本研究旨在探討台灣樂透型股票是否能夠在預期市場波動性增加時幫助投 資人進行避險，以 2007 年至 2022 年臺灣上市櫃公司為研究樣本，證實台灣股 市小型股具備顯著 MAX 效應，即上個月曾有過較大單日漲幅紀錄之股票，會 在次月股價報酬率表現較差。參考Barinov (2018) 的作法，本文透過模擬投資組 合(Factor Mimicking Portfolios)方式來追蹤臺指選擇權波動率指數(TAIWAN VIX )每日變動率，創建可交易的因子，即為 FVIX 因子，來反映市場上的避險 資產組合，並將其加入至常用的因子模型當中。實證結果顯示，FVIX 因子能夠 有效解釋小型股 MAX 效應，因此樂透型股票存在之負異常報酬可視為投資者 所承擔之避險成本，與行為財務學中對 MAX 效應成因的解釋不同。由此可見， MAX 效應不單純是非理性投資人行為偏誤導致的非效率現象，樂透型股票可讓 投資人降低預期的市場系統性風險，為該異象於台灣股票市場提出全新的理性 避險觀點。

This study examines whether Taiwan lottery-like stocks are hedging vehicles against unexpected increases in market volatility. Using the data of listed firms on the Taiwan Stock Exchange (TSE) and Taiwan Over-The-Counter (OTC) from 2007 to 2022, we first confirm the statistical significance of the MAX effect in the Taiwan stock mar- ket, particularly among small-cap stocks. Stocks with high daily returns over the past month day tend to have lower expected stock returns in the following month. Second, following Barinov (2018), we form tradable Factor Mimicking Portfolios to track the daily changes of TAIWAN VIX. The resulting FVIX factor provides a hedge against fluctuations. Finally, we incorporate the FVIX factor into commonly used empirical pricing factor models. The empirical results support the role of FVIX factor in explain- ing the MAX effect in small-cap stocks. In other words, the negative alpha associated with the MAX effect of lottery-like stocks are not anomalies but rather the insurance costs incurred by investors seeking protection against unexpected market fluctuations. Therefore, this study suggests that the explanation of the MAX effect observed in Tai- wan is not restricted to the inefficient outcome of irrational investing behavioral bias. These lottery-like stocks in fact provide hedges against market volatility, thus offering an alternative rational insurance interpretation to their negative abnormal returns.

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