營收創新之動能策略：台灣股市之證據

本研究分別以台灣上市(櫃)公司每月公告之月營收對歷史最高營收比率、月營收對歷史最低營收比率和未預期營收等三個指標，形成營收創新高動能、營收創新低動能和營收動能等三種策略。結果顯示營收動能和營收創新高動能策略，其可獲取1~12個月顯著正的平均報酬，即存在營收動能效應和營收創新高動能效應，然而，營收創新低動能效應並不如前兩者。但此三種動能效應會受到研究期間之影響，以及三種動能效應存在顯著之季節效應，而三種動能效應對上市(櫃)別或產業別並不具敏感度。有關風險類解釋，結果顯示三種因子模式和總體經濟風險無法解釋營收動能或營收創新高動能策略所獲取之顯著正的平均報酬，但是共同風險因子和總體經濟風險可解釋營收創新低動能效應。最後，營收動能存在修正過度反應之價格反轉現象，這證據與行為模式一致，但是營收創新高動能組合並不存在顯著之報酬反轉現象，而定錨效應或許可解釋其結果。

關鍵字

營收創新高動能；營收創新低動能；營收動能；風險；行為偏誤

並列摘要

This thesis applies three indicators: monthly revenue to historical highest revenue ratio, monthly revenue to historical lowest revenue ratio and unexpected revenue, which announced by the common stock of the Taiwan Stock Exchange and the OTC listed companies, inform three strategies that revenue hit record high momentum, revenue hit record low momentum and revenue momentum. The results show that the revenue momentum and revenue hit record high momentum can obtain a significantly positive average return from 1 to 12 months , there are revenue momentum effect and revenue hit record high effect. However, revenue hit record low effect is not as good as the first two. But these three momentum effects will be affected by the research period, and there are significant seasonal effects under the three momentum effects, and the three kinds of momentum effects are not sensitive to market or industry. Regarding the interpretation of risks, we found the revenue momentum and revenue hit record high strategies can’t be interpreted by three factor models and macroeconomic risk , but the common risk factors and macroeconomic risk can explain the revenue hit record low momentum .Finally, there is a price reversal phenomenon that corrects overreaction in revenue momentum. This evidence is consistent with the behavior pattern, but there is no significant reversal phenomenon in the revenue hit record high momentum, and the anchor effect may explain its results.