顧廣平(2002, 2005)研究顯示營收市價比、成交量、前7-12月平均報酬(動能)等三個變數對解釋台灣股票橫斷面平均報酬似乎扮演著一個聯合角色，此結果是不同於Fama and French(1992, 1993)與Carhart(1997)等研究之結果。為何台灣的結果不同於國外研究之結果？以及為何營收市價比、成交量與動能可解釋台灣股票平均報酬的橫斷面變異？ 本計畫將從三方面解答問題：(1)檢驗平均報酬與營收市價比、成交量與動能等三個變數間橫斷面關係的穩定性與持續性；(2)仔細分析不同型態股票(如：高(低)營收市價比股票或高(低)成交量股票)之特性；以及(3)探討營收市價比、成交量、前7-12月平均報酬等變數於平均報酬之理論根源與經濟意涵。 Ku (2002, 2005) shows that sales-to-price, trading volume, and average return over previous 7 to 12 months (momentum) seem to play a joint role in explaining the cross-section of average returns on Taiwan stocks. His results from the Taiwan stock market are different from the previous findings by Fama and French (1992, 1993), and Carhart (1997) from U.S markets. Way is this result in Taiwan different from the result of research in some other countries? And way do sales-to-price, trading volume, and momentum explain the cross-sectional variation in average stock returns? This study answers to these questions in three ways. (1) We check the robustness of our inference that sales-to-price, trading volume, and momentum explain the cross-section of expected stock returns. (2) We conduct a detailed analysis of the characteristics of various style stocks (e.g., stocks with high (low) sales-to-price or high (low) trading volume). (3) We explore the theoretical source and economic explanation for the roles of sales-to-price, trading volume, and average return over previous 7 to 12 months in average returns.