台股營收動能策略之風險模型驗證

Validation of Risk Model of Sale Momentum Strategy

黃翊閎(Yi-Hong Huang)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101117

摘要

本研究為延續顧廣平(2010)之研究，使用台灣上市櫃公司每月公告之營收資料，以買入前20%的標準化未預期營收贏家投資組合，賣出後20%的標準化未預期營收輸家投資組合，並持有一個月，形成營收動能投資策略，在顧廣平(2010)之研究中，作者運用Fama and French (1993)的3因子及Carhart(1997)的4因子模型來檢驗本策略是否能被風險模型所解釋。然而在上述中的模型中並無法將企業獲利能力所帶來的超額報酬納入考慮(及有可能與營收動能策略相關)，因此本研究運用Hou, Xue and Zhang(2015)所提出的Q因子模型以及Fama and French (2015)所提出的5因子模型驗證，營收動能策略所帶來之報酬是否能被風險模型所解釋。本研究發現Q因子模型及5因子模型雖能解釋一部分的風險溢酬，但仍無法完整解釋本投資策略所帶來的超額報酬。

另外，本研究也檢視了在顧廣平(2010)的研究發布後，此投資策略所帶來的超額報酬是否有顯著下降，其結果發現不管在原研究之樣本期間以外的時間區間或者發表後的時間區間，本策略帶來的報酬並未有顯著下降。然而，在作了進一步分析之後發現，在近三個月累計營收(M03)及近12個月累計營收(M12)的樣本中本策略維持正報酬的時間相較顧廣平(2010)的研究樣本期間內縮短，也就是策略的效期在近年有變短的趨勢。

關鍵字

台股 ； 營收 ； 動能 ； 因子模型

並列摘要

The research is based on the method of Kuang-Ping Ku (2010). With the monthly revenue report of Taiwanese stocks, we build sales momentum strategy by buying the stocks with top 20% of unexpected sales and selling the stocks with bottom 20% of unexpected sales(rebalance once a month). In the research of Kuang-Ping Ku (2010) , the paper analyzed the abnormal return with three factors model(Fama and French (1993)) and four factors model(Carhart(1997)). However, above models, which do not consist of profitability factor and investment factor, were not able to fully explain the abnormal return of sales momentum strategy. Therefore , this research use Q factors model(Hou, Xue and Zhang(2015)) and five factors model (Fama and French (2015)) to try to explain the abnormal return. This paper found that Q factor model and five factors model can merely explain a part of the abnormal return. Still , Q factor model and five factors model can not fully explain the anomaly of sales momentum strategy.

In addition , this paper check whether the publication of Kuang-Ping Ku (2010) reduces the abnormal return of sales momentum strategy. The paper find that either the data out of the sample period of Kuang-Ping Ku (2010) or the data post publication period of Kuang-Ping Ku (2010), the abnormal return of sales momentum strategy does not significantly decline. However, with deeper analysis , we find that abnormal return cumulative 3 month revenue(M03) and cumulative 12 month revenue (M12) built decline faster than the original paper. In other words, the reversal is faster in the recent time.

並列關鍵字

Taiwanese stock ； revenue ； momentum ； factor model

參考文獻

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