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系統識別號 U0002-0306201116473700
中文論文名稱 動能投資策略:價格、盈餘和營收
英文論文名稱 Momentum Strategies:Price, Earnings, and Sales
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 99
學期 2
出版年 100
研究生中文姓名 游雅茜
研究生英文姓名 Ya-Chen Yu
學號 698530614
學位類別 碩士
語文別 中文
口試日期 2011-05-06
論文頁數 73頁
口試委員 指導教授-顧廣平
委員-李沃牆
委員-林淑玲
委員-楊馥如
中文關鍵字 動能策略  報酬來源  因子模式 
英文關鍵字 momentum strategy  source of return  factor model 
學科別分類 學科別社會科學商學
中文摘要 本研究檢驗台灣股市是否存在價格動能、盈餘動能和營收動能效應,並探討動能策略彼此的關聯。透過動能策略績效分析,發現台灣存在盈餘動能和營收動能效應,但不具有價格動能效應。為探討價格、盈餘和營收動能三者的關係,本文參考Chordia and Shivakumar (2006)的方法,建構價格動能(WML)、盈餘動能(EPMN)和營收動能(SPMN)等三個動能因子,並運用時間序列法檢定各因子模式。研究結果發現,盈餘動能可用以解釋價格動能之超額利潤,但盈餘動能不完全包含價格動能,而盈餘動能是因營收動能所致。
為了解「動能策略彼此的關聯」是否具有穩定性,故以市場別和產業別進行敏感性分析。首先,價格動能與盈餘動能間,於上市、上櫃和非電子業普通股中,盈餘動能為價格動能的報酬來源,但價格動能卻無法解釋盈餘動能效應,兩動能策略不具雙向關係。其次,價格動能與營收動能間,非電子業的上市普通股,其價格動能會受到營收動能的影響,只具有單向關係。由此可知,價格動能顯然較無法解釋盈餘動能和營收動能之效應。最後,針對盈餘動能和營收動能,發現營收動能較可解釋上市普通股的盈餘動能現象,為盈餘動能效應的來源,但反之盈餘動能卻對營收動能的影響較微弱,無法合理解釋營收動能所獲取之超額利潤。
英文摘要 This paper examines whether price momentum, earnings momentum and sales momentum effect exist in Taiwan stock market, and investigates the relation among momentum strategies. The present study shows that earnings momentum effect and sales momentum effect do exist in Taiwan stock market, while price momentum effect doesn’t. Based on the method proposed by Chordia and Shivakumar (2006), we establish three momentum factors, including price momentum factor (WML), earnings momentum factor (EPMN) and sales momentum factor (SPMN) to investigate the relation among three momentum strategies. The method of time-series is employed to test a variety of factor models. The results show that earnings momentum can explain the excess return of price momentum, but earnings momentum which is caused by sales momentum doesn’t subsume price momentum completely.
To explore the stability of their relation, stocks are classified into two groups based on the nature of market characteristics and industrial characteristics. First of all, earnings momentum is the source of price momentum return on Taiwan Stock Exchange, Gre Tai Securities Market and non-electronic industry. The two-way relationship doesn’t exist between price momentum and earnings momentum. Moreover, price momentum is influenced by sales momentum on Taiwan Stock Exchange and non-electronic industry, but the reverse relation is not presented. Obviously, price momentum cannot explain earnings momentum effect and sales momentum effect. Finally, the empirical evidence indicates that sales momentum interprets earnings momentum of listed firms on Taiwan Stock Exchange. That is, sales momentum can be viewed as the source of earnings momentum effect. On the contrary, earnings momentum has little impact on sales momentum and cannot explain the excess return of sales momentum effectively.
論文目次 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 研究動機與背景 1
第二節 研究目的 4
第三節 研究架構 5
第二章 文獻回顧 7
第一節 價格動能文獻 7
第二節 盈餘動能文獻 10
第三節 營收動能文獻 11
第四節 價格、盈餘、營收動能之互動 13
第三章 研究方法 15
第一節 研究期間、樣本資料與來源 15
第二節 變數定義 17
第三節 動能策略 21
第四章 實證結果與分析 23
第一節 動能策略績效分析 23
第二節 因子溢酬 32
第三節 動能策略關聯性分析 36
第四節 敏感性分析 51
第五章 結論 66
參考文獻 70

表目錄
表3-1 1994/08至2009/12,本研究所使用之各年度樣本數統計表 16
表4-1 價格動能策略之平均報酬(%) 25
表4-2 盈餘動能策略之平均報酬(%) 28
表4-3 營收動能策略之平均報酬(%) 31
表4-4 因子攸關溢酬(%)之敘述統計與相關係數 34
表4-5 不同因子模式之估計與檢定︰價格動能策略 39
表4-6 不同因子模式之估計與檢定︰盈餘動能策略 44
表4-7 不同因子模式之估計與檢定︰營收動能策略 48
表4-8 不同市場下,各因子模式的估計與檢定︰價格動能策略 52
表4-9 不同市場下,各因子模式的估計與檢定︰盈餘動能策略 55
表4-10 不同市場下,各因子模式的估計與檢定︰營收動能策略 57
表4-11 不同產業下,各因子模式的估計與檢定︰價格動能策略 60
表4-12 不同產業下,各因子模式的估計與檢定︰盈餘動能策略 62
表4-13 不同產業下,各因子模式的估計與檢定︰營收動能策略 64

圖目錄
圖1-1 研究架構 6
圖2-1 動能生命週期 9

參考文獻 中文部分
1.王嘉德,2010,盈餘動能:以台灣股市為例,淡江大學財務金融學系碩士論文。
2.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14卷第2期,頁73-109。
3.洪茂蔚、林宜勉、劉志諒,2007,「動能投資策略之獲利性與影響因素」,中山管理評論,第15卷第3期,頁515-546。
4.陳韋廷,2010,從投資者注意力看價格動能與盈餘動能,淡江大學財務金融學系碩士論文。
5.黃怡姿,2009,營收動能策略:以台灣股市為例,淡江大學財務金融學系碩士論文。
6.蕭朝興、尤靜華、簡靖萱,2008,「台灣股市的動能效應投資人的下單策略」,交大管理學報,第28卷第1期,頁131-168。
7.顧廣平,2005,「單因子, 三因子或四因子模式?」,證券市場發展季刊,第17卷第2期,頁101-146。
8.顧廣平,2010,「營收動能策略」,管理學報,第27卷第3期,頁267-289。
英文部分
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