[[alternative]]Analysis Based on Systematic Risk and Size: Examples of Investment Portfolio of Publicly Traded Companies in Taiwan

[[abstract]] 本研究採用2000年1月至2020年7月為研究期間，分析台灣上市櫃公司每月報酬資料，依台灣上市公司、電子類股與非電子類股之分類取樣，以公司規模及系統風險(beta)高低，建立投資組合策略，以期獲得超額報酬。本研究結果證實了採用系統風險投資策略時，台灣上市公司分類取樣略存在系統風險變動效應。電子類股分類取樣中，低系統風險投資組合減加權指數略受景氣循環影響。台灣上市公司及電子類股分類取樣中高系統風險投資組合減加權指數略受多空時期影響。[[abstract]] This study uses the beta from the monthly data provided by all listed companies in Taiwan from January 2000 to July 2020, and uses all listed companies, electronic stocks and non-electronic stocks as research samples. Investigation whether there is any excess return in the beta portfolio strategy of monthly beta. The empirical results of this study are as follows: when adopting the beta strategy, according to the sample of all listed companies in Taiwan strategy has a significant impact. Under the economic cycle, with the sample of electronic stocks, the lower beta portfolio strategy minus Taiwan-weighted Index strategy has a significant impact.Under bull and bear index period, with the sample of all listed companies and electronic stocks, the medium and higher beta portfolio strategy minus Taiwan-weighted Index strategy has a significant impact