| 摘要: | 過去研究發現,非預期盈餘及非預期營收皆存在資訊內涵,股票市場會根據此資 訊所傳達的訊息有所影響。本研究即利用非預期營收(SURGE)及非預期盈餘(SUE) 所帶來的資訊內涵,執行非預期營收及非預期盈餘動能策略,探討個別的獲利能 力及之間的關係。因為過去很少有研究執行非預期營收動能策略,或單獨探討非 預期營收的資訊內涵,故此研究特別專注探討非預期營收動能策略。本研究使用 三種不同方法去計算非預期營收及非預期盈餘,分別是季節隨機漫步預測值使用 標準差、股價做平減,以及加上飄移項(drift)的季節隨機漫步預測方法,並根據非 預期營收及非預期盈餘排序進行動能策略。實證結果發現加上飄移項(drift)的季節 隨機漫步預測方法,最能捕捉非預期營收和盈餘的變動。另外,發現非預期營收 及非預期盈餘動能同時存在顯著獲利,但非預期營收動能相較非預期盈餘動能獲 利較低且效果持續較短。同時,非預期營收動能獲利無法被資產定價模型、規模 效應、價值股效應、價格動能、流動性及非預期盈餘動能解釋,代表非預期營收 真的存在資訊內涵。最後,研究發現非預期營收及非預期盈餘動能在不同子區間 內,仍存在顯著獲利。;This study tries to examine the profitability of revenue momentum strategy and investigate the relationship between revenue momentum strategy and earnings momentum strategy. Three time-series methods are used to obtain revenue and earnings surprises, they are method of seasonal random walk expectation deflated by standard deviation, method of seasonal random walk expectation deflated by stock price, and method of seasonal random walk expectation with drift, respectively. Empirical results show that seasonal random walk expectation with drift can capture surprises more precisely. In addition, returns from both revenue and earnings momentum strategies are significantly positive, while revenue momentum strategy is less profitable and relatively short-lived. The profitability of revenue momentum strategy is robust after controlling for market, size, book-to-market, price momentum, liquidity and earnings momentum effects. Such findings also hold for sub-periods, indicating the persistency of the revenue momentum effect. |
