本文計算個股與對應基準組合的價格偏離，並依價格偏離程度大小進行對沖交易。使用台灣股票市場為樣本，本文發現價格偏離程度與股票未來報酬有顯著正相關。從1995 年2 月到2019 年12 月，價格偏離對沖策略每月平均可獲得0.85%原始報酬與0.91%風險調整報酬，價格偏離對沖策略的累績報酬率是同期間台灣加權指數的4.32 倍，代表價格偏離對沖策略可以有效規避市場風險，達到風險中立的目的。台灣的價格偏離對沖策略在小規模與高淨值市價比股票顯著，但既使控制規模、淨值市價比後，價格偏離對未來報酬仍有顯著的解釋力，此解釋力主要來自於基準組合報酬率的短期動能效果。

This paper calculates return divergence between a specific stock and its benchmark portfolio and conducts pair trading strategy according to the degree of divergence. Using Taiwan stock sample from February 1995 to December 2019, the pair trading strategy generates monthly 0.85% raw returns and 0.91% risk-adjusted returns on average, approximately 4.32 times of TAIEX returns. The findings indicate that the pair trading strategy is market-neutral. The divergence pair trading strategy is profound in small size and high book-to-market ratio stocks. The performance is robust after controlling size and book-to-market ratio. We document that the key factor to explain divergence pair trading performance is the short-term momentum effect of the benchmark portfolio.

價格偏離；配對交易；市場中立；短期反轉；動能

Divergence; Pairs Trading; Market Neutral; Short Term Reversal; Momentum