本文參考Jegadeesh(2006)年使用之標準化未預期盈餘動能策與其過去提出之價格動能策略，分別以過去半年累計報酬與過去兩年盈餘建構價格動能因子(PM)與盈餘動能因子(EM)，應用於台灣股票市場進行績效回測，並檢驗台灣股票市場是否實際存在價格動能效應與盈餘動能效應，即過去高報酬率之個股在未來仍然維持高報酬，與過去盈餘成長之企業是否能延續原有盈餘成長趨勢推動市值上揚，並也使用Fama and French(1992, 2015)之三因子模型與五因子模型，加入景氣因子來檢驗可否解釋動能因子之是否出現異常報酬，這些景氣因子包含匯率、景氣領先指標、GDP年增率、貨幣供給M1B年增率、採購經理人指數，對價格動能因子與盈餘動能因子以時間序列法進行因子模型分析，期望瞭解動能因子之強弱是否受到景氣因子影響，最後透過以景氣對策信號將樣本進行劃分，以此瞭解不同景氣循環下之動能效應。研究結果證明，在台灣股票市場以上市櫃股票為標的，價格動能策略以過去半年累計報酬進行建構時，將擁有最佳持有期為五個月；根據過去兩年之盈餘建構盈餘動能策略時則會出現盈餘驚喜效應，以持有期一個月時有最佳報酬。使用因子模型來解釋動能效應則發現，盈餘動能可以解釋價格動能效應，而加入景氣因子的因子模型則可對兩者的解釋力有所提升，顯示動能效應的確受到景氣因子所影響。而根據景氣對策信號劃分後，發現景氣衰退時期之動能報酬較易受到解釋，而景氣擴張時期確實出現更為強勁與難以解釋的價格動能與盈餘動能。

This article refers to the standardized unexpected earnings momentum  strategy and the price momentum strategy proposed in the past by Jegadeesh(2006). The price momentum factor and the earnings momentum factor are constructed respectively based on the cumulative return of the past six months and the earnings of the past two years. Perform performance testing in the Taiwan stock market and test whether there are actually price momentum effects and earnings momentum effects in the Taiwan stock market. For the more, whether high return stock in the past will still maintain high returns in the future, and whether companies with past earnings growth can continue the original Earnings growth trends drive market value up.
This article also uses Fama and French(1992, 2015) three-factor model and five-factor model to add prosperity factors to test whether the momentum factor can explain whether there is abnormal return. These prosperity factors include exchange rate and Leader Indicator, GDP’s growth rate, money supply M1B growth rate, Purchasing Managers Index (PMI).
The results of the study prove that when the price momentum strategy have best holding period of five months when the strategy constructed based on the cumulative return of the past six months.  Then the earning momentum strategy constructed based on earning of past two year will have best holding period is one month and found earning surprise effect.
    This study found that the price momentum can explained by earning momentum, and the factor model can explain more both momentum effect when prosperity factor added to the model. It prove momentum effect actually be effected by prosperity factor. According to signal of economic countermeasure, the study found that the momentum of economic recession period is easy to explained than economic expansion period, and the economic expansion period actually have more powerful price momentum and earning momentum.

目錄
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..........................................3
第三節﹑研究步驟與方法....................................4
第二章	文獻回顧..................................................5
第一節﹑因子模型文獻......................................5
第二節﹑價格動能文獻......................................8
第三節﹑盈餘動能文獻.....................................10
第四節﹑價格動能、盈餘動能、景氣關聯性文獻...............11
第三章	樣本與研究方法...........................................13
第一節﹑研究樣本.........................................13
第二節﹑變數設計.........................................15
第三節﹑分析方法.........................................18
第四章	實證結果.................................................22
第一節﹑價格動能投資策略之報酬績效.......................23
第二節﹑盈餘動能投資策略之報酬績效.......................25
第三節﹑因子之相關性分析.................................27
第四節、模型之關聯性分析.................................31
第五節、不同景氣循環週期下之因子變動.....................44
第五章	研究結論與建議...........................................52
第一節﹑研究結論.........................................52
第二節﹑研究建議.........................................54
第六章	參考文獻.................................................55
第一節﹑國內參考文獻.....................................55
第二節﹑國外參考文獻.....................................56

表目錄
表1-1歷年個股資料家數.....................................14
表4-1價格動能策略報酬率...................................24
表4-2盈餘動能策略報酬率...................................26
表4-3因子溢酬與景氣因子變動率之敘述統計之相關係數.........30
表4-4價格動能與多因子模型.................................34
表4-5盈餘動能與多因子模型.................................40
表4-6不同景氣週期下之價格動能因子與多因子模型.................45
表4-7不同景氣週期下之盈餘動能因子與多因子模型.................49

國內文獻
1.	李春安、羅進水與蘇永裕(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，14卷2期，頁73-109。 
2.	張巧宜、余慈瑋(2008)，台灣股票市場動能價值效果與動能規模效果之探討，中原企管評論，9卷1期，頁117–136。
3.	邱俞華(2006)，中長期動能策略之研究：以台灣股市為例，國立政治大學財務管理研究所碩士論文。
4.	游雅茜(2011)，動能投資策略：價格、盈餘和營收，淡江大學財務金融研究所碩士論文。
5.	詹錦宏、吳莉禎(2011)，動能投資策略於台灣股票市場之應用— 含金融海嘯之影響，會計學報，3卷第2期，頁1-22。  
6.	羅庚辛、林書賢、羅耀宗、鍾毓芬(2010)，總體經濟變數、景氣循環與盈餘動量策略績效之實證，中原企管評論，8卷2期，頁73-106。 
7.	顧廣平(2010)，月營收宣告與行為偏誤，中山管理評論，25卷1期，頁63-100頁。


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