94% -0.20%
Holding Period is 9 month-Value Weighted Group
C1 All Rated
附錄四:持有期間為 9 個月之市值加權投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
51
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic P1 19.00% 7.81% 96.06% 43.04% 48.72% 125.07% -7.53% -23.36% 109.54% 31.72% 45.01%
Micro P5 211.99% -0.41% 229.98% 58.26% 32.42% 12.80% -49.09% -30.46% 23.23% -7.76% 48.10% -0.1042 Strategy -192.99% 8.22% -133.91% -15.22% 16.30% 112.27% 41.56% 7.10% 86.31% 39.48% -3.09%
P1 52.34% 17.74% 108.80% 83.61% 19.71% 90.86% -17.35% -19.73% 92.39% 20.59% 44.90%
Small P5 53.22% -29.16% 60.55% 8.91% 22.74% 11.34% -44.21% -35.12% 47.54% -25.38% 7.04% 4.2337***
Strategy -0.88% 46.90% 48.26% 74.70% -3.03% 79.52% 26.86% 15.39% 44.86% 45.97% 37.85%
P1 89.62% -7.42% 69.61% 1.36% 32.20% 40.26% 6.41% -18.92% 31.40% 17.74% 26.23%
Big P5 138.72% 39.51% 96.29% 1.60% 30.56% 37.09% -25.94% -40.85% 3.79% -0.87% 27.99% -0.4590 Strategy -85.83% -46.93% -26.68% -0.24% 1.64% 3.17% 32.35% 21.93% 27.61% 18.61% -5.44%
P1 126.05% -62.66% 587.48% -36.98% 46.49% 257.82% -7.83% -26.51% 20.66% 10.63% 91.51%
Micro P5 24.78% -46.68% -5.18% 309.83% 118.75% 90.75% -48.03% -10.66% 94.91% 32.28% 56.08% 0.4706 Strategy 101.26% -15.98% 592.66% -346.81% -72.25% 167.07% 40.19% -15.85% -74.25% -21.65% 35.44%
P1 47.75% -16.94% 194.68% -3.27% -4.54% 60.55% -45.79% -0.23% 268.27% 17.65% 51.81%
Small P5 164.11% -14.14% 30.69% 22.39% 327.00% 32.77% -26.47% -11.45% 43.82% 30.85% 59.96% -0.1719 Strategy -116.36% -2.80% 163.99% -25.66% -331.54% 27.78% -19.31% 11.22% 224.44% -13.21% -8.15%
P1 101.95% 2.63% 80.02% 11.48% -22.79% 115.59% -1.52% -42.42% 208.00% 83.69% 53.66%
Big P5 13.60% -6.28% 102.42% -12.68% 18.59% 40.24% 13.65% -17.18% 34.44% 4.34% 19.11% 1.6049*
Strategy 88.35% 8.90% -22.40% 24.16% -41.38% 75.34% -15.17% -25.23% 173.56% 79.35% 34.55%
Holding Period is 9 month-Value Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 66.87% -19.93% 53.58% -12.31% 13.34% 65.51% -10.49% -12.64% 82.82% 11.47% 13.34%
All P5 32.63% -17.67% 18.79% -3.51% 34.84% 39.54% -13.14% -14.20% 58.80% 8.57% 34.84% 1.0415 Strategy -2.26% -2.26% 34.79% -8.80% -21.49% 25.97% 2.65% 1.56% 24.02% 2.90% -21.49%
P1 145.84% 45.07% 369.86% 77.30% 61.66% 190.29% -15.07% 37.82% 184.11% 54.23% 115.11%
Micro P5 137.98% -36.56% 231.70% 46.15% 21.07% 55.74% 12.08% -3.33% 99.88% 28.20% 59.29% 3.3112***
