本研究利用De Bondt與Thaler(1985)的反向操作策略(Contrarian strategy)模式為基礎，針對台灣上市公司26年月資料執行反向操作策略之獲利性因素探討。首先形成贏家投資組合與輸家投資組合，計算各組合持有期時間之超額報酬；其次挑選出執行反向操作策略策動之投資組合項目，再加入最常用的市場風險、規模效應、帳面市值比三因子模式外，另外也加入最重要的八項總體經濟變數，分析總體經濟對反向操作策略獲得超額報酬之影響性。再者金融市場全球化及訊息快速傳遞，金融危機事件的蔓延效果對全球經濟連動影響緊密，故加入金融危機事件探討其對反向操作策略獲利性之影響。 實證結果發現，投資者可利用反向操作策略並長期持有(24至36個月)，其所帶來的超額報酬最具顯著性。其中在三因子模式中選取高帳面市值比公司時，能獲得更多的反向報酬。總體經濟變數中的海關出口、貨幣供給M1b與金融危機事件具有正值顯著性影響；領先指標、重貼現率、消費者物價指數具有負值顯著性影響。金融危機事件對持有時間24個月之長期投資組合能獲得超額報酬。網路泡沫化(Internet bubble)事件對各投資組合具有高度相關性，可能是台灣與美國產業關係密切或全球化導致的蔓延效應讓結果更具顯著性。 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.
