臺灣博碩士論文加值系統

本研究以動能投資策略為基礎，除了考慮市場風險、公司規模與帳面淨值市價比等三因子，觀察其對報酬率變化之影響，進而找出動能投資策略存在異常報酬的真正原因。
首先採投資組合方式，每月投資組合形成是以前六個月上市公司之原始股票報酬扣除無風險利率後超額報酬累積加總，將該報酬由大到小排序，取前後各10%級距為贏家與輸家投資組合，並以等值加權方式分別加總贏家與輸家，採贏家減輸家方式以求出動能投資報酬，以探討動能投資報酬與各因子之關係。其次，比較動能投資策略下原始報酬與調整三因子後報酬的差異性。再者，分析在調整三因子後報酬，是否還存在其他因子，即財務槓桿比率與總體經濟因子，會對動能投資報酬產生影響。最後，本文也將產業別因素納入考慮，探討動能投資報酬是否會受產業別所影響。
實證結果發現，市場風險與公司規模對動能投資報酬沒有影響，而帳面價值/市值比與動能投資報酬呈顯著正相關。除了帳面價值/市值比外，本文亦發現財務槓桿比率與總體經濟因子之影響動能投資策略報酬。這些因子對三因子調整後報酬亦會產生高度影響力。在考慮產業別後，本研究發現台灣股市中高科技類股的確存在動能投資報酬現象，而該報酬顯著為正，報酬的持續性期間為三個月，故投資者在對高科技產業進行動能投資時，更應注意股票持有期限，以減少投資報酬損失。

This article is on the basis of momentum strategies to find out the sources of the reward to a momentum strategy, such as market risk, size factor, and book-to-market ratio. At first, we use investment portfolio ways which formation base on six-month cumulative excess stock returns that raw returns deduct risk-less interest and rank the cumulative excess returns from large to small.
Then we select the top/bottom 10% as winner/loser investment portfolio and add sum of the winner/loser with equal weight ways. At last we let that the winners’ return deducts losers’ return as momentum investment return to investigate the relations of momentum strategies and three factors. Next, comparing the rewards difference between three factors and risk-adjusted of a momentum strategy. Adjusted for market risk, size factor, and book-market ratio, we want to understand the other sources of the rewards to momentum investing, namely, debt-to-equity and macroeconomic factors. At last, this study also adopts industrial factors and want to understand whether the factor will effect on momentum investment returns.
The evidences show that market risk and size factor do not influence the reward of a momentum strategy, but the book-to-market ratio is positive related to the reward of momentum. In addition, the book-to-market ratio has important influence on momentum investing. This article also finds out debt-to-equity ratio and macroeconomic factors having a significantly influence on rewards adjusted for three factors. After industrial factors taken in account, this study finds out the momentum effects in high-tech industrial in Taiwan stock market. The returns are positive and last to three months. Hence, investors take care to stock holding time to reduce investment loss.

第一章　緒論
第一節 研究動機 1
第二節 研究目的　　　　　　　　　　 3
第三節 論文架構　　　　　　　　　　 　　 4
第二章　文獻探討
第一節 股票動能投資策略略 7
第二節 影響股票報酬率之因素　　　　　　　　　　　　　 10
第三章　研究方法
第一節 研究設計 15
第二節 主成份分析法　　　　　　　　　　　　　　　　　 17
第三節 實證模型　　　　　　　　　　　　　　 22
第四章　實證結果分析
第一節 動能投資報酬分析 28
第二節 主成份結果分析　　　　　　　　　　　　　　　 35
第三節 迴歸假設與穩定性之檢定　　　　　　　　　　　　36
第四節 相關分析 37
第五節 迴歸結果分析　　　　　　　　　　　　　　　　　38
第六節 高科技產業與一般產業迴歸分析　　　　　　　　　62
第五章　結論與建議
第一節 結論　　　　　 72
第二節 研究限制與建議　　　　　　　　　　　　　　　　75
參考文獻　　　　　　　　　　　　　　　　　　　　 　　76
　　　　　　　　　　　　　　 　　

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