Strategy 7.87% 81.63% 138.15% 31.15% 40.59% 134.55% -27.15% 41.15% 84.23% 26.02% 55.82%
P1 72.20% -2.39% 101.76% 9.09% 64.26% 72.70% -1.68% 44.05% 170.57% 60.03% 59.06%
Small P5 69.61% 17.56% 42.03% 1.37% 167.90% 29.69% -20.30% -18.17% 99.32% 10.02% 39.90% 1.1552 Strategy 2.59% -19.96% 59.73% 7.72% -103.64% 43.01% 18.63% 62.22% 71.25% 50.01% 19.16%
P1 101.34% -8.03% 68.71% 3.39% 11.06% 88.21% 11.47% -5.38% 100.06% 46.15% 41.70%
Big P5 57.55% 2.82% 42.79% 6.89% 8.96% 33.48% -4.90% -20.48% 31.65% 11.52% 17.03% 3.0198***
Strategy 43.79% -10.84% 25.92% -3.50% 2.11% 54.73% 16.37% 15.10% 68.41% 34.63% 24.67%
P1 39.79% -36.12% 9.27% 39.91% 161.89% 40.76% 2.86% 40.16% 75.96% 22.85% 39.73%
Micro P5 48.93% -24.15% 182.09% -12.39% -27.99% 21.83% -30.56% -37.26% -7.25% -31.07% 8.22% 1.0827 Strategy -9.14% -11.96% -172.83% 52.30% 189.88% 18.93% 33.42% 77.42% 83.21% 53.91% 31.51%
P1 82.31% -15.74% 26.55% 0.41% -0.82% 26.54% 26.58% 4.53% 51.49% 10.42% 21.23%
Small P5 24.59% -9.80% 20.55% 7.12% -9.18% -2.59% -24.03% -33.64% 17.88% -11.35% -2.05% 3.2654***
Strategy 57.71% -5.93% 6.01% -6.72% 8.36% 29.13% 50.61% 38.17% 33.62% 21.78% 23.27%
P1 43.63% -5.84% 25.80% -6.79% -7.01% 6.34% -7.38% -18.24% 30.98% 17.76% 7.92%
Big P5 22.57% -22.63% 11.83% -0.08% 25.51% 27.86% 2.03% -14.49% 5.35% 8.93% 6.69% 0.2039 Strategy 21.06% 16.79% 13.97% -6.70% -32.52% -21.52% -9.41% -3.75% 25.63% 8.83% 1.24%
Holding Period is 10 month-Equally Weighted Group
C1 All Rated
附錄五:持有期間為 10 個月之等權重投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
53
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 57.54% 73.91% 159.90% 22.77% 43.58% 143.34% 11.88% 1.95% 175.50% 64.99% 75.54%
Micro P5 188.37% -15.42% 201.75% -0.43% 39.64% 70.33% -31.40% -14.64% 59.38% 22.90% 52.05% 1.0549 Strategy -130.83% 89.33% -41.84% 23.20% 3.94% 73.01% 43.28% 16.58% 116.13% 42.09% 23.49%
P1 66.07% 31.60% 91.01% 57.39% 22.41% 90.44% -6.52% -7.62% 103.68% 33.45% 48.19%
Small P5 47.42% -38.23% 72.85% 6.57% 38.68% 45.63% -51.46% -17.76% 107.67% -4.76% 20.66% 3.2577***
Strategy 18.65% 69.83% 18.16% 50.82% -16.27% 44.81% 44.94% 10.14% -3.98% 38.22% 27.53%
P1 65.02% -11.46% 52.70% 4.65% 66.11% 67.47% -1.85% 32.49% 57.41% 26.87% 35.94%
Big P5 127.80% 48.40% 38.83% 6.94% 13.60% 47.08% -10.64% -24.93% 60.38% 15.35% 32.28% 0.2905 Strategy -62.78% -59.85% 13.87% -2.30% 52.51% 20.39% 8.79% 57.42% -2.97% 11.51% 3.66%
P1 122.60% -42.93% 420.43% -21.47% 112.14% 62.53% 16.14% -14.11% 118.35% 26.15% 79.98%
