盈餘、價格與營收動能 : 台灣市場進一步證據

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Title:	盈餘、價格與營收動能 : 台灣市場進一步證據
Other Titles:	Earnings, price, and sales momentums : further evidence from the Taiwan market
Authors:	蘇泓任;Su, Hong-Ren
Contributors:	淡江大學財務金融學系碩士班顧廣平;Gu, Guang-Ping
Keywords:	盈餘動能;價格動能;營收動能;earnings momentum;price momentum;sales momentum
Date:	2017
Issue Date:	2018-08-03 14:39:50 (UTC+8)
Abstract:	本研究探討台灣股市之價格動能、營收動能與盈餘動能三者之間的關係，並找出此關係之獲利模式。文中使用1993年1月至2014年12月，共264個月的上市、上櫃普通股，以前期累積報酬、未預期營收與未預期盈餘作為指標來區分出贏家與輸家，並同時買贏家、賣輸家組合形成動能策略，本文參考Jegadeesh and Livnat（2006）、Chen, Chen, Hsin and Lee(2014)與顧廣平（2011, 2016）等研究來建構出一維、二維、三維投資組合。再以Jegadeesh and Titman（1993）和顧廣平（2010）的事件研究法計算各種組合之平均績效。研究發現在台灣股票市場中，分組變數的先後順序，無法使動能組合之平均累積異常報酬產生明顯的差異，反而分組變數之選擇才是關鍵之影響因素。另外，幾乎所有動能策略其持有初期六個月內均可獲得顯著為正的累積平均異常報酬，這其中又以三維價格/盈餘/營收動能策略平均績效為最佳，且大多動能策略在隨後六個月存在價格反轉效應。 This study is to reinvestigate whether exist earnings momentum, price momentum, or sales momentum effects on the Taiwan stock market. This paper also examines whether earnings momentum, price momentum and sales momentum are related. Then, we suggest two potential explanations for abnormal profits of these strategies: The order of variables classes or the choice of variables. We find that the order of variables classes cannot make different to the cumulative abnormal return. But the choice of variables can. This article uses the methods of Jegadeesh and Livnat（2006）、Chen, Chen, Hsin and Lee(2014) and Guang-Ping,Gu（2011, 2016） to construct the momentum strategies which buy past winners and sell past losers, generate significant positive average returns over 3- to 12-month holding periods. The data of momentum strategies are Taiwan''s publicly traded companies during 1993 to 2014, and study how Pre-accumulated return, uncertain earing, uncertain revenue variables can impact the cumulative abnormal return.
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