月營收投資策略

Monthly Sales Investment Strategies

本研究使用台灣上市（櫃）公司每月公告之營收形成投資策略。以未預期營收與營收市價比為基礎之投資策略，其可獲取1～12個月顯著正的平均報酬。雖然營收動能與營收市價比效應之間存在關係，但是一個效應並不被另一個效應所包含。此月營收效應在控制總體經濟風險、市場風險、規模、淨值市價比與產業等因素下，仍持續存在。

In this study, monthly sales announcements of listed companies in Taiwan are used to form investment strategies. Investment strategies based on sales surprise and sales-to-price generate significant positive average returns over 1- to 12-month holding periods. Although there is a relationship between sales momentum effect and sales-to-price effect, one effect is not subsumed by the other. Monthly sales effects persist even after controlling macroeconomic risk, market risk, size, book-to-price, and industry.