Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. While no definitive framework exists, prior research has explored industry segmentation within portfolio construction but has yet to reach a clear conclusion. Purpose: The purpose is to determine if there is a significant momentum effect in industry-portfolios, and if some industries are more prone to momentum strategy than others. Method: The research followed a positivistic paradigm with deductive reasoning using a quantitative approach. Secondary data of industry returns for 30 industries from the American stock market is collected from Kenneth R French database. The portfolios are analyzed from a statistical perspective to draw conclusions of the market anomaly. Findings: Three hypotheses were formed to address the research question and purpose. The winner-portfolio yielded significant raw returns in 14 of 16 tests for various periods, while loser and winner-loser portfolios showed negative raw returns. Accounting for systematic risk generated significant profits for all the winner portfolios. Further, industry-specific momentum was examined, revealing no momentum in some industries and momentum in others.   Conclusion: We find evidence that the industry portfolio can generate significant excess return over the market for 3–12-month periods, that can't be explained by the assets systematic risks. The study concludes that while industry-specific momentum is a viable strategy for diversification and capturing winners, its effectiveness varies across industries and has shown diminishing excess returns over the past two decades.

本研究以台灣證券交易所1995年2月至2008年所有上市公司的資料為樣本，比較Jegadeesh and Titman (1993)提出的價格動能策略、Moskowitz and Grinblatt (1999)提出的產業動能策略以及George and Hwang (2004)的52週高價動能策略之間的獲利能力。研究分別進行了月平均報酬比較、元月效果檢視、配對比較、迴歸分析以及加入定錨效果的強韌性檢視。 / 結果發現，在持有期為6個月下，只有52週高價動能策略的獲利能力為顯著且報酬率最佳，月平均報酬率達1.12%，且其對報酬率的解釋能力無法被價格動能策略或產業動能策略給替代，然而52週高價動能策略卻能部分替代價格及產業動能策略的解釋能力，顯示52週高價動能策略相較於價格及產業動能策略而言有優勢性。本研究也發現動能策略投資組合的報酬率存在元月效應，無論是哪一種動能策略的贏家或輸家，在一月份的報酬皆大幅顯著的高於其他11個月份，顯示元月效應的確存在且會影響分析的結果。 / 而最後在迴歸分析裡，結果顯示在控制了公司市值、前一期報酬率、各動能投資策略的影響後，無論是全樣本或一月份除外，依然只有52週高價動能策略的獲利能力是顯著的。然而在經過F-F三因子模型風險調整後，各動能策略投資組合的報酬率皆下降，其中價格動能策略投資組合有顯著的負報酬率，而產業動能策略與52週動能策略投資組合則有不顯著的負報酬率，顯示動能投資策略可能暴露在市場風險下，投資人在採用動能投資策略進行投資決策時應謹慎對待。而強韌性的結果顯示加入定錨效果指標後，其對本研究之結果無顯著的改變。