本文採用Wahal and Yavuz (2013)的論點,以1982年7月至2012年12月台灣股市資料為例,利用公司規模及公司淨值市價比建構風格投資組合,探討風格動能策略同時比較價格動能策略以及產業動能策略的獲利性。我們發現過去風格資組合報酬可解釋個股未來買進持有報酬後,再使用George and Hwang (2004)迴歸模型進行動能策略獲利性比較,結果風格動能策略顯著優於其他;進一步研究個股與風格投資組合之共移性,定義風格投資組合,探討其對動能策略的影響,實證結果持有期為6個月時,風格動能策略獲利主要來自高共移性風格投資組合,然而獲利能力會隨即反轉;持有期為12個月之風格動能策略獲利來自適度共移投資組合遞延獲利效果,本實證結果可作為投資人在台灣股票市場採用動能策略獲利的參考準則。
Based on the data of individual stocks on Taiwan stock market, we examine whether size and book-to-market as investment styles predict future stock returns. We find out that past style returns can explain future stock returns and then we use style portfolio to construct style momentum investment strategy. Estimating George and Hwang (2004) regression to compare style momentum, price momentum and industry momentum simultaneously, we show that returns associated with style momentum investment strategy are larger than those associated with the other strategies. Moreover, we use comovement to identify the composition of style momentum profitability. High comovement style momentum can earn higher return over the 6 months holding period, however the profitility will soon reversal. For the delaied profitility, the medium comovement style momentum will substitute the High comovement style momentum becoming the main source of momemtum profit over 12 months holding period.