本研究以台灣證券交易所的上市公司為研究對象，分別透過不同頻率、樣本週期、營收成長率和多空市場等條件，檢視價格動能策略的獲利情況。當以月資料進行價格動能策略時，本研究無論在整體樣本期間或多空頭市場下，其實證結果均與過去文獻結果相符，為無顯著報酬現象。若改以週資料進行價格動能策略，其實證結果發現價格動能策略具顯著獲利能力。實證結果亦發現，當以週資料分別結合不同樣本週期、多空市場或結合營收成長率進行實證研究，在結合營收成長率時，能有較高獲利能力。此外，本研究更進一步分析價格動能策略的換股比例時，發現價格動能策略的形成期越短，其換股比例越高。代表若考量交易成本，較高的換股比例，可能影響價格動能策略的獲利能力。整體而言，本研究發現在台灣股票市場，仍可利用價格動能策略賺取超額報酬，該發現與效率市場假說相悖。 This study uses companies listed in Taiwan Stock Exchange to investigate the profitability of various momentum strategies using different frequencies, sample periods, performance measures, and market states. Empirical results show that, consistent to previous studies, monthly momentum strategies cannot generate significant profits, except when the strategy is executed over the period not belong to bull or bear market. In contrast, weekly momentum strategies is profitable in Taiwanese stock market. Such findings are robust in different sample periods and market states. A combined weekly momentum strategy using prior price return and revenue growth can offer higher return. In addition, a higher turnover rate of momentum strategy is observed when the formation period is shorter and may deteriorate the momentum profits. Finally, empirical findings of profitable weekly momentum strategies may add to the large literature on challenging efficient market hypothesis.
