在國內外實證文獻中，已有許多學者研究市場過度反應的現象，但由採取的研究方法不盡相同，故結論也有所差異．本研究是希望能對台灣股市的個別股票報酬率作一較完整的檢視，先瞭解股票報酬率前後期的相關情形，試圖找出一些一致性，再提出股市交易的策略，並比較策略的獲利性。 將樣本分成對稱與不對稱的形成期及檢定期，採Spearman等級相關係數法先對台灣股市同一股票的報酬率在不同期間（形成期及檢定期）的表現是否有相關作一檢視，接著檢定此相關係數時間序列是否具有隨機的特質，而後將證券交易稅及手續費納入考慮後，比較三種投資策略－買入持有輸家、中間、贏家的獲利性、風險及績效表現。 本文的實證結果：由單位風險報酬率來看，投資股市應以買入有長期的策略才會有較好的績效表現，而買入持有短期的績效是最差的。以不同的樣本期間討論台灣股市是否有價格反彈，結果並不相同。在1980年-1998年的Spearman等級相關係數多為正值，表示市場在288天以下多沒有價格反彈，且以連檢定的結果多為顯著，以Jensen α檢定之，贏家投資策略能獲得超額報酬。在1990年-1998年不論是重覆取樣、未重覆取樣，Spearman等級相關係數，多為負值，表示市場應存有價格反彈的現象，且以連檢定的結果多為顯著，但以Jensen α檢定之，輸家卻無法獲得超額報酬。可能是因為考慮了交易稅與手續費，而影響了投資策略的獲利性。 / There have been many articles discussing overreaction. Because of the difference of methods and samples, the conclusions are different. This thesis tries to make a more complete examination of Taiwan Stock Market. We divide sample period to be formation period and test period which are symmetric and asymmetric. Besides that, we adopt overlapping and nonoverlapping sampling. The sample period is 1980 January 1 to 1998 January 22. Three investment strategies are buying and holding loser portfolio、middle portfolio and winner portfolio. We use Spearman rank correlation to discuss whether the return of Taiwan Stock Market has correlation between formation period and test period. Then we adopt one of nonparameter statitics analysis－run test to examine whether the time series of Spearman rank correlation is a random walk. Following are our summaries： 1.The longer period we hold the stock,the better return we acquire. 2.In the first sample (1980 Jan 1 to 1998 Jan 22), Spearman rank correlation. is almost positive, and the hypothesis of run test is significant. We imply buying and holding the winner portfolio is the best strategy. We can prove this by using Jense α. In this case, buying and holding winner can get excess return. 3.In the second sample(1990 Nov 1 to 1998 Jan 22), Spearman rank correlaion is almost negative, and the hypothesis of run test is signficant. We imply buying and holding the loser portfolio is the best strategy. But we can not prove the by using Jense α. As we can not acqure excess return by buying and holding loser portfolio.

本研究的主要目的，在於探討中國大陸的得獎基金之績效持續性是否存在？本研究利用晨星與理柏兩家國際專業評級機構於2004年至2012年所頒發的中國大陸得獎基金為研究樣本（前者的樣本為41檔基金，後者的樣本為53檔基金），資料來源分別為晨星資訊（深圳）有限公司及新浪網。在分別採用累計淨值報酬率、Sharpe指標作為績效衡量指標，並使用Spearman等級相關檢定、績效二分法與迴歸分析，以驗證中國大陸得獎基金在頒發前後不同期間的績效表現是否具有持續性。研究結果發現，前兩種檢定方法皆呈現基金績效在短期（三個月及六個月）具有持續性，而在長期甚至出現績效反轉的現象。而迴歸模型分析的主要發現為，在控制其他變數後，獲得晨星中國基金獎之基金在短期才具持續性，在一年時出現績效反轉。而獲得理柏中國基金奬之基金，在六個月的評估期間就可能出現績效反轉的現象。 / The purpose of this study is to investigate whether the persistence of awarded funds’ performance exist in China. This study employs awarded funds of MorningStar award and Lipper award in China as the sample provided by Morningstar website in China and Sina website. Using accumulated rate of return and Sharpe index as the measurements of awarded funds’ performance and Spearman’s rank correlation coefficient, two-way table constructed by Goetzmann and Ibbotson (1994) and regression analysis as methodologies to analyze this issue in different before-and-after periods, the primary finding of this study is that the former two methodologies show that the performance persistence of awarded funds exist only in three- and six-month periods, and performance reversal appears in the long-run. According to regression analysis, this study suggests that MorningStar awarded funds might have persistent performance in the short-run, but performance reversal after 1-year period. However, Lipper awarded funds do not have persistent performance, but performance reversal after six-month period.