本文使用台灣證券交易所上市公司及中華民國證券櫃檯買賣中心上櫃之普通股為研究樣本，研究期間為1992年1月至2009年12月，合計204個月，並且參考Cooper, Gutierrez, and Hameed(2004)的作法，對市場狀態分類，分割成多頭市場之後(即前12個月市場持有報酬為正值者，計126個月)與空頭市場之後(即前12個月市場持有報酬為負值者，計78個月)，並提出可檢定過度反應理論之假說一：「多頭市場之後，營收動能之短期價格延續與長期價格反轉程度大於空頭市場之後。」去檢驗投資人於持有部位長短期下營收動能策略的投資績效。
結果顯示在多頭市場之後，營收動能之短期價格延續與長期價格反轉程度都大於空頭市場之後，此亦證明是投資人過度反應導致營收動能效應，以致其後價格修正反轉。而此結論亦與Gutierrez, and Hameed(2004)價格動能之結論相當類似。

This papper uses Taiwan stock exchange market's common stock as research sample. This research study data were collected from January 1992 to December 2009, for 204 months and take the methods of Cooper, Gutierrez and Hameed(2004) as a reference, this paper classified the market states into the after the up market(which refer to that if the remuneration held by the market is positive in the former 12 months, it can be counted as 126 months) and after the down market(which refer to that if the remuneration held by the market is negative in the former 12 months, it can be counted as 78 months). After that, one of the hypotheses which can verify the overreaction theory will be put forward, that is, after the up market, the short-term price continuation and the long-term price reversal degree of the sales momentum are greater than those after the down market. Then, the investment performance of the short-term and long-term sales momentum strategies in the position held by the investors will be tested.
The results show that, after the up market, both the short-term price continuation and the long-term price reversal degree of the sales momentum are greater than those after the down market, which also verify that the investors overreaction will result in the sales momentum effect and lead to the reverse of the price correction. This conclusion is also quite similar with Gutierrez and Hameed’s(2004) results about the price momentum.

目錄
謝辭…………………………………………………………………………………Ⅰ
中文摘要……………………………………………………………………………Ⅱ
英文摘要……………………………………………………………………………Ⅲ
目錄…………………………………………………………………………………Ⅳ
表目錄………………………………………………………………………………Ⅴ
圖目錄………………………………………………………………………………Ⅵ
第一章 緒論…………………………………………………………………………1
    第一節 研究背景與目的………………………………………………………1
    第二節 研究架構………………………………………………………………3
第二章 文獻探討……………………………………………………………………6
    第一節 營收動能策略相關文獻………………………………………………6
    第二節 行為財務學相關文獻…………………………………………………8
    第三節 市場狀態與動能策略相關文獻………………………………………11
第三章 研究方法……………………………………………………………………14
    第一節 研究假說………………………………………………………………14
    第二節 研究期間、 樣本資料與來源…………………………………………16
    第三節 變數定義………………………………………………………………17
    第四節 營收動能策略…………………………………………………………18
    第五節 基準報酬與因子模式…………………………………………………19
第四章 實證結果與分析……………………………………………………………22
    第一節 營收動能策略之長短期投資績效……………………………………22
    第二節 因子模式………………………………………………………………28
    第三節 特性調整報酬…………………………………………………………34
    第四節 迴歸分析………………………………………………………………39
第五章 結論…………………………………………………………………………43
參考文獻……………………………………………………………………………45

表目錄
表 4-1營收動能策略之累積平均報酬：原始報酬…………………………………26
表 4-2營收動能策略之累積平均績效：單因子模式………………………………31
表 4-3營收動能策略之累積平均績效：三因子模式………………………………32
表 4-4營收動能策略之累積平均規模調整報酬：規模基準………………………36
表 4-5營收動能策略之累積平均規模/淨值市價比調整報酬：規模/淨值市價比基準 …………………………………………………………………………………37
表 4-6營收動能策略之累積績效對市場前12個月持有報酬之迴歸分析統計表
………………………………………………………………………………………41

圖目錄
圖 1-1論文研究流程圖：……………………………………………………………5
圖 4-1營收動能策略之累積平均報酬趨勢圖：原始報酬…………………………27
圖 4-2營收動能策略之累積平均績效趨勢圖：三因子模式………………………33
圖 4-3營收動能策略之累積平均調整規模/淨值市價比報酬趨勢圖……………38

一、中文文獻
1.	丁碧惠、曾家齊，2005。市場狀態與動能投資策略績效關聯性之研究，台灣金融財務季刊，第六輯第四期，1-19。
2.	甘逸偉，2001。台灣股市動能策略與過度反應之整合研究，國立成功大學企業管理學研究所碩士論文。
3.	李春安、羅進水、蘇永裕，2006。動能策略報酬、投資人情緒與景氣循環之研究，財務金融學刊，第十四卷第二期，73-109。
4.	吳銘霖，2008。盈餘動量與價格動量策略於不同市場狀態之績效分析，國立中央大學企業管理研究所碩士論文。
5.	胡秋嬋，2009。動能策略與交易量於多空頭市場之實證研究，國立中山大學財務管理學系研究所碩士碩士論文。
6.	黃怡姿，2009。營收動能策略：以台灣股市為例，私立淡江大學財務金融學研究所碩士論文。
7.	陳韋廷，2010。從投資者注意力看價格動能與盈餘動能，私立淡江大學財務金融學研究所碩士論文。
8.	莊閔巖，2012。市場狀態、動能與因子報酬，私立義守大學財務金融學研究所碩士論文。
9.	戴淑婷，2009。動能策略之統計套利-市場趨勢驗證，私立淡江大學財務金融學研究所碩士論文。
10.	顧廣平，2010。營收動能策略，管理學報，第二十七卷第三期，267-289。
11.	顧廣平，2013。產業營收動能策略，管理資訊計算，第2卷第1期，92-104。

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12.	Daniel, Kent, and Sheridan Titman, 1997. Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance 52, 1–33.
13.	Fama, E. F. and K. R. French, 1996. Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51(1), 55-84.
14.	Foster, G. 1977, Quarterly Accounting Data: Time-Series Properties and Predictive-Ability Results, The Accounting Review, 52(1), 1-21.
15.	Foster, G., C. Olsen and T. Shevlin 1984. Earnings Releases, Anomalies, and the Behavior of Security Returns, The Accounting Review, 59(4), 574-603.
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18.	Hong, Hong, and Jeremy Stein, 1999. A unified theory of underreaction, momentum trading, andoverreaction in asset markets, Journal of Finance 54, 2143–2184.
19.	Hameed, A. and Y. Kusanadi, 2002. Momentum Strategies: Evidence from the Pacific Basin Stock Markets, Journal of Financial Research, 25(3), 383-397.
20.	Hou, K., L. Peng and W. Xiong, 2009. A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum, Working Paper, Ohio State University.
21.	Jegadeesh, N. and S. Titman, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 48(1), 65-91.
22.	Jegadeesh, N. and S. Titman, 2001. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, Journal of Finance, 56(2), 699-720.
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24.	Levy, R., 1967. Relative Strength as a Criterion for Investment Selection, Journal of Finance, 22(4), 595-610.
25.	Moskowitz, T. J. and M. Grinblatt, 1999. Do Industries Explain Momentum? Journal of Finance, 54(4), 1249-1290.
26.	Rouwenhorst, G. K., 1998. International Momentum Strategies, Journal of Finance, 53(1), 267-284.
27.	Rouwenhorst, G. K., 1999. Local Return Factors and Turnover in Emerging Stock Markets, Journal of Finance, 54(4), 1439-1464.