營收動能策略

Sales Momentum Strategies

10.6504/JOM.2010.27.03.04

顧廣平(Kuang-Ping Ku)

營收動能 ； 風險 ； 過度反應 ； 反應不足 ； 行為偏誤 ； Sales Momentum ； Risk ； Overreaction ； Underreaction ； Behavioral bias

管理學報

27卷3期（2010 / 06 / 01）

267 - 289

繁體中文

本研究使用台灣上市（櫃）公司每月公告之營收估計標準化未預期營收，以買營收贏家（即標準化未預期營收前20%較佳的股票）和賣營收輸家（即標準化未預期營收後20%較差的股票）形成動能策略，其可獲取1~12個月顯著正的平均報酬。此營收動能效應，在控制樣本期間、季節、交易所、產業、規模、週轉率、淨值市價比、過去報酬、未預期盈餘與風險等因素之下，仍然持續存在。本研究也發現營收動能與盈餘動能之間存在關聯性。此外，營收動能組合於持有第25至36個月間，存在顯著負的累積平均報酬，此與行為理論一致，證據支持行為偏誤導致營收動能。

In this study, monthly sales announcements of listed companies in Taiwan are used to estimate standardized unexpected sales (SUS). Sales momentum strategies, which buy sales winners (top 20% of SUS) and sell sales losers (bottom 20% of SUS), generate significant positive average returns over 1- to 12-month holding periods. Sales momentum effects persist even after controlling for sample period, season, exchange, industry, size, turnover, book-toprice, past return, earning surprise, and risk. I also find a relationship between sales momentum and earnings momentum. In addition, the cumulative average return in months 25 to 36 for the sales momentum portfolio is negative, which is consistent with the behavioral theories. The evidence supports that sales momentum is driven by behavioral biases.

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