本研究以台灣證券交易所1993年至2013年所有上市公司為研究樣本，利用公司市值、淨值市價比及股利殖利率將樣本分組，探討台灣股票市場進行風格動能策略之獲利情況。實證結果顯示，形成期為9個月與12個月之風格動能策略有顯著正報酬，而贏家投資組合大多為小型股，輸家投資組合大多為未發放股利股票。結果也發現風格動能策略之報酬經價格因素調整後更為顯著，但無法被產業因素所解釋。;The study examines the performance of style momentum strategies used in Taiwan stock market by delving into the data of listed companies from 1993 to 2013. We segmented the sample into ten portfolios by market value of equity, book-to-market ratio, and dividend yield. The result shows that the returns of the arbitrage portfolio are positive and statistically significant based on the past 9 and 12 month returns. Moreover, winners in general are small-cap stocks and losers are mostly no-dividend stocks. Meanwhile style momentum profits are more significant with an adjustment for price momentum, but not with an adjustment for industry momentum.
