月營收動能策略再探

Abstract

參考過往動能研究，對營收動能(Revenue Momentum)成因提出兩個假說：資訊延遲假說(Information Delay Hypothesis)以及資訊持續假說(Information Consistency Hypothesis)。採用台灣獨有的月營收資料擬定投資策略進行驗證此二假說，結果發現營收動能報酬同時受資訊延遲性與持續性影響，上述二假說均得支持。這代表著月營收報告具有資訊意涵，在執行月營收動能交易策略時，可同時考慮延遲效果及持續效果，及當期其他資訊的影響，使營收動能策略有更好的投資績效。另外，本文也印證月營收報告有助於在財報空窗期(Financial Statement Emptiness Period)時的資訊流通效果。

Based on previous momentum research, we reconstruct the cause of revenue momentum into two hypotheses, which are information delay hypothesis and information consistency hypothesis, respectively. After conducting empirical studies by using monthly revenue reports in Taiwan, it is found that return generated from revenue momentum strategies can be explained by both hypotheses. That is, it enables investors to gain more return if they take both information delay and consistency into consideration when creating momentum strategies. Furthermore, we discover that monthly revenue reports are helpful to information delivery during financial statement emptiness period.