盈餘動能與盈餘創新高動能

Earnings Momentum and Record-High Earnings Momentum

本研究分別依據季盈餘年增率和單季盈餘對歷史最高盈餘比率建構盈餘動能和盈餘創新高動能策略。兩策略可獲取持有1至12個月顯著正的平均報酬，即存在盈餘動能和盈餘創新高動能效應。兩動能效應無法相互完全解釋，以及無法經由風險與投資者有限關注完全解釋。長期累積平均異常報酬分析顯示投資人傾向對盈餘好消息過度反應，以及對盈餘壞消息反應不足，證據支持行為偏誤導致動能效應。

This study constructs earnings and record-high earnings momentum strategies based on the annual growth rate of quarterly earnings and the ratio of quarterly earnings to the historical highest quarterly earnings, respectively. These strategies yield significantly positive average returns over a 1- to 12-month holding period, indicating the presence of earnings and record-high earnings momentum effects. The two momentum effects cannot be fully explained by each other and cannot be fully explained by risk and investor-limited attention. Long-term cumulative average abnormal returns analysis reveals that investors tend to overreact to good earnings news and underreact to bad earnings news. The evidence supports that behavioral biases drive momentum effects.