Micro P5 30.27% -55.99% 8.00% 247.52% 143.42% 82.02% -28.95% 20.84% 119.58% 34.01% 60.07% 0.3764 Strategy 92.33% 13.06% 412.43% -268.99% -31.28% -19.49% 45.09% -34.95% -1.23% -7.86% 19.91%
P1 59.03% -5.86% 131.51% 2.47% -10.39% 67.03% -7.00% 30.85% 224.73% 34.72% 52.71%
Small P5 130.22% -20.75% 33.77% 10.68% 472.43% 32.35% 39.77% -7.01% 73.47% 45.66% 81.06% -0.5197 Strategy -71.19% 14.89% 97.74% -8.21% -482.82% 34.67% -46.77% 37.86% 151.26% -10.94% -28.35%
P1 59.03% -21.76% 83.88% 1.80% -4.39% 150.99% 14.45% -27.45% 312.92% 125.96% 69.54%
Big P5 130.22% -17.08% 55.59% -9.49% 36.15% 40.11% 7.18% 1.52% 64.10% 64.91% 37.32% 1.1080 Strategy -71.19% -4.68% 28.29% 11.29% -40.55% 110.89% 7.26% -28.96% 248.82% 61.05% 32.22%
Holding Period is 10 month-Equally Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 50.36% 4.82% 51.20% -9.96% 4.82% 32.46% 6.80% -13.52% 50.09% 8.82% 4.82%
All P5 30.39% -13.33% 24.29% 3.34% 19.26% 23.00% -3.58% -10.98% 32.19% 9.21% 19.26% 0.9047 Strategy -9.72% -9.72% 26.91% 10.37% -14.44% 9.46% 10.37% -2.54% 17.90% -0.39% -14.44%
P1 179.64% -2.77% 350.25% 155.18% 33.36% 121.40% -27.52% 6.44% 118.57% 45.68% 98.02%
Micro P5 224.94% -35.32% 197.48% 4.36% 38.41% 25.71% -27.90% -9.77% 54.76% 3.47% 47.61% 2.4189**
Strategy -45.30% 32.55% 152.77% 150.82% -5.05% 95.69% 0.38% 16.22% 63.80% 42.21% 50.41%
P1 55.10% -8.38% 104.57% -6.39% 109.15% 55.16% -19.67% 24.19% 117.38% 46.69% 47.78%
Small P5 132.62% 11.49% 31.32% -3.96% 52.80% 13.50% -39.56% -27.06% 59.29% -9.45% 22.10% 1.7384*
Strategy -77.52% -19.87% 73.26% -2.43% 56.35% 41.66% 19.89% 51.25% 58.08% 56.15% 25.68%
P1 31.05% -21.72% 36.62% 5.17% 18.20% 13.77% -0.92% -11.13% 42.82% 24.40% 13.83%
Big P5 26.56% -17.31% 34.83% 12.26% 28.53% 18.40% -10.63% -15.79% 6.48% -2.86% 8.05% 1.2061 Strategy 4.49% -4.41% 1.80% -7.09% -10.33% -4.63% 9.71% 4.67% 36.33% 27.27% 5.78%
P1 35.96% -41.53% 9.27% 27.61% 117.61% 35.95% -13.85% 2.38% 72.81% 21.20% 26.74%
Micro P5 22.69% -11.43% 182.09% -27.24% -23.82% 4.83% -49.70% -45.90% -22.31% -32.17% -0.30% 1.0208 Strategy 13.28% -30.11% -172.83% 54.85% 141.43% 31.12% 35.85% 48.28% 95.12% 53.38% 27.04%
P1 69.76% -18.74% 26.55% 3.21% 17.95% 13.25% 31.32% 11.79% 44.85% -2.94% 19.70%
Small P5 108.52% -9.63% 20.55% 20.94% -7.33% -7.73% -24.78% -46.71% 7.54% -35.79% 2.56% 1.7029*
Strategy -38.76% -9.11% 6.01% -17.73% 25.28% 20.98% 56.10% 58.50% 37.30% 32.85% 17.14%
P1 14.15% -17.24% 19.10% 8.72% 2.25% 6.27% 12.33% -13.53% 0.99% 14.69% 4.77%
Big P5 23.94% -20.37% 10.89% 9.27% 28.60% 24.99% -7.67% -15.50% 7.74% 12.72% 7.46% -0.6377 Strategy -9.79% 3.13% 8.21% -0.55% -26.35% -18.72% 19.99% 1.98% -6.75% 1.97% -2.69%
Holding Period is 10 month-Value Weighted Group
C1 All Rated
附錄六:持有期間為 10 個月之市值加權投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
55
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 24.33% -6.74% 74.23% 30.99% 60.03% 120.71% 1.65% -20.61% 99.89% 29.44% 41.39%
Micro P5 223.76% -24.62% 223.12% 36.27% 52.53% 6.41% -42.27% -23.02% 27.12% -3.27% 47.60% -0.2041 Strategy -199.43% 17.89% -148.89% -5.28% 7.50% 114.31% 43.92% 2.41% 72.76% 32.72% -6.21%
P1 53.67% 15.67% 89.86% 64.66% 35.65% 97.12% -11.52% -7.79% 86.29% 24.47% 44.81%
Small P5 73.99% -36.94% 52.56% 4.15% 31.60% 13.83% -40.56% -28.35% 53.42% -24.45% 9.92% 3.7567***
Strategy -20.33% 52.61% 37.30% 60.51% 4.05% 83.29% 29.04% 20.56% 32.87% 48.92% 34.88%
P1 83.90% -16.66% 60.00% 1.36% 42.59% 37.23% 7.87% -6.03% 31.38% 16.51% 25.82%
Big P5 127.80% 20.70% 88.76% 1.60% 36.51% 36.10% -21.32% -33.67% 7.90% -1.41% 26.30% -0.2420 Strategy -62.78% -37.37% -28.76% -0.24% 6.08% 1.13% 29.19% 27.64% 23.48% 17.92% -2.37%
P1 168.47% -65.58% 493.37% -39.42% 44.00% 257.82% 3.73% -17.57% 24.21% 17.53% 88.66%
Micro P5 22.24% -50.61% -4.04% 256.43% 149.23% 90.75% -42.79% 27.54% 97.98% 28.24% 57.50% 0.4700 Strategy 146.23% -14.98% 497.41% -295.85% -105.23% 167.07% 46.53% -45.11% -73.77% -10.71% 31.16%
P1 64.49% -12.53% 210.28% -8.55% 8.26% 59.51% -43.88% 8.32% 253.06% 19.07% 55.80%
Small P5 160.39% -27.12% 22.46% 12.27% 331.58% 32.37% -20.51% 1.51% 44.32% 32.35% 58.96% -0.0679 Strategy -95.90% 14.59% 187.83% -20.82% -323.32% 27.14% -23.37% 6.80% 208.74% -13.28% -3.16%
P1 120.56% -14.44% 53.29% 3.85% -12.93% 107.24% 4.29% -34.90% 206.04% 83.16% 51.61%
Big P5 14.57% -16.51% 88.53% -20.51% 43.27% 40.29% 18.50% -1.09% 36.91% 3.94% 20.79% 1.3426 Strategy 105.99% 2.06% -35.24% 24.36% -56.20% 66.95% -14.21% -33.81% 169.13% 79.22% 30.82%
Holding Period is 10 month-Value Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 46.67% -1.61% 38.57% -1.63% 8.58% 101.33% -27.45% -7.80% 64.66% 5.82% 8.58%
All P5 0.41% 0.13% 3.21% 4.24% 24.26% 59.88% -33.13% -4.32% 46.61% 4.20% 24.26% 1.2581 Strategy -1.73% -1.73% 35.35% -5.87% -15.68% 41.46% 5.68% -3.48% 18.05% 1.62% -15.68%
P1 30.47% -14.85% 1.45% 6.49% 9.92% 128.57% -34.03% -5.58% 80.29% 7.85% 21.06%
Micro P5 1.95% -5.17% 10.02% -14.27% 34.08% 89.24% -38.13% -1.11% 68.65% 1.37% 14.66% 1.0485 Strategy 28.52% -9.69% -8.56% 20.76% -24.16% 39.33% 4.10% -4.47% 11.63% 6.48% 6.39%
P1 52.62% -6.72% 24.24% -5.44% 8.42% 88.52% -24.93% -5.22% 76.46% 4.29% 21.22%
Small P5 7.47% -15.18% -8.16% 7.34% 32.90% 53.07% -38.42% -4.34% 74.30% 0.92% 10.99% 1.4752*
Strategy 45.15% 8.46% 32.40% -12.78% -24.48% 35.45% 13.49% -0.88% 2.16% 3.36% 10.23%
P1 58.75% 2.78% 23.33% -3.13% 2.93% 84.65% -22.10% -5.80% 42.15% 15.86% 19.94%
Big P5 -1.20% 9.73% 10.70% 10.60% 19.05% 45.44% -27.93% -7.09% 26.79% 13.58% 9.97% 1.3295 Strategy 59.95% -6.96% 12.63% -13.73% -16.12% 39.22% 5.83% 1.30% 15.37% 2.29% 9.98%
P1 19.38% -13.44% -2.68% 24.00% 6.32% 43.89% -11.44% -2.24% 57.35% 8.97% 13.01%
Micro P5 5.88% 1.51% 11.26% 9.64% 25.11% 50.66% -34.56% -7.17% 25.26% -7.84% 7.97% 0.8994 Strategy 13.50% -14.96% -13.94% 14.36% -18.78% -6.76% 23.12% 4.92% 32.09% 16.81% 5.04%
P1 48.78% 9.63% 16.68% 5.60% 16.49% 61.65% -9.74% 0.15% 56.45% 19.11% 22.48%
Small P5 -14.65% -2.35% 18.65% 23.77% 15.85% 36.60% -30.84% -5.34% 12.52% 16.50% 7.07% 2.0335**
Strategy 63.44% 11.98% -1.97% -18.17% 0.64% 25.05% 21.10% 5.49% 43.93% 2.60% 15.41%
P1 17.64% 8.19% 22.81% 4.43% 22.06% 33.66% -8.84% -10.82% 21.40% 25.56% 13.61%
Big P5 -5.09% 3.07% 16.54% 16.80% 26.95% 29.79% -25.34% 0.99% 23.19% 13.72% 10.06% 0.9704 Strategy 22.73% 5.12% 6.27% -12.37% -4.88% 3.87% 16.50% -11.81% -1.79% 11.84% 3.55%
Holding Period is 1 Year-Equally Weighted Group
C1 All Rated
附錄七:持有期間為 1 年之等權重投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
57
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 29.77% -17.69% -0.20% 14.96% -10.74% 73.37% -32.88% -10.26% 78.98% 12.03% 13.73%
Micro P5 15.64% -12.86% 14.15% -10.79% 19.79% 119.98% -39.82% -2.98% 49.13% -8.42% 14.38% -0.0822 Strategy 14.12% -4.83% -14.35% 25.75% -30.53% -46.61% 6.94% -7.28% 29.85% 20.44% -0.65%
P1 29.77% 3.38% 3.27% -14.55% 16.49% 120.48% -28.41% -3.35% 62.83% 25.52% 21.54%
Small P5 -11.66% -10.65% -15.33% 12.66% 15.85% 51.72% -60.75% -4.10% 82.59% -2.61% 5.77% 1.7310*
Strategy 41.42% 14.03% 18.60% -27.21% 0.64% 68.76% 32.35% 0.74% -19.76% 28.14% 15.77%
P1 49.42% -1.86% 30.44% 4.65% 22.06% 78.35% -19.71% 8.28% 34.52% 14.51% 22.07%
Big P5 -2.82% -2.09% 4.05% 6.94% 26.95% 62.80% -34.67% -14.20% 43.85% 2.58% 9.34% 2.1919**
Strategy 52.24% 0.23% 26.40% -2.30% -4.88% 15.55% 14.95% 22.48% -9.32% 11.93% 12.73%
P1 6.41% -7.34% 3.03% 27.57% -10.74% 241.38% -28.16% -34.53% 65.53% 8.97% 27.21%
Micro P5 37.28% -29.78% 27.80% -26.04% 19.79% 78.83% -35.05% 25.85% 100.73% -9.33% 19.01% 0.4052 Strategy -30.88% 22.44% -24.77% 53.60% -30.53% 162.55% 6.89% -60.38% -35.19% 18.31% 8.20%
P1 90.96% -0.53% 88.26% -18.17% 22.06% 171.54% -38.42% -25.42% 144.82% -10.63% 42.45%
Small P5 82.43% -1.65% 30.45% -9.42% 26.95% 51.83% -43.35% -12.09% 44.37% 0.63% 17.01% 1.6342*
Strategy 8.53% 1.12% 57.82% -8.75% -4.88% 119.71% 4.93% -13.34% 100.45% -11.26% 25.43%
P1 54.43% -4.73% 67.57% -5.30% -10.74% 122.25% -31.27% -22.19% 50.38% 6.35% 22.68%
Big P5 18.14% -5.29% 2.37% -12.89% 19.79% 63.47% -16.36% -6.09% 45.14% 19.50% 12.78% 0.9525 Strategy 36.29% 0.56% 65.20% 7.59% -30.53% 58.78% -14.91% -16.10% 5.24% -13.15% 9.90%
Holding Period is 1 Year-Equally Weighted
C3 Group
C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 38.04% 0.04% 59.27% 0.59% 0.04% 50.16% -12.83% -13.31% 32.26% 0.78% 0.04%
All P5 -1.55% 12.55% 16.50% 12.68% 9.19% 37.68% -22.35% 1.07% 21.02% 8.30% 9.19% 0.5274 Strategy -12.37% -12.37% 42.77% 9.52% -9.16% 12.48% 9.52% -14.39% 11.25% -7.52% -9.16%
P1 23.64% -11.65% 7.21% 10.04% 7.76% 90.74% -43.82% -16.03% 56.17% -9.69% 11.44%
Micro P5 -1.62% -3.83% -6.68% -1.31% 47.48% 77.82% -51.34% 3.85% 44.81% -9.95% 9.92% 0.2488 Strategy 25.26% -7.82% 13.89% 11.35% -39.72% 12.92% 7.52% -19.89% 11.35% 0.26% 1.51%
P1 38.90% -11.09% 23.47% -1.21% 12.80% 82.43% -32.45% 5.53% 49.76% 1.21% 16.93%
Small P5 -47.79% -12.52% -3.60% 14.22% 44.97% 58.38% -41.58% -7.32% 47.22% 5.10% 5.71% 1.1159 Strategy 86.70% 1.43% 27.07% -15.42% -32.17% 24.05% 9.14% 12.85% 2.54% -3.89% 11.23%
P1 25.27% -3.50% 30.72% 6.17% 3.90% 34.74% -14.73% -9.95% 23.49% 11.25% 10.74%
Big P5 -1.24% 5.64% 19.78% 20.13% 16.77% 35.85% -26.30% -2.16% 13.30% 3.29% 8.50% 0.5324 Strategy 26.51% -9.14% 10.94% -13.96% -12.87% -1.11% 11.58% -7.79% 10.19% 7.96% 2.23%
P1 23.28% -13.61% -2.68% 32.23% 2.52% 46.56% -24.45% -3.69% 53.62% 13.91% 12.77%
Micro P5 -6.61% 11.18% 11.26% 19.28% 71.63% 34.94% -42.45% -12.31% 23.06% -10.78% 9.92% 0.2907 Strategy 29.89% -24.78% -13.94% 12.94% -69.11% 11.62% 18.01% 8.62% 30.56% 24.69% 2.85%
P1 47.13% 5.89% 16.68% 0.95% 19.95% 60.45% -2.40% 3.93% 49.16% 17.70% 21.94%
