Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92711
標題: 樂透股樂透了嗎?以台灣股市為例
Will Lottery Stocks Investment Be A Winning Bet? the Evidence from Taiwan Stock Market
作者: Huei-Chen Lai
賴慧真
關鍵字: Lottery Stocks;樂透股
引用: 林玄通(2002)。臺灣股票市場之低價股效應。碩士論文,朝陽科技大學財務金融研究所。 彭添得(2013)。價值型與成長型投資風格於台灣股票市場實證。國立政治大學商學院經營管理碩士學程國際金融組碩士論文。 廖理、梁昱 (2013) 。中國股票市場中博彩型股票的未來收益研究。 翁霓、劉維琪與陳隆麒(1995)。投資績效分析:低價股效果及小股本效果之實證研究。管理科學學報。335-359。 Barhandari, L.C., 1988. Debt/equity ratio and expected common stock returns: Empirical evidence. Journal of finance, 43, 507-528. Conrad, J., and Kaul, G., 1993. Long-term market overreaction or biases in computed returns? Journal of Finance, 48, 39-63. Chin-Shui, Lo , 2012. Lottery stocks in the Taiwan stock market. 2012 Northeast Decision Sciences Institute 41 Annual Meeting , Apr. 2012 Kumar, A., 2009, Who gambles in the stock market? Working Paper. Vokata, P., 2012. Gambling in stock markets: Empirical evidence from Europe. Working paper.
摘要: 
本研究以台灣上市櫃公司為樣本,探討樂透股投資組合的表現是否能為投資人帶來優於大盤的報酬。研究方法中,參照Kumar(2009)提出的樂透股選取方式,將每年篩選出來的樂透股建構成樂透股投資組合,然後與台灣加權指數的報酬率比較。實證結果發現:(1) 樂透股投資組合的投資表現優於大盤,但是波動率也較大盤來的大;(2)樂透股投資組合持有半年的表現優於持有一年及三年期,但是波動率相對也較大;(3) 樂透股公司的倒閉風險大於其它上市櫃公司。

This paper examines whether the lottery stocks investment outperforms the Taiwan Stock Exchange Index. I follow Kumar's (2009) apparoach to choose lottery stocks. Empirical findings are as follows: (1) the lottery stocks investment outperforms the Taiwan Stock Exchange Index and has higher volitility; (2) the 6-month investment horizon outperforms the 1-year and 3-year investment horizons and has higher volitility; (3) the bankruptcy probability of lottery stocks is higher than other listed stocks.
URI: http://hdl.handle.net/11455/92711
其他識別: U0005-1606201521205200
Rights: 不同意授權瀏覽/列印電子全文服務
Appears in Collections:高階經理人碩士在職專班

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