本研究主要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，以個股標準化未預期營收(standardized unexpected sales, SUS)為建構投資策略之依據，針對1993年7月至2008年6月間，股票之每月營收及每月報酬資料進行分析。研究結果顯示，使用全部樣本之營收動能策略，可形成使投資人獲利之贏家組合及動能組合，其中以單月營收(1M)建構之動能策略，較能得到穩定且顯著大於零之平均報酬。另外，經由敏感度分析發現，市場別(上市及上櫃樣本)及產業別(電子股及非電子股樣本)皆存在動能效應，且獲利之來源主要為贏家投資組合，故動能效應對其皆不具敏感度。但若將樣本期間分割為前半段及後半段，則營收動能效應似乎會受到期間不同之影響。另外，不論將樣本分割及期間分割之動能組合之平均報酬，皆隨著持有期間(K)越長，呈現逐漸遞減的趨勢。
為探討動能平均報酬存在可能之因，透過Jensen’s α績效指標，發現風險似乎無法解釋為何存在營收動能效應。另外，以行為財務理論角度來看，發現投資人的反應不足是導致營收動能效應的主要原因。最後，考慮市場摩擦後，台灣股市仍存在可獲利之營收動能效應。

This study uses sales information each calendar month and calculates standardize unexpected sales to establish investment strategies in Taiwan stock exchange market from July 1993 to August 2008. The results reveal that sales momentum strategies could make significant positive returns, especially the strategies established by formation period in recent month（1M）sales. The sensitive analysis find the market exist sales momentum, except the research period division. Besides, the average returns of sales momentum portfolios would be decline by longer holding period.
In order to explain the average returns of sales momentum portfolios, we find market risks seem could not explain why the sales momentum effects exist. If we consider the finance behavior, we find average returns of sales momentum portfolios are due to the market's underreaction to information. However, when we consider market friction, the average returns of sales momentum portfolios still exist in the market.

目錄
誌謝辭...................................................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..............................................3
　第三節
　　研究架構..............................................4
第二章 文獻探討...........................................6
　第一節
　　動能投資策略相關文獻探討..............................6
　第二節　
　　反向投資策略相關文獻探討.............................12
　第三節　
　　影響動量、反向策略投資利潤的重要因素.................18
第三章 研究方法..........................................26
　第一節
　　研究資料.............................................26
　第二節
　　標準化未預期營收衡量方法.............................27
　第三節
　　動能投資策略之形成...................................30
　第四節 
　　動能策略績效之計算...................................31
第四章 營收動能策略之績效分析............................33
　第一節
　　營收動能策略之績效分析...............................33
　第二節
　　敏感性分析...........................................39
第五章 營收動能效應之成因................................50
　第一節
　　風險.................................................50
　第二節
　　行為財務理論.........................................55
　第三節
　　市場摩擦.............................................63
第六章 結論..............................................67
參考文獻.................................................70

表目錄
表3-1 1993/07~2008/06年，本研究所使用之樣本數統計表.........................27
表4-1 營收動能投資策略之平均報酬(%)：全部樣本....................................37
表4-2 營收動能投資策略之平均報酬(%)：上市、上櫃別..............................41
表4-3 營收動能投資策略之平均報酬(%)：產業別…....................................44
表4-4 營收動能投資策略之平均報酬(%)：期間分割....................................48
表5-1 營收動能投資策略之Jensen’s α值(%)：全部樣本..............................53
表5-2 營收動能組合持有1至60個月之平均報酬及累積平均報酬............58
表5-3 營收動能投資策略之平均報酬(%)：考慮交易成本與交易限制........65

圖目錄
圖1-1  研究架構..........................................................................................................5
圖2-1  不同假說下的動能利潤................................................................................10
圖2-2  動能生命週期................................................................................................21
圖5-1  營收動能組合累積平均報酬：隨機漫步模式..............................................60
圖5-2  營收動能組合累積平均報酬：AR(1)模式....................................................61
圖5-3  J=RW(1M)/K=1~60之輸家(R1)、贏家(R5)、動能(R5-R1)組合之平均報酬
       ........................................................................................................................62

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