本研究以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對象，針對1989年7月至2009年6月樣本期間，股票每月報酬和每季盈餘，分別採用隨機漫步模式與AR(1)模式估計預期盈餘，再以個股標準化未預期盈餘（Standardized Unexpected Earning，SUE）為建構盈餘動能組合的依據。研究結果顯示在所有樣本中不管是使用隨機漫步模式或是AR(1)模式，皆可使盈餘動能組合，顯著異於零之平均報酬持續至持有期間K=12個月。另外敏感度分析中依照時間(前期與後期、月份、季節)、市場、產業、規模、週轉率別分割樣本，以檢定盈餘動能效應是否只存在於特定樣本中，結果顯示盈餘動能效應，在控制這些因素之下，仍然持續存在。為了解釋所發現的盈餘動能效應，本研究以共同風險因子、公司特性、動能與經濟狀況去解釋盈餘動能效應，考量上述後，盈餘動能組合平均報酬仍然顯著大於零，其結果顯示盈餘動能效應無法透過共同風險因子、公司特性、總體經濟風險來解釋之。另外參考Jegadeesh and Titman(1993)事件研究法計算累積平均報酬來判斷投資人是否存在反應不足或是過度反應的現象，結果顯是盈餘動能效應可能是由於投資人對盈餘資訊反應不足所致。最後考量交易成本，得知盈餘動能效應並不因為考量交易成本後而消失。

This thesis applies the Taiwan Stock Exchange and OTC securities ordinary shares with the stock returns and quarterly earnings per month for the period of July 1989 to June 2009. This thesis adopts the random walk model and AR (1) model to estimate the expected earnings, then standardized unexpected earnings for the evidence based on earnings momentum portfolio. Empirical results indicate that all samples adopt either random walk model or AR (1) model can apply to the holding period from average returns which significantly different from zero of earnings momentum portfolio continued to 12 months. On the aspect of sensitivity analysis, we split samples according to the time (early and late, months, seasons), market, industry, size and turnover rate to test the earnings momentum effect exists whether only in particular sample or not. The results show that earnings momentum effect under these factors still  
existed. In order to explain the earnings momentum effect found in this thesis, common risk factors, company characteristics, momentum and the economy should be taken into account to explain the earnings momentum effect. We found the average returns of earnings momentum portfolio are still significantly greater than zero, indicate that earnings momentum effect can’t be interpreted by the common risk factors, company characteristics and macroeconomic risk. Moreover, event study method from Jegadeesh and Titman (1993) determine whether the existence of inadequate response or overreaction from investors by the cumulative average returns, the results show that earnings momentum effect attributed to the lack of the investor reaction to earnings information. Finally, we found that the earnings momentum effect doesn’t disappear after the consideration of transaction costs.

目次
目次	I
表目次	II
圖目次	III
第一章 緒論	1
第一節 研究背景與動機	1
第二節 研究目的	4
第三節 研究架構	6
第二章 文獻回顧	8
第一節 投資策略相關文獻探討	8
第二節 盈餘動能相關文獻	12
第三節 動能策略可能的解釋	13
第三章 研究方法	17
第一節 研究期間、樣本資料與來源	17
第二節 標準化未預期盈餘	19
第三節 盈餘動能策略	21
第四章 盈餘動能投資策略績效分析	23
第一節 盈餘動能策略績效分析	23
第二節 敏感度分析	28
第五章 盈餘動能績效之成因	53
第一節 共同風險因子與公司特性	53
第二節 動能與經濟狀況	71
第三節 反應不足或過度反應	79
第四節 市場摩擦	84
第六章 結論	88
參考文獻	93

 
表目次
表3-1　1989/07至2009/06年，本研究所使用的樣本數年統計表	18
表4-1　盈餘動能策略之平均報酬率：全部樣本	26
表4-2　盈餘動能策略之平均報酬率：子樣本期間敏感度分析	30
表4-3　盈餘動能策略之平均報酬率：月份別敏感度分析	33
表4-4　盈餘動能策略之平均報酬率：季節別敏感度分析	37
表4-5　盈餘動能策略之平均報酬率：市場別敏感度分析	40
表4-6　盈餘動能策略之平均報酬率：產業別敏感度分析	43
表4-7　盈餘動能策略之平均報酬率：規模別之敏感度分析	47
表4-8　盈餘動能策略之平均報酬率：週轉率別之敏感度分析	51
表5-1　盈餘動能策略之平均報酬率：單因子模式	55
表5-2　盈餘動能策略之平均報酬率：三因子模式	59
表5-3　盈餘動能策略之平均報酬率：四因子模式	63
表5-4　盈餘動能策略平均報酬率率：規模調整報酬	66
表5-5　盈餘動能策略之平均報酬率：規模/淨值市價比調整報酬	69
表5-6　盈餘動能策略之平均報酬率：依景氣循環區分經濟狀況	73
表5-7　盈餘動能策略之平均報酬率：依市場投資組合報酬區分經濟狀況	77
表5-8　盈餘動能策略之平均報酬率：累積平均報酬	81
表5-9　盈餘動能策略之平均報酬率：考慮市場摩擦	86
 
圖目次
圖1-1　研究架構	7
圖2-1　不同假說下的動能策略	11
圖2-2　動能生命週期	15
圖5-1　隨機漫步模式之累積平均報酬率	83
圖5-2　AR(1)模式之累積平均報酬率	83

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