價格動能與52週高價動能策略：台灣股市之證據

Price Momentum and 52-Week High Momentum Strategies: Evidence from the Taiwan Stock Market

本研究發現台灣股市的價格動能和52週高價動能策略，其可獲取持有1至10個月顯著正的平均報酬。52週高價動能可解釋部份價格動能效應，但是價格動能無法解釋52週高價動能效應。共同風險因子與總體經濟風險不足以充分解釋兩動能效應。長期累積平均異常報酬分析顯示價格動能和52週高價贏家同時存在顯著短期價格延續和長期價格反轉，但是52週高價動能和52週高價輸家並未存在價格反轉。這些發現支持投資人行為偏誤導致動能效應。

This study finds price momentum and 52-week high momentum strategies in the Taiwan stock market, yielding significantly positive average returns over a 1- to 10-month holding period. The 52-week momentum can explain some of the price momentum effect, but price momentum cannot explain the 52-week high momentum effect. Common risk factors and macroeconomic risk are found to be insufficient in fully explaining the two momentum effects. Long-term cumulative average abnormal returns analysis reveals that price momentum and 52-week high winner exhibit both significant short-term price continuation and long-term price reversal. In contrast, the 52-week high momentum and 52-week high loser do not show any price reversal. These findings support the momentum effect caused by investor behavioral biases.