产业营收动能策略-淡江大学机构典藏.PDF

產業營收動能策略 Industrial Sales Momentum Strategies 1 2 顧廣平 Kuang-Ping Ku ，卓志文 Chih-Wen Cho 1 淡江大學財務金融學系副教授，108144@mail.tku.edu.tw 2 淡江大學財務金融研究所碩士學生 摘要 動能策略，以買入過去贏家和賣出過去輸家，其可獲取 3~12 個月顯著正的平均報 酬。針對台灣股市，本研究首次探討以未預期營收為基礎之個股動能與產業動能之間的 關係，結果發現存在顯著之個股營收動能與產業營收動能效應。然而，個股營收動能效 應在控制產業營收動能下，仍然持續存在；以及在控制個股營收動能後之產業營收動能 策略的獲利顯著下滑，甚至大部分不具統計顯著性。此結果顯示產業營收動能幾乎完全 被個股營收動能所解釋，反之則不然。而在控制產業別、價格動能與盈餘動能下，亦可 獲得類似之結論。 關鍵字：產業效應、營收動能、台灣股市 Abstract Momentum strategies, which buy past winners and sell past losers, generate significant positive average returns over 3- to 12-month holding periods. This is the first study to investigate the relationship between individual stock momentum and industry momentum based on unexpected sales in the Taiwan stock market. The results show that there are significant sales momentum effects of individual stock and industry. Sales momentum effects of individual stock persist after controlling industrial sales momentum. However, industrial sales momentum strategies are significantly less profitable once we control for sales momentum of individual stock and, for the most part, are statistically insignificant. These results show that while industrial sales momentum is almost entirely explained by sales momentum of individual stock, the converse is not true. After controlling for industries, price momentum, and earnings momentum, we can also get a similar conclusion. Keywords: Industry Effects, Sales Momentum, Taiwan Stock Market   1 1. 緒論 動能策略(momentum strategies)是利