This thesis examines if price momentum and momentum in firm fundamentals measured by earnