本研究以1988年1月到2022年12月間，台灣上市(櫃)普通股股票為研究樣本，於每月底分別依據季盈餘年增率和單季盈餘對歷史最高盈餘比率區分贏家組合(前20%)與輸家組合(後20%)，以買贏家賣輸家形成盈餘動能和盈餘創新高動能策略，其可獲取持有1至12個月顯著正的平均報酬，即存在盈餘動能和盈餘創新高動能效應，其中盈餘創新高動能的平均績效優於盈餘動能。雖然兩動能效應程度會受到樣本期間、春節、上市(櫃)別與產業別的影響，但是在控制這些因素下，仍存在顯著動能效應。同時，也發現兩動能存在各自獨特之效應，無法相互包含與解釋。
關於存在動能效應之原因，發現兩動能效應無法透過共同風險因子與總體經濟風險完全解釋，以及投資者有限關注假說亦無法解釋兩動能效應。透過觀察長期累積平均異常報酬，發現投資人對盈餘好消息或壞消息反應不同，兩策略贏家組合都出現短期價格延續和隨後價格反轉現象，此與行為財務模式預期一致，即投資人曾對盈餘好消息過度反應，導致後續價格修正反轉。而兩策略輸家組合並沒有出現價格反轉，顯示投資人持續對盈餘壞消息反應不足。由於兩策略贏家組合累積平均異常報酬都高於輸家組合，以致兩動能組合長期不存在價格反轉。

This research focuses on the period from January 1988 to December 2022, using common stocks listed on the Taiwan Stock Exchange and the Taipei Exchange as study samples. At the end of each month, it categorizes the stock into winner portfolios (top 20%) and loser portfolios (bottom 20%) based on the annual growth rate of quarterly earnings and the ratio of quarterly earnings to the historical highest quarterly earnings. This study buys winner portfolios and sells loser portfolios to form earnings, and earnings hit record-high momentum strategies. These strategies yield significantly positive returns over a 1- to 12-month holding period, indicating the presence of earnings and earnings hit record-high momentum effects. In particular, the average performance of earnings hit record-high momentum is better than earnings momentum. Though the level of these two momentum effects will be influenced by sample period, Chinese New Year, exchange, and industry, significant momentum effects persist even after controlling these factors. Simultaneously, these two momentum effects are unique and cannot be mutually inclusive and explained by each other.
Common risk factors, macroeconomic risk, or investor-limited attention cannot fully explain the momentum effects in the study. By examining the long-term cumulative average abnormal return, it becomes evident that investors react distinctly to good or bad earnings news. Both strategy winner portfolios experienced short-term price continuation and subsequent price reversal, consistent with the behavioral finance model's expectations. Investors overreact to good earnings news, resulting in price revision and reversal. On the other hand, investors underreact to bad earnings news since both loser portfolios did not experience price reversal. Since the cumulative average abnormal returns of the winner portfolios of the two strategies are higher than those of the loser portfolios, there are no price reversals in the long run for the two momentum portfolios.

目錄
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	2
第三節	研究架構	3
第四節	研究流程圖	4
第二章	文獻探討	5
第一節	盈餘動能相關文獻	5
第二節	盈餘創新高動能相關文獻	8
第三節	動能策略結果相關解釋文獻	9
第三章	研究方法	13
第一節	研究樣本與變數定義	13
第二節	動能策略之建構	16
第三節	投資績效之衡量	17
第四章	研究結果	21
第一節	全部樣本之平均報酬	21
第二節	敏感度分析	25
第三節	盈餘動能與盈餘創新高動能之關聯性	35
第四節	可能的解釋	39
第五章	結論	54
參考文獻	57
一、	國外文獻	57
二、	國內文獻	60

 
圖目錄
圖 1-1 研究流程圖	4
圖 4-1 盈餘動能策略各組合之長期累積平均異常報酬(%)	52
圖 4-2 盈餘創新高動能策略各組合之長期累積平均異常報酬(%)	52
圖 4-3 兩種動能組合之長期累積平均異常報酬(%)	53

 
表目錄
表3-1 1988年至2022年之樣本與研究變數統計表	15
表4-1 盈餘動能策略之平均報酬(%)：1988年1月至2022年12月之全部樣本	23
表4-2 盈餘創新高動能策略之平均報酬(%)：1988年1月至2022年12月之全部樣本	24
表4-3 盈餘動能與盈餘創新高動能策略平均報酬(%)：子期間分析	27
表4-4 盈餘動能與盈餘創新高動能策略平均報酬(%)：春節效應分析	29
表4-5 盈餘動能與盈餘創新高動能策略平均報酬(%)：市場別分析	32
表4-6 盈餘動能與盈餘創新高動能策略平均報酬(%)：產業別分析	34
表4-7 盈餘動能的平均報酬(%)：控制盈餘創新高動能	36
表4-8 盈餘創新高動能的平均報酬(%)：控制盈餘動能	38
表4-9 動能策略的平均報酬(%)：風險因子分析	41
表4-10 動能策略的平均報酬(%)：總體經濟分析	43
表4-11 動能策略的平均報酬(%)：週轉率分析	46
表4-12 動能策略的平均報酬(%)：多空頭市場分析	48
表4-13 動能策略長期累積平均異常報酬(%)	51

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5.	顧廣平 (2011)，「盈餘與營收動能」，管理學報，第28卷，頁521~544。
6.	顧廣平 (2016)，「投資者關注與動能效應」，企業管理學報，第111期，頁67~97。
7.	顧廣平 (2022)，「營收創新高動能策略」，證券市場發展季刊, 第34卷, 頁145-178 。