| Summary: | 碩士 === 銘傳大學 === 管理研究所 === 97 === The goal of this study mainly investigates the existence of long-term and short-term abnormal returns on the Taiwan listed stocks. This study examines the overreaction, underreaction, and efficient market hypotheses respectively in the market based on the market-adjusted returns model of cumulative abnormal return（CAR） and buy-and -hold return return（BHR）. The sample period is from December 1, 2001 to June 30, 2008 .
The empirical findings indicate that the short-term and long-term reactions are not the same. Firstly, the contrarian strategies can earn positive return in the long-tern. Secondly, the momentum strategies can earn positive return in the shot-term. Finally, in the financial insurance stocks, both the CAR and BHR of contrarian strategies can earn positive excess returns in the long-tern. The CAR of momentum strategy can earn positive excess returns in the shot-term, but the BHR of momentum strategy can’t. On the others hand, in the electronic stocks and other stocks, both the CAR and BHR of the contrarian and momentum strategies can not earn positive excess returns.
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