本研究根據Berger, Israel and Moskowitz (2009)跟Asness, Moskowitz and Pedersen (2013)的研究成果，將價值與動能選股策略應用於台灣股票市場上。本研究在價值選股策略上使用E/P當作是本研究的價值因子，而在本研究的動能因子上則是分拆成4種不同的的動能因子，第一種為一般在學術研究上最常使用的價格動能因子，第二種為台灣市場所特有的籌碼動能因子，而以上的兩種因子都採用3、6、12個月不同形成期當作是本研究的動能因子選股指標，第三種動能因子為財報動能，財報動能則是分成3個月營收年增率與單季稅後淨利年增率，當成是本研究的財報動能因子，第四種動能依據Chen, Chen, Hsin, Lee (2014)將財報動能與價格動能結合成為財報價格動能因子作為本研究的第四種動能因子。此外本研究利用Asness, Frazzini and Pedersen (2013)合成品質因子的方法，其合成因子法採用Z分數法去作為因子合成的主要方法，之後再使用上述的方法將不同特性的價值跟動能因子做合成。而在本研究上將價值與動能選股策略分拆成4種選股策略，為價值與價格動能選股策略、價值與籌碼動能選股策略、價值與財報動能選股策略跟價值與財報價格動能選股策略。在本研究的實證中發現，使用兩種不同特性的因子比使用單一因子有更穩定的績效，而在使用合成因子後，合成因子能夠比單一指標有更穩定的績效，之後再將Moskowitz, Ooi and Pedersen(2012)所研究的時間序列動能，將其應用於本研究的價值與動能選股策略上，在價值與動能策略挑選股票後，在使用6個月與12個月的時間序列動能，去做為後續選股的過濾指標，本研究的實證結果發現，在使用時間序列動能後，其績效相較於沒有使用時間序列動能的選股模型有更好的績效。

In our research, according to Berger, Israel and Moskowitz(2009) and Asness, Moskowitz and Pedersen (2013), we build value and momentum stock picking strategy in Taiwan stock market. This study use E/P as value stock picking strategy and we split momentum factor into 4 different type of momentum factor , first is the price momentum factor, price momentum factor is the most commonly used in academic research, second are unique information in the Taiwan stock market is leverage momentum factor. This two factor use three, six and twelve months of formation period as the momentum factor stock picking indication, third momentum factors is growth momentum, is split into three months of revenue increase rate and single quarter net income increase rate. According to Chen, Chen, Hsin, Lee (2014), we combine price momentum and growth momentum as our fourth momentum. In addition, this study used Asness, Frazzini and Pedersen (2013) synthesis quality factor method, the synthetic method using Z score method to synthesis factor, then use the above method in different characteristic synthesis. value and momentum stock picking strategies will be split into four stock picking strategy in our research. In our research, using two different characteristic factors have more stable performance than using single factor, and using synthetic factor have more stable performance than the single indicator, then according to Moskowitz, Ooi and Pedersen (2012), value and momentum stock picking strategies use six and twelve month time series momentum as filter. Empirical results of this study found out that combine with time series momentum in stock picking model gets better performance.

[論文審定書 i]
[摘 要 ii]
[Abstract iii]
[目 錄 iv]
[圖 次 v]
[表 次 vi]
[第一章 緒論 1]
[第一節 研究背景與動機 1]
[第二節 研究目的 4]
[第三節 研究流程 5]
[第二章 文獻探討 6]
[第一節 動能成因相關文獻 6]
[第二節 動能策略相關文獻 7]
[第三節 價值跟動能策略相關文獻 9]
[第四節 因子合成相關文獻 11]
[第三章 研究方法 12]
[第一節 資料來源與處理 12]
[第二節 動能指標與價值指標形成 13]
[第三節 時間序列動能 16]
[第四節 股票投資組合回測設計與因子合成 17]
[第四章 實證結果 22]
[第一節 價值投資策略 22]
[第二節 動能投資策略 23]
[第三節 價值與動能投資策略 30]
[第四節 投資組合績效分析 36]
[第五章 結論與建議 44]
[第一節 結論 44]
[第二節 建議 45]
[參考文獻 46]

