本研究參考Jegadeesh and Titman(1993)的動能策略模式，使用台灣證券交易所上市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1989年7月至2009年6月，總計240個月，用來檢定兩個與投資人注意力(investor attention)有關之假說，假說一為成交量週轉率越高(即愈受投資人注意)的股票，其應該存在愈強之價格動能與較弱之盈餘動能；反之，成交量週轉率越低(即愈不受投資人注意)的股票，其應該存在愈強之盈餘動能與較弱之價格動能。假說二指出在多頭市場，應該存在愈強之價格動能與較弱之盈餘動能；反之，在空頭市場，應該存在愈強之盈餘動能與較弱之價格動能。
　　檢定結果似乎符合假說一，即高成交量週轉率(或受投資人注意)之股票，其價格動能績效顯著優於低成交量週轉率(缺乏投資人注意)之股票，但是不存在統計顯著之價格動能；而盈餘動能則沒有獲得支持假說一之證據，但是存在顯著之盈餘動能效應。至於，假說二檢定結果顯示無論是價格動能或盈餘動能，都沒有獲得支持多頭市場應該存在愈強之價格動能，亦沒有顯示空頭市場存在愈強之盈餘動能。

This essay takes Jegadeesh and Titman(1993)’s momentum strategy as a reference, and uses Taiwan stock exchange market's common stock as research sample. This research study data were collected from July 1989 to June 2009, for 240 months. The result is used to test two hypotheses about investor attention. The first hypothesis said that stocks which have higher trading volume turnover(higher investor attention), should exist stronger price momentum and weaker earnings momentum; on the other hand, stocks which have lower trading volume turnover(lower investor attention), should exist stronger earnings momentum and weaker price momentum. The second hypothesis said that stronger price momentum and weaker earnings momentum should exist in up market; on the other hand, stronger earnings momentum and weaker price momentum should exist in down market.
The result of the test likely prove the first hypothesis, which shows that high trading volume turnover stock’s price momentum has better effects than low trading volume turnover stock. However, there is no significant price momentum exist. Earnings momentum doesn’t have any evidence to support the first hypothesis, but significant earnings momentum effect exists. As for the second hypothesis, its result shows price momentum and earnings momentum don’t support neither up market exists stronger price momentum nor down market exists stronger earnings momentum.

誌謝辭..............................................Ⅰ
中文摘要............................................Ⅱ
英文摘要............................................Ⅲ
目錄................................................Ⅳ
表目錄..............................................Ⅴ
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	  研究架構與流程............................5
第二章 文獻回顧......................................6
第一節	  動能策略相關文獻..........................6
第二節	  投資者注意力與動能策略文獻...............13
第三章 研究方法.....................................15
第一節	  研究假說.................................15
第二節	  研究期間、樣本資料與來源.................18
第三節	  變數定義.................................19
第四節	　動能策略.................................23
第四章 實證結果與分析...............................25
第一節	  動能策略績效分析.........................25
第二節	  成交量週轉率與動能策略績效...............30
第三節	　市場狀態與動能策略績效...................40
第五章 結論.........................................53
參考文獻............................................55

表目錄
表4.1 價格動能及控制盈餘動能之價格動能平均報酬(％) ......28
表4.2 盈餘動能及控制價格動能之盈餘動能平均報酬(％) ......29
表4.3 價格動能及控制盈餘動能之價格動能平均報酬(％)：控制成交量週轉率.................................................32
表4.4 盈餘動能及控制價格動能之盈餘動能平均報酬(％)：控制成交量週轉率.................................................37
表4.5 價格動能平均報酬(%)：多頭與空頭(24個月) ...........43
表4.6 價格動能平均報酬(%)：多頭與空頭(36個月) ...........45
表4.7 盈餘動能平均報酬(%)：多頭與空頭之後(24個月) .......49
表4.8 盈餘動能平均報酬(%)：多頭與空頭之後(36個月) .......51

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。
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4.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，第十五卷第三期，515-546。
5.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。
6.蕭朝興、尤靜華、簡靖萱，2008。台灣股市的動能效應與投資人的下單策略，交大管理學報，第二十八卷第一期，131-168。
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