營收動能生命週期

SALES MOMENTUM LIFE CYCLE

針對台灣股市，本研究探討營收動能與營收市價比對預測未來報酬的交互作用。結果顯示營收市價比能預測營收動能的數量與持續性，特別是高（低）營收市價比贏家（輸家）經歷較長的價格延續，以及低（高）營收市價比贏家（輸家）經歷較快的價格反轉。進而，本研究建立營收動能生命週期假說彙整結果，以及營收市價比可辨識股票處於生命週期哪一個階段。綜言之，本研究顯示營收市價比對「動能」和「價格」策略之間，或「反應不足」和「過度反應」效應之間提供一個重要的連結。

This study examines the interaction between sales momentum and sales-to-price in predicting future returns in the Taiwan stock market. The results show that sales-to-price predicts both the magnitude and the persistence of sales momentum. Specifically, high (low) sales-to-price winners (losers) experience longer price continuations, and low (high) sales-to-price winners (losers) experience faster price reversals. Furthermore, this study constructs the sales momentum life cycle hypothesis to summarize my results, and sale-to-price can identify where a stock is in this cycle. Collectively, this study shows that sales-to-price provides an important link between “momentum” and “value” strategies, or between “underreaction” and “overreaction” effects.