一般人投資股市，主要是觀察價格與交易量做投資決策。但是價格與交易量真的能反映異常報酬嗎?有待進一步探討。因此，本研究以 2006 年至 2015 年臺灣股票上市公司普通股之股票為主要研究對象。運用 Carhart四因子模型估計異常報酬，探討公司的股價、交易量與異常報酬之間的關係。研究結果發現，股價和公司的異常報酬之間的關係為正向不顯著；但交易量和公司的異常報酬之關係卻是負向顯著；而股價高的群組對公司異常報酬是正向影響，股價低的群組卻對公司的異常報酬呈現負向影響；此外，交易量高的群組對公司的股價呈現正向影響，而交易量低的群組對公司的異常報酬卻是負向影響。
Generally, people investing in the stock market primarily observe price and trading volume to make investment decisions. However, whether price and trading volume truly reflect abnormal returns requires further investigation. Therefore, this study focuses on shares of common stocks of listed firms in Taiwan from 2006 to 2015. The Carhart four-factor model is used to estimate abnormal returns and examine the relationships between a firm’s stock price, trading volume, and abnormal returns. The results indicate that the relationship between stock price and a firm’s abnormal returns is positive but insignificant; however, the relationship between trading volume and abnormal returns is negative and significant. Although in high stock prices group the stock price positively affect the abnormal returns of firms, but in low stock prices group the stock price negatively affect the abnormal returns of firms. Additionally, stocks with high trading volume positively affect the stock price of firms, but stocks with low trading volume negatively affect the abnormal returns of firms.
