自Jegadeesh and Titman(1993)以來，陸陸續續有許多有關動量策略的文獻來解釋異常報酬的現象，本研究參考Ebenezer Asem(2009)的做法，將股利政策的因素加入動量策略中，並以中國大陸的上海A股與深圳A股為研究對象。結果發現在短期間內，有配股利的輸家其報酬率會低於沒配股利的輸家，但是時間一拉長，有配股利的輸家期報酬率就會開始超過沒配股利的輸家；而不論長期間或短期間，有配股利的贏家報酬率皆為超過沒配股利的贏家，差別僅在顯著與否。若以股利的增加與減少做為區分，上海A股的股利增加或減少的贏家彼此之間的差距不大。在深圳A股的部分，持有期越短時，股利增加的贏家報酬率會顯著大於股利減少的贏家。而上海A股股利增加的輸家的報酬率大多低於股利減少的輸家，但多不顯著。而在深圳A股的部分，股利增加的輸家報酬率與股利減少的輸家相比，大多無顯著差異。 There are many studies about momentum strategies for explanation of abnormal profit since Jegadeesh and Titman(1993) .This paper take the point of Ebenezer Asem(2009) for reference, considering dividend policy as a factor that can influence momentum, and study in Shanghai A share and Shenzhen A share market. The finding reveals that in the short term, momentum profits of losers that pay dividends are less than losers that do not pay dividends. But in the long term, momentum profits of losers that pay dividends are exceed losers that do not pay dividends.；On the other hand, momentum profits of winners that pay dividends are exceed winners that do not pay dividends. If taking dividends increase or decrease in consideration, the momentum profits of winners’ dividends increase/decrease of Shanghai A share are roughly the same. But when the holding are short in Shenzhen A share, momentum profits of winners that increase dividends are exceed that decrease dividends. Losers that increase or decrease their dividends, theirs returns are roughly the same both in Shanghai A share and Shenzhen A share.
