本文旨在探討「如何從樂透股獲利?」。本研究透過(Lewellen, 2014) Fama-MacBeth迴歸樣本外預測策略對樂透股與高MAX股進行預測。由於樂透股與高MAX股具有高獨特性異質波動(High IVOL)的特性，因此把握住樂透股上漲的時機為其重要。本研究將透過月中最高報酬取代以往的月報酬進行預測，在預測完樂透股與高MAX股的報酬後，再結合停損停利策略解決正偏態所帶來的頻繁的損失。

實證結果發現，將月報酬置換成月中最高報酬，再透過(Lewellen, 2014)的Fama-MacBeth迴歸樣本外預測策以及結合停損停利策略後，確實能從樂透股與高MAX股中獲利，且其報酬遠高於大盤報酬。為了穩健，本篇還透過各種穩健性檢驗對本篇策略進行檢測，最後在這些檢驗下，本篇策略依舊能夠獲利。

The purpose of this article is to explore how to profit from trading lottery-like stocks. Since those stocks usually have high idiosyncratic return volatility, we have to grab the rising-profit opportunities of those stocks. Following Lewellen (2014), this paper proposes trading strategies using the Fama-MacBeth regressions to generate out-of-sample forecasts of the highest within-month returns on lottery-like stocks, instead of their traditional monthly returns based on month-end closing prices. We then accommodate a stop-loss and take-profit strategy to prevent losses due to forecasting errors. Evidence shows that the proposed strategies generate superior returns on lottery-like stocks unexplained by risk premium. Our results still hold under numerous robustness tests.

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 4
第二章 文獻回顧 7
第一節 投資人與賭博行為 7
第二節 樂透股 9
第三節 MAX 10
第四節 停損停利策略 12
第三章 研究方法 13
第一節 資料來源與期間 13
第二節 變數 14
第三節 研究方法 20
第四章 實證分析 27
第一節 樂透股之機率分布圖 27
第二節 敘述性統計表 29
第三節 Fama-MacBeth橫截面迴歸 31
第四節 月中最高報酬之橫截面迴歸 33
第五節 停損後之平均月報酬 35
第六節 停損、月底平倉、停利之報酬分布表 37
第七節 其他樣本停損停利後之平均月報酬 38
第八節 固定停損法之平均月報酬 39
第九節 盈虧比法之平均月報酬 40
第十節 穩健性檢驗 41
第五章 結論 45
第六章 參考文獻 47

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