價格與產業動量策略之投資績效－台灣證券市場實證

The Performance of Price Momentum and Industry Momentum: An Empirical Study of the Listed Companies in Taiwan

羅庚辛(Keng-Hsin Lo)；朱孝恩(Shiaw-En Ju)；林書賢(Shu-Shian Lin)；鄭燁隆(Ye-Long Zheng)

價格動量 ； 產業動量 ； 短期動量 ； 投資策略 ； 投資績效 ； price momentum ； industry momentum ； short-term momentum ； investment strategies ； investment performance

企業管理學報

82期（2009 / 09 / 01）

24 - 48

繁體中文

本研究旨在探討價格動量投資策略以及產業動量投資策略之績效，並另外考慮短期操作之下，此兩種動量投資策略的績效。本文主要以1992年1月到2007年12月期間之上市公司為對象來檢定投資組合之績效。實證結果指出價格動量持續性於一年內不存在；產業動量策略之績效在三年內都存在，且動量效果持久，而以週報酬率所形成的短期動量策略亦呈現相似之結果。顯示不論短期與否，投資人應將產業視為影響動量策略績效的重要因素；研究亦發現對於追求短期週報酬率的投資人來說用週報酬率所建構的短期動量會明顯比用月報酬率來作為形成期的模型較為妥適。

This paper examined the performances of price momentum and industry momentum investment strategies, we also studied these two strategies' performances during short-term period. We used the data of the firms listed on Taiwan Stock Exchange to test the performances of the portfolios during a period from January 1992 to December 2007. Our paper found that there was no price momentum performance within one year, but the industry momentum performance existed within three years and showed long-lasting impact. Furthermore, similar results were also found during short-term period. So no matter which time horizon we analyzed, we should regard industry as an important factor that would affect momentum performance. We also found it was more appropriate for investors who are seeking short-term weekly returns to build short-term momentum portfolio based on weekly returns rather than monthly returns

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