動能投資策略：價格、盈餘和營收

Momentum Strategies:Price, Earnings, and Sales

游雅茜(Ya-Chen Yu)

指導教授 ： 顧廣平

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00060

摘要

本研究檢驗台灣股市是否存在價格動能、盈餘動能和營收動能效應，並探討動能策略彼此的關聯。透過動能策略績效分析，發現台灣存在盈餘動能和營收動能效應，但不具有價格動能效應。為探討價格、盈餘和營收動能三者的關係，本文參考Chordia and Shivakumar (2006)的方法，建構價格動能(WML)、盈餘動能(EPMN)和營收動能(SPMN)等三個動能因子，並運用時間序列法檢定各因子模式。研究結果發現，盈餘動能可用以解釋價格動能之超額利潤，但盈餘動能不完全包含價格動能，而盈餘動能是因營收動能所致。
為了解「動能策略彼此的關聯」是否具有穩定性，故以市場別和產業別進行敏感性分析。首先，價格動能與盈餘動能間，於上市、上櫃和非電子業普通股中，盈餘動能為價格動能的報酬來源，但價格動能卻無法解釋盈餘動能效應，兩動能策略不具雙向關係。其次，價格動能與營收動能間，非電子業的上市普通股，其價格動能會受到營收動能的影響，只具有單向關係。由此可知，價格動能顯然較無法解釋盈餘動能和營收動能之效應。最後，針對盈餘動能和營收動能，發現營收動能較可解釋上市普通股的盈餘動能現象，為盈餘動能效應的來源，但反之盈餘動能卻對營收動能的影響較微弱，無法合理解釋營收動能所獲取之超額利潤。

關鍵字

動能策略 ； 報酬來源 ； 因子模式

並列摘要

This paper examines whether price momentum, earnings momentum and sales momentum effect exist in Taiwan stock market, and investigates the relation among momentum strategies. The present study shows that earnings momentum effect and sales momentum effect do exist in Taiwan stock market, while price momentum effect doesn’t. Based on the method proposed by Chordia and Shivakumar (2006), we establish three momentum factors, including price momentum factor (WML), earnings momentum factor (EPMN) and sales momentum factor (SPMN) to investigate the relation among three momentum strategies. The method of time-series is employed to test a variety of factor models. The results show that earnings momentum can explain the excess return of price momentum, but earnings momentum which is caused by sales momentum doesn’t subsume price momentum completely.
To explore the stability of their relation, stocks are classified into two groups based on the nature of market characteristics and industrial characteristics. First of all, earnings momentum is the source of price momentum return on Taiwan Stock Exchange, Gre Tai Securities Market and non-electronic industry. The two-way relationship doesn’t exist between price momentum and earnings momentum. Moreover, price momentum is influenced by sales momentum on Taiwan Stock Exchange and non-electronic industry, but the reverse relation is not presented. Obviously, price momentum cannot explain earnings momentum effect and sales momentum effect. Finally, the empirical evidence indicates that sales momentum interprets earnings momentum of listed firms on Taiwan Stock Exchange. That is, sales momentum can be viewed as the source of earnings momentum effect. On the contrary, earnings momentum has little impact on sales momentum and cannot explain the excess return of sales momentum effectively.

並列關鍵字

momentum strategy ； source of return ； factor model

參考文獻

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