一、 中文部分
丁鵬(2014)，《量化投資:策略與技術》，中國北京: 電子工業出版社。
葉怡成/吳盛富(2013)，《台灣股市何種選股模型行得通?》，台北: 金融研訓院
黃聖棠(2007)，台灣股市外資與動能投資策略，國立東華大學經濟學系博士論
文。
謝嘉琪(2013)，結合營收之價格動能策略:以台灣股票市場為例，國立中央大
學財務金融研究所所碩士論文。
二、 英文部分
Asness, C. S., Moskowitz, T. J., and Pedersen, L. H. (2013). Value and Momentum
Everywhere. Journal of Finance, 68(3), 929-985.
Asness, C. S., Frazzini, A., Israel, R., and Moskowitz, T. J. (2014). Fact, Fiction, and
Momentum Investing. Journal of Portfolio Management, 40(5), 75-92
Asness, C. S., Frazzini, A., Israel, R., and Moskowitz, T. J. (2015). Fact, Fiction, and
Value Investing. Journal of Portfolio Management, 42(1), 34-52
Asness, C.S., Frazzini, A., and Pedersen, L.H. (2013). Quality Minus Junk. Working paper, AQR Capital Management.
Asness, C.S. Variables That Explain Stock Returns. Ph.D. Dissertation, University of
Chicago, 1994.
Barberis, N., Shleifer, A., and Vishny, R. (1998). A model of investor sentiment.
Journal of Financial Economics, 49(3), 307-343.
Babameto, E. and R. D. Harris. (2008). Exploiting Predictability in the Returns to
Value and Momentum Investment Strategies: A Portfolio Approach
Working Paper, University of Exeter XFi Centre for Finance and Investment
Berger, L. A., Israel, R., Moskowitz, T. J., (2009). The Case for Momentum Investing,
AQR Capital Management.
Bikhchandani, S., Hirshleifer, D. and Welch, I. (1992). A Theory of Fads,
Fashion, Custom, and Cultural Change as Informational Cascades. Journal of
Political Economy, 100(5), 992-1026.
Bird, R., Whitaker, J. (2004). The performance of value and momentum investment
portfolios: Recent experience in the major European markets Part 2, Journal of
Asset Management, 5(4), 157-175.
Chan, L., Jegadeesh, N. and Lakonishok, J. (1996). Momentum Strategies, Journal of
Finance, 55(5), 1687-1713.
Chen, H. Y., Chen, S. S., Hsin, C. W., Lee, C. F. (2014). Does revenue momentum
drive or ride earnings or price momentum? Journal of Banking and Finance,
38, 166-185.
Fama, E. F. and K. R. French. (1996). Multifactor explanations of asset pricing
anomalies, Journal of Finance, 51(1), 55-84.
Frazzini, A. (2006). The Disposition Effect and Underreaction to News. Journal of
Finance, 61(4), 2017-2046.
Geczy, C., and Samonov, M. (2013). 212 Years of Price Momentum the World’s
Longest Backtest: 1801–2012. Working paper, University of Pennsylvania the
Wharton School.
Grinblatt, M., and Han, B. (2005). Prospect Theory, Mental Accounting, and
Momentum. Journal of Financial Economics, 78(2), 311-339.
Grinblatt, M., and Moskowitz, T.J. (2004). Predicting Stock Price Movements from
Past Returns: The Role of Consistency and Tax-Loss Selling. Journal of
Financial Economics, 71(3), 541-579.
Hong, H., and Stein, J. C. (1999). A Unified Theory of Underreaction, Momentum
Trading, and Overreaction in Asset Markets. The Journal of Finance, 54(6),
2143-2184.
Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling
Losers:Implications for Stock Market Efficiency. The Journal of Finance,
48(1), 65-91.
Moskowitz, T.J. Ooi, Y.H. and Pedersen, L.H. (2012). Time-series Momentum.
Journal of Financial Economics, 104(2), 228–250.
Odean, T. (1998). Are Investors Reluctant to Realize Their Losses? Journal of
Finance, 53(5), 1775–1798.
Schwert, G.W. (2002). Anomalies and Market Efficiency, Working paper, National
Bureau of Econmic Research.
Tversky, A., andKahneman, D. (1974). Judgment under Uncertainty: Heuristics and
Biases. Science, 185(4157), 1124-1131.