本文主要研究台股動量策略與反向策略之投資績效。研究目的有三：首先將全面性探討在不同形成期搭配不同持有期下，若台股採行動量策略(momentum strategies)或反向策略(contrarian strategies)是否能獲得顯著之利潤，同時全面性分析動量策略與反向策略利潤來源之因素，包括風險因素、季節因素、產業別動量策略因素、報酬率時間序列之可預測性及報酬率期望值之橫斷面變異因素及反應不足、過度反應與隨機漫步因素。其次，本文提出結合動量策略與反向策略之特性，組合成綜合策略，以短期反向策略成功而中期動量策略成功的情況下，選股標準需同時考慮短期股價反轉之特性及中期股價續漲之特性，故應買入短期股價下跌但中期股價上漲之個股，同時賣出短期股價上漲但中期股價下跌之個股，並驗證此綜合策略的報酬狀況是否優於單純的動量策略或反向策略的報酬狀況。最後，本文將探討台灣全體股票型共同基金，其投資策略是否存在產業別動量策略或反向策略之現象，進一步驗證哪一種投資策略能為共同基金帶來較佳之產業別投資績效，以推論該投資策略是「理性」的，亦或是「非理性」的。
本文主要研究結論與建議如下：
首先，有關台股動量策略與反向策略投資績效方面，大體上，台股採取動量策略較為成功，尤其是最近這十年，具顯著利潤者，僅1991年1月至2000年12月之(24,24)及(36,24)策略，與1981年1月至1990年12月之(1,12)策略。但由於狀況與美、日等國不一，故是否可就此否定效率市場假說還值得更深入之探討。有關台股動量策略利潤之原因分析方面：由於台灣股市有顯著利潤之動量策略，其利潤因素中存在F&F三因子模型負Alphas之現象與過度反應因素所造成利潤不穩定之現象，故使用上述動量策略應非常謹慎與小心。
其次，有關綜合策略方面，理論上與實證上皆建議綜合策略為一能增加獲利機會之策略，雖然如此，是否綜合策略考慮之子策略愈多，則愈能增加獲利之空間還不無疑問，畢竟，本策略係建立在各子策略之投資策略已知的假設下，且要有不同的形成期，如此方能以不同之時間構面掌握股價之走勢。此外，本文所計算為預期利潤，故除非是中長期投資，否則亦難把握有增加獲利之機會，且為從事此策略亦要付出資料蒐集與掌握股價走勢之相對成本。
最後，有關共同基金產業別動量策略、反向策略與投資績效方面，大體上，台灣股票型共同基金大多採取產業別動量策略，且採產業別動量策略比採產業別反向策略更能獲得較佳之產業別投資績效。故台灣股票型共同基金之產業別動量策略並非不理性之投資行為，而是有加快類股指數真實價值之發現與調整過程。另外，共同基金在追求卓越表現之同時，似乎可以運用上述產業別動量策略來達成，而不一定非得透過詳細慎重之資訊搜集與基本分析來達成。

This study mainly investgates the investment performance of momentum strategies and contrarian strategies in Taiwan stock market. There are three purposes in this paper. First, we examine whether the momentum strategies and contrarian strategies can create significant profits under different formulation horizons and holding horizons, then we discuss the reasons for the profits of significant profits strategies, including risk, seasonality, industrial momentum, time series predictability of stock returns and cross-sectional variation in the mean returns, and stock underreation, overreaction, and random walk. Second, we derive the mix strategies from the combination of momentum strategies and contrarian strategies for the same holding horizons and test the investment performance of mix strategies empirically. Finally, we study whether the investment strategies of stock mutual funds in Taiwan are industrial momentum strategies or industrial contrarian strategies, and which strategies can create better industrial investment performance.
The main conclusions and suggestions are as follows:
First, we find the momentum strategies are more successful in Taiwan as a whole, especially from 1991/1/1 to 2000/12/31. There are only three significant profits strategies in 147 strategies totally for three different test periods, including the (24,24) strategy and (36,24) strategy from 1991/1/1 to 2000/12/31, and (1,12) strategy from 1981/1/1 to 1990/12/31. For the reasons of the profits of the three strategies, we find the negative alphas in the F&F three factors model and underreation from the decreasing returns in the post holding horizons, so we should use the momentum strategies very carefully in Taiwan stock market.
Second, we find the success of mix strategies theoretically and empirically. Nevertheless, we can’t increase the profits for considering more different sub-strategies if there are no successful sub-strategies with different formulation horizons.
Finally, we find the investment strategies of stock mutual funds almost are industrial momentum strategies, which realized significantly better industrial performance then the industrial contrarian strategies. It suggests that the industrial momentum strategies are not irrational and can increase the speed of adjustment of industrial index to its intrinsic value. On the other hand, stock mutual funds can perform well by the momentum strategies without superior information collection and analysis.

第一章 緒論
第一節 研究動機…………………………………………………………….1
第二節 研究目的…………………………………………………………….5
第三節 研究內容與架構…………………………………………………….6
第二章 文獻回顧
第一節 股市動量策略與反向策略………………………………………….8
第二節 基金動量策略與反向策略………………………………………..10
第三節 基金投資績效評估…………………………………………………11
第三章 研究方法
第一節 股市動量策略與反向策略…………………………………………14
第二節 基金動量策略與反向策略…………………………………………22
第三節 基金投資績效評估…………………………………………………26
第四章 台股動量策略與反向策略之投資績效
第一節 台股歷史背景與特性………………………………………………29
第二節 資料說明……………………………………………………………31
第三節 投資績效……………………………………………………………32
第五章 台股動量策略之投資績效原因分析
第一節 風險因素…………..………………………………………………40
第二節 季節因素……………………………………………………………44
第三節 產業別動量策略因素………………………………………………46
第四節 報酬率時間序列之可預測性與期望值之橫斷面變異因素………48
第五節 反應不足、過度反應與隨機漫步因素……………………………51
第六章 綜合策略之組成及投資績效
第一節 行為財務型共同基金………………………………………………57
第二節 綜合策略組合方式…………………………………………………58
第三節 台股綜合策略之投資績效…………………………………………66
第七章 股票型基金產業別動量策略、反向策略及投資績效之分析
第一節 資料說明……………………………………………………………68
第二節 股票型基金產業別動量策略及反向策略之分析…………………71
第三節 產業別動量策略、反向策略及投資績效之關係…………………75
第八章 結論與建議
第一節 結論…………………………………………………………………79
第二節 建議…………………………………………………………………83
參考文獻……………………………………………………………………….85
附表…………………………………………………………………………….92
附錄…………………………………………………………………………….93

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