本研究主要探討公司股價報酬之存續期間與公司特性的關係。從實務的投資角度來看，分析動能策略的獲利時，需將交易成本予以考慮。當贏家(輸家)待在同一投組的時間越久，換股比率越低，因此可以降低交易成本的發生。本研究首先證實動能策略可以獲得超額報酬，進而分析不同形成期的換股比率和報酬存續期間。實證結果顯示投資人可透過買入小型或價值型的贏家並賣出大型或成長型的輸家，來降低換股時所產生的交易成本，以極大化動能獲利。此外，本研究發現存續期間較長的贏(輸)家並非完全取決於過去特定一個時點好的表現，而是因為自身未來持續地擁有好(差)的表現所致。 Frequent trading may result in high trading costs and prevent the execution of profitable momentum strategy. This thesis tries to examine the turnover frequency of stocks in long-short portfolio of momentum strategy. Empirical results first provide the evidence that momentum strategy is profitable. Second, there are 39.21% (40.21%) winner (loser) stocks retaining their rankings in the next month based on six-month price return performances and the average turnover rate is 86.41% (87.73%) for winner (loser) portfolios in six-month/six-month momentum strategy. Third, the duration of winner (loser) stocks is related to firm size and book-to-market ratio, indicating that investors can buy smaller value stocks and sell larger growth loser to minimize trading cost and maximize the momentum profits. We also find that a winner (loser) with longer duration has consistently better price returns in the future rather than a very high price return in the past.
