動能策略，以買入過去贏家和賣出過去輸家，其可獲取 3~12 個月顯著正的平均報酬。針對台灣股市，本研究首次探討以未預期營收為基礎之個股動能與產業動能之間的關係，結果發現存在顯著之個股營收動能與產業營收動能效應。然而，個股營收動能效應在控制產業營收動能下，仍然持續存在；以及在控制個股營收動能後之產業營收動能策略的獲利顯著下滑，甚至大部分不具統計顯著性。 此結果顯示產業營收動能幾乎完全被個股營收動能所解釋，反之則不然。而在控制產業別、價格動能、盈餘動能、市場狀態與系統風險下，亦可獲得類似之結論。 Momentum strategies, which buy past winners and sell past losers, generate significant positive average returns over 3- to 12-month holding periods. This is the first study to investigate the relationship between individual stock momentum and industry momentum based on unexpected sales in the Taiwan stock market. The results show that there are significant sales momentum effects of individual stock and industry. Sales momentum effects of individual stock persist after controlling industrial sales momentum. However, industrial sales momentum strategies are significantly less profitable once we control for sales momentum of individual stock and, for the most part, are statistically insignificant. These results show that while industrial sales momentum is almost entirely explained by sales momentum of individual stock, the converse is not true. After controlling for industries, price momentum, earnings momentum, market state and systematic risk we can also get a similar conclusion.
