因子動能策略在台灣電子類股之實證研究

An Empirical Study of Factor Momentum Strategy in Taiwan's Electronics Stock Market

本文主要在探討因子動能策略在台灣電子類股中的應用與績效。研究結果顯示，在台灣電子類股市場中，總共有13個因子有顯著超額報酬，而「現金流量比率」與「自由現金流量/本期淨利」此二因子，在前10%以及後10%股票的前12個月平均報酬率的差呈現顯著影響，代表這兩個因子的因子動能現象最明顯。此外三種交易策略，以橫斷面策略的表現最佳，表示考慮因子動能可提升投資績效。

This article mainly explores the application and performance of factor momentum strategy in Taiwan's electronics stocks. The research results show that in the Taiwan electronics stock market, a total of 13 factors have significant excess returns, and the two factors ''cash flow ratio'' and ''free cash flow/current net profit'' have a significant impact on the difference in the average returns of the top 10% and bottom 10% stocks in the previous 12 months, indicating that the factor momentum phenomenon of these two factors is the most obvious. In addition, among the three trading strategies, the cross-sectional strategy performed best, indicating that considering the concept of factor momentum can indeed improve investment performance.