本文探討歐美股市普遍具有獲利性的價格動能、52週高點、5年低點等三種動能交易策略是否同樣適用於台灣股票市場，並檢驗台灣股市是否有長期報酬反轉現象，使用 1981 年 1 月至 2010 年 12 月間台灣所有普通股為樣本，並對三種策略間的相對強度進行分析。並依據George and Hwang(2004)的迴歸模型對三種動能策略進行綜合比較，實證結果發現在台灣市場價格動能及52週高點動能策略不具獲利性；使用5年低點動能策略執行反向操作，買進5年低點輸家投資組合的股票，並賣出5年低點贏家投資組合的股票，會有超額報酬。且經過三因子風險調整之後，仍然有顯著的異常報酬，並且發現在台灣市場以5年低點策略形成的贏家投資組合不存在長期報酬反轉現象，而輸家投資組合則有長期報酬反轉現象。

This paper investigates the profitability of three trading strategies, namely price momentum, 52-week highs, and five-year-low in the Taiwan stock market. By using a sample of all common stocks in Taiwan from1981 January to December 2010, we also compare the relative strength among the three momentum strategies. Following George and Hwang’s (2004) regression model, we conduct a composite analysis of the three momentum strategies, and the empirical results show that price momentum in the Taiwan market and 52-week high momentum strategy are not profitable. A contrarian strategy based on 5-year low that buys 5-year low loser and sells five-year low winner earns excess returns. And after three risk factors adjustment, there are still significant abnormal returns, and found in the Taiwan market strategy in order to form a five-year low winner portfolio inversion phenomenon does not exist long-term return reversals, while the loser portfolio inversion phenomenon, there are long-term return reversals.

摘要 I
Abstract II
目錄 III
表目錄 IV
圖目錄 IV
一、緒論 - 1 -
1.1研究動機與目的 - 1 -
1-2研究架構 - 3 -
二、文獻回顧 - 5 -
三、樣本與研究方法 - 8 -
3-1樣本資料與期間 - 8 -
3-2研究方法 - 9 -
3-2.1 JT 動能策略:
 - 9 -
3-2.2 H52 動能策略: - 9 -
3-2.3 FYL動能策略 - 10 -
3-3 動能投資組合的建構方式 - 10 -
3-4 配對分析 - 11 -
3-5 同時比較三種動能策略 - 11 -
四、實證結果 - 14 -
4-1 各種動能策略獲利性的實證結果 - 14 -
4-2 配對分析呈現的實證結果 - 16 -
4-3 同時比較各種動能策略的實證結果 - 19 -
五、結論與建議 - 21 -
5-1研究結論 - 21 -
5-2研究建議 - 23 -
參考文獻 - 24 -

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