盈餘與營收動能

Earnings and Sales Momentum

針對台灣股市，本研究首次探討盈餘動能與營收動能之間的關係，結果發現存在顯著之盈餘動能與營收動能效應。雖然這兩種效應存在關係，但是一個效應並不被另一個效應所包含。此動能效應在控制規模、淨值市價比、產業、過去報酬、週轉率、市場狀態與風險等因素下，仍然持續存在。本研究延伸Barberis, Shleifer and Vishny (1998)模式，構建一個解釋這關係之行為模式，且發現實證結果與行為模式預期幾乎一致。此證據支持投資人反應不足導致動能效應，以及保守性偏誤促使投資人對訊息反應不足。

This is the first study to investigate the relationship between earnings momentum and sales momentum in the Taiwan stock market. The results show that there are significant earnings momentum and sales momentum effects. Although there is a relationship between the two effects, one effect is not subsumed by the other. Momentum effects persist even after controlling firm size, book-to-price, industry, past return, turnover, market state, and risk. This study extends Barberis et al. (1998) model, constructs a behavioral model to explain this relationship, and finds empirical results with behavioral model’s predictions nearly consistent. The evidence supports that an investors’ underreaction drives momentum effects and a conservatism bias leads investors to underreact to news.