本文以台灣股票市場為研究對象，並根據Chan, Jegadeesh and Lakonishok (1996)所提到的盈餘動能(SUE和CAR4)與價格動能(R6)三個動能指標，並加入以Foster, Olsen, and Shevlin (1984)所提出的標準未預期盈餘指標(SUE)修改的標準化未預期毛利率(SUGPA) 和 Novy-Marx (2013)中提到的資產毛利率(GPA)，探討新的盈餘動能指標是否能比原來的盈餘動能指標解釋能力佳，並探討使用主成分分析混合以上述五項動能變數，形成新的混合動能，探討混合盈餘動能與價格動能是否能獲取更高的異常報酬。
研究結果顯示，使用主成分分析萃取出的混合動能策略並沒有優異於其他模型，但所建立的三個模型在台灣股市中皆可獲得異常報酬；其次，運用Fama-MacBeth 迴歸分析進行測試，其中價格動能變數R6在三個樣本框架下皆不顯著，說明台灣沒有價格動能現象，並且發現隨著季報、半年報、年報的框架越長，各個盈餘動能效果越不佳，尤其在年報樣本裡盈餘動能皆不顯著。

Focusing on the Taiwan stock market, this paper applies various momentum variables of earnings momentum and price momentum strategies, in addition to the traditional variables to explain the cross-section of stock returns. The traditional momentum variables include R6, SUE, and CAR4, proposed by Chan, Jegadeesh and Lakonishok (1996), while the additional variables include SUGPA and GPA respectively proposed by Foster, Olsen, and Shevlin (1984) and Novy-Marx (2013). Moreover, we employ the principal component analysis to integrate the above five momentum variables and form a new momentum strategy. We study whether the hybrid momentum strategy has a superior performance. The results show, first, that the hybrid is not outperforming. Second, using the Fama-MacBeth regression analysis, we confirm that there is no price momentum in Taiwan. Third, the longer the time horizon, the weaker the earnings momentum in Taiwan.

摘要 i
Abstract iii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 本文架構與研究架構 3
第二章 文獻探討 5
第一節 價格動能策略 5
第二節 盈餘動能策略 6
第三章 研究方法 7
第一節 資料來源與處理 7
第二節 變數衡量 8
第三節 研究程序 11
第四章 實證結果 15
第一節 敘述統計與變數間的相關性 15
第二節 投組組合分析 15
第三節 Fama and MacBeth 迴歸 16
第四節 預測報酬能力分析 17
第五節 績效分析、Fama and French三因子、四因子、五因子迴歸分析 18
第五章 結論 21
文獻參考 23

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