Does Technical Analysis Improve The Profitability of Asset-Pricing Anomalies in Taiwan Stock Market ?

[[abstract]]在眾多財金研究中，波動度效果及公司規模效果為兩個重要的資產定價異常現象研究標的，過去有許多關於此類異常現象的研究皆以每年形成買入持有之方式做探討，本研究主要探討技術分析工具在此類異常現象中所扮演的角色，我們採用Han et al. (2012)的方式以台灣股市為研究標的，探討結合移動平均指標與波動度效果(或公司規模效果)是否能產生高於買入持有策略之報酬?當同時考慮移動平均指標時，此類異常報酬現象是否會增強?更進一步，根據移動平均指標之交易訊號，以買入最高波動度(公司規模最小)投資組合及賣出最低波動度(公司規模最大)投資組合來建立一零成本的投資策略。整體結果指出，當同時考慮移動平均指標後，以波動度及公司規模所形成投資組合之報酬皆會優於買入持有策略，而當考慮移動平均指標之交易訊號後，會明顯增強此類異常報酬現象之效果。即使在衡量不同天期之移動平均指標、考慮交易成本後、不同樣本期間、加入總體因素及市場擇時能力之穩健性檢定結果亦是如此。[[abstract]]Volatility and size effects are two prominent anomalies in finance literature. Prior literature on the two anomalies typically adopts a buy-and-hold strategy with annual rebalancing. In this study, we investigate the role of technical analysis in the two anomalies. By applying the methodology proposed by Han et al. (2012) to data from Taiwan stock market, we examine whether a combination of the moving-average indicator and the volatility (or size) effect generates higher returns than the traditional buy-and-hold strategy, and whether the two anomalies are strengthened when the moving-average indicator is taken into account. We further propose a zero-cost investment strategy by buying the highest volatility (or smallest size) portfolio and short-selling the lowest volatility (or largest size) portfolio based on the moving average signals. The overall evidence suggests that portfolios formed on volatility and size conditional on moving-average signals generate higher returns than the buy-and-hold strategy. Furthermore, the volatility and size effects are more pronounced when moving-average signals are taken into account. The results are robust to different lag lengths, the consideration of transaction costs, different subsamples, business cycles, and the market timing.[[note]]碩