Analysis of Investment Strategies and Return on Sector Stocks in Taiwan

[[abstract]]本文參考Hart et al. (2003)的投資策略，以台灣上市股票紡織纖維、半導體業、金融保險三類股，分別以價值型、規模型、流動性與動能型四種投資策略與不同持有期間之報酬進行檢驗，分析探討各類股票適合之投資策略，以提供投資人決策參考。 實證結果發現：半導體類股可參考短期(3個月以上至6個月以下)價值型策略(益本比與市價淨值比)，一個月以上流動性策略與動能型策略；紡織纖維類股可參考短期3個月以上市價淨值比策略，9個月以上規模型策略，1、3、6、24個月流動性策略與動能型策略；金融保險類股可參考短期3個月以上市價淨值比策略，9個月以下流動性策略與動能型策略。文中並說明其經濟直覺。 其中，動能型投資策略對本研究之三種類股大多呈現顯著報酬，並建議長期投資持有應以長期月報酬率做為選股參考。 In investing theory, many investment strategies can help investors make better judgment. In this research, the investment strategies proposed by Hart et al. (2003) are applied and examined. The purpose of this research is to amend the understanding of the linkages between excess returns and the four strategies: value, momentum, size, and liquidity strategies in the Taiwan listed stock market. Specifically, three sector stocks, textile fibers, the semiconductor industry, finance and insurance, are chosen. Monthly data from January 2003 to December 2013 is used. The empirical results suggest as following: while investing in Semiconductor stocks, the Value Strategy such as E/P ratio and P/B ratio to hold 3 to 6 months period, Liquidity strategysuch as turn over ratio to hold one month, and Momentum strategy showed significant returns. While investing in textile fibers stocks, the P/B ratio strategy to hold more than 3 months period, Size strategy to hold more than 9 monthsperiod, liquidity strategy to hold 1,3,6,24-month period, and Momentum strategy showed significant return. While investing in financial and insurance stocks, the P/B ratio strategy to hold more than three months period, Liquidity strategy to hold under 9 months, and momentum strategy showed significant return. Some economic intuition and implication are drawn. In sum, an option being considered intelligent if holding stocks when momentum strategy is applied. Also, this research suggests that long-term selection strategy can be reference to long-term investment