本文的研究目的是在探討混合價格動能與盈餘動能是否能提高動能獲得的報酬。本文透過主成分分析融合以過去六個月的報酬 (R6) 形成的價格動能及標準化預期外盈餘 (SUE) 與盈餘公布前兩天至後一天的報酬加總 (CAR4) 形成的盈餘動能，塑造混合動能 (PCM) 策略。研究結果顯示此策略績效雖未能高於CAR4策略，但相較於R6策略，承受每單位風險獲得的報酬更高。此外，預測報酬的能力優於直接混合R6、SUE與CAR4組成的模型。最後，此策略報酬無法被Fama and French (1992, 1993) 之三因子、Fama and French (2015) 之五因子與Hou, Xue, and Zhang (2014) 的q-factor模型解釋。

This paper examines the profitability of a new hybrid momentum strategy, PCM, which is constructed from R6 price momentum strategy, SUE and CAR4 earnings momentum strategies via principle component analysis. The empirical results are as fallows. First, the PCM strategy does not outperform CAR4 earnings momentum strategy in monthly returns, but it has higher Sharp ratio than R6 price momentum strategy. Besides, the predictability of future returns outperforms other models subsuming R6, SUE and CAR4 variables. Last, the return of PCM strategy cannot be explained by Fama and French three-factor model, Fama and French five-factor model, and q-factor model.

目錄
摘要 ii
Abstract iii
第一章 緒論 6
第一節 研究背景與動機 6
第二節 研究架構與本文架構 8
第二章 文獻探討 9
第一節 價格動能策略 9
第二節 盈餘動能策略 10
第三章 研究方法 12
第一節 資料來源 12
第二節 變數衡量 13
第三節 研究程序 14
第四章 實證分析 17
第一節 價格動能與盈餘動能相關性 17
第二節 價格動能、盈餘動能與混合動能投資組合分析 17
第三節 Fama and MacBeth迴歸分析 19
第四節 預測報酬能力分析 19
第五節 Fama-French三因子、五因子與q-factor模型迴歸分析 21
第五章 結論 23
參考文獻 25

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