本文旨在研究動態的產業追漲策略能否替投資人帶來更高的報酬。研究結果顯示針對台灣的產業動能現象而言,月資料中台灣的產業動能現象只出現在少數幾個形成期與持有期的組合中,但是若以週資料或日資料來進行測試,就會發現普遍且顯著的產業動能現象。如果將此產業動能現象分為追漲和殺跌策略,其結果則顯示追漲策略能夠獲得顯著為正的報酬,而殺跌策略則否。這表示產業動能策略的獲利主要來自於追漲策略。本文研究結果進一步發現動態追漲策略的獲利為為一般追漲策略的兩倍以上。最後本文將擇股的動態產業追漲策略搭配擇時的移動平均線策略,結果發現在考慮了交易成本之下,其績效不但提升而且也優於買入持有策略的效率前緣部份。
This study investigates whether the dynamic strategy of only buying winners makes more profits for investors than the static strategy. As for the industry momentum effect of Taiwan, there exhibits significant industry momentum effect when the adopting the strategy weekly or daily. We find no monthly industry momentum effect though. We further adopt the strategy of only buying winners and only selling losers. The results demonstrate that the strategy of only buying winners can make significant positive profits. The result indicates that the source of momentum strategy mainly comes from buying the winners not from selling the losers. The profit of dynamic strategy of only buying winners is twice as much as the original strategy of only buying winners. We further combine the dynamic strategy of only buying winners and the timing strategy of moving average. The results show that the performance after the transaction cost is raised and is better than the buy and hold strategy which can be observed from the efficient frontier.