本文以事件研究法，使用2010年至2023年間台灣50指數與台灣中型100指數的變動成份股資訊，分析成份股宣布變動以及實際生效變動時，是否會對該個股產生異常報酬。對於追求資金嚴謹運用與投資效率的專業投資人來說，單純追求異常報酬並不足以達到他們的要求。當資金龐大時，風險控管更加重要，且考慮到投資人對風險的看法存在不對稱性，因此本文在實務上建構了一個投資策略，引入下行風險的概念，並以投資指標索汀諾比率及上行潛在比率評估交易策略的成效，並與傳統的風險衡量指標夏普比率進行比較。
研究結果顯示，在指數成份調整的宣布日後三個交易日內，宣布移除及宣布新增之股票均出現顯著的負向累積平均異常報酬(CAAR)。此外，在生效日後，移除成份股於事件後60個交易日內呈現顯著的正向累積平均異常報酬，而生效日新增之成份股則顯示負向顯著之累積平均異常報酬。
為了探討在生效事件中影響異常報酬的重要因素，本研究採用了橫斷面分析方法，包含市值、Tobin’s Q、股東權益報酬率和財務槓桿等變數，並考慮固定效應。分析結果顯示，這四個變數在成份股移除和新增的生效事件中，表現出截然不同的反應。
另外，本研究經實務驗證後發現，僅在針對台灣50指數移除成份股進行多頭操作時，投資人才能實現顯著的獲利。本研究進一步提出一種混合型策略，結合元大台灣卓越50基金與變動成份股操作，並以風險調整後指標，與單純買進並持有元大台灣卓越50基金的策略進行比較。結果顯示，混合型策略在3年與5年的平均績效表現，均優於單純持有元大台灣卓越50基金的策略。

This study uses the event study methodology to analyze the impact of changes in the component stocks of the Taiwan 50 Index and Taiwan Mid-Cap 100 Index from 2010 to 2023. Specifically, it examines whether abnormal returns occur upon the announcement and implementation of changes in index components. For professional investors who prioritize efficient capital utilization and investment effectiveness, merely pursuing abnormal returns may not suffice. With larger capital allocations, risk management becomes increasingly crucial. Given the asymmetry in investors' perceptions of risk, this study incorporates the concept of downside risk into practical investment strategies. It evaluates the effectiveness of these strategies using Sortino Ratio and Upside Potential Ratio as performance metrics, comparing them to the traditional risk-adjusted measure, the Sharpe Ratio.
The findings reveal that within three trading days after the announcement of index changes, both stocks removed from and added to the indices exhibit significant negative cumulative average abnormal returns (CAAR). Furthermore, after the effective date, removed stocks show significant positive CAAR over the subsequent 60 trading days, while newly added stocks display significant negative CAAR during the same period.
Additionally, practical validation demonstrates that significant profits can only be realized when executing long positions on stocks removed from the Taiwan 50 Index. This study also proposes a hybrid strategy combining the Yuanta Taiwan Top 50 ETF and the changing component stocks of the Taiwan 50 Index. When compared to a straightforward buy-and-hold strategy for the Yuanta Taiwan Top 50 ETF, the hybrid strategy, evaluated using risk-adjusted metrics, outperforms the fund in terms of average performance over three- and five-year periods.

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