Small P5 -19.99% -1.59% 18.65% 30.70% 9.51% 15.03% -31.58% -11.29% 10.93% 9.36% 2.97% 2.2091**
Strategy 67.12% 7.48% -1.97% -29.75% 10.44% 45.41% 29.18% 15.22% 38.23% 8.34% 18.97%
P1 14.32% -6.36% 20.61% 13.76% 5.00% 21.07% 8.04% -8.25% 14.08% 32.61% 11.49%
Big P5 0.87% 2.47% 11.47% 25.05% 23.83% 41.70% -24.41% -3.65% 12.94% 13.46% 10.37% 0.2042 Strategy 13.45% -8.83% 9.14% -11.29% -18.84% -20.62% 32.44% -4.60% 1.14% 19.15% 1.11%
Holding Period is 1 Year-Value Weighted Group
C1 All Rated
附錄八:持有期間為 1 年之市值加權投資組合
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
59
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Averqage T Statistic
P1 22.80% -11.90% -3.80% 23.04% 31.80% 61.65% -35.22% -6.59% 62.89% 11.16% 15.58%
Micro P5 6.44% -20.62% 16.31% 8.21% 68.84% 75.39% -51.66% -0.90% 32.52% -19.05% 11.55% 0.5703 Strategy 16.36% 8.72% -20.12% 14.83% -37.03% -13.74% 16.43% -5.69% 30.37% 30.21% 4.03%
P1 7.99% 1.49% 5.46% -15.01% 26.76% 130.97% -32.22% -6.40% 54.46% 25.25% 19.87%
Small P5 -19.43% -11.64% -14.15% 22.38% 17.80% 54.95% -47.21% -13.71% 35.11% 5.76% 2.98% 1.9509**
Strategy 27.42% 13.13% 19.61% -37.39% 8.97% 76.01% 14.98% 7.31% 19.36% 19.49% 16.89%
P1 49.67% -8.27% 39.26% 1.36% 11.65% 73.74% -21.06% -8.06% 16.50% 1.69% 15.65%
Big P5 3.72% -15.52% 19.61% 1.60% -3.97% 42.68% -37.11% -16.91% 16.19% 1.49% 1.18% 3.0687***
Strategy 45.95% 7.26% 19.64% -0.24% 15.63% 31.05% 16.04% 8.85% 0.31% 0.19% 14.47%
P1 20.26% -26.21% -4.73% 14.51% 0.22% 257.82% -37.78% -39.89% 29.42% -8.39% 20.52%
Micro P5 13.95% -33.08% 24.84% -20.30% 43.45% 90.75% -47.04% 46.12% 63.14% -18.49% 16.33% 0.1975 Strategy 6.32% 6.88% -29.57% 34.81% -43.23% 167.07% 9.26% -86.02% -33.71% 10.11% 4.19%
P1 77.37% -1.12% 133.74% -4.55% -13.06% 104.24% -54.68% -26.56% 105.49% -14.67% 30.62%
Small P5 73.84% 4.70% 24.62% -0.14% 14.35% 46.65% -46.25% -3.25% 22.62% 2.23% 13.94% 1.0915 Strategy 3.53% -5.82% 109.12% -4.41% -27.41% 57.59% -8.44% -23.30% 82.87% -16.90% 16.68%
P1 33.14% 2.36% 44.32% -1.44% -13.29% 113.08% -23.35% -16.07% 31.23% 6.12% 17.61%
Big P5 -17.46% -5.86% -0.60% -12.96% 42.06% 53.88% -15.25% 6.50% 39.07% -4.84% 8.45% 0.8182 Strategy 50.59% 8.22% 44.92% 11.51% -55.35% 59.20% -8.11% -22.57% -7.84% 10.96% 9.15%
Holding Period is 1 Year-Value Weighted Group
C3 C2
*90%信賴水準下;**95%信賴水準下;***99%信賴水準下
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
60