動能投資策略之獲利性與影響因素

本文旨在探討動能投資策略獲利性與其報酬來源之影響因素。文中首先形成動能投資組合，以計算持有期間投資組合的超額報酬。其次，探討超額報酬影響因素，除了考慮市場風險、公司規模與淨值市價比等三項因子外，本文亦利用主成份分析將重要的總體經濟變數分類為金融指標與景氣指標以取代原市場風險衡量變數，以探討總體經濟指標對超額報酬影響。再者，考慮實務上投資者所重視的盈餘資訊，以了解公司特有資訊對動能投資報酬之影響。實證結果發現，當投資者在持有期間為12個月時，動能投資策略所產生的累計超額報酬率為最大。有關超額報酬的影響因素，研究結果發現，個別公司的盈餘資訊亦為動能投資報酬來源之重要影響因素，這表示盈餘品質較高（裁決性應計絕對值較低）之個股，其動能投資報酬會比較高。因此，台灣股市動能投資獲利性來自於投資者對個別股票資訊的理性反應。

關鍵字

動能投資策略；帳面價值與市值比；總體經濟；盈餘品質

並列摘要

This study attempts to explore the profitability and the determinants of the momentum investment strategy. We initially calculate average holding-period excess stock return on investment portfolio after forming the momentum investment portfolio. Secondly, to explore which factors affect the excess return of momentum strategies, we include the three factors: market risk, firm size and book-market ratio. In addition, we use principal factor analysis to classify the macroeconomic variables into the two indexes, financial and business, which is instead of market risk. Finally, we examine the effects of earnings information on the profitability of momentum investment. The empirical results show that the cumulated excess return based on momentum strategies is the largest while using six months formulation period and twelve months investment period. Moreover, the firm-specific information (i.e. earnings quality) is the significantly influence factor for momentum strategy return. The findings support that firms with higher earnings quality measured by discretionary accruals have higher momentum investment returns. Overall, these findings suggest that the main profit of momentum investment strategy results from the investors' rational reaction to specific-stock information in Taiwan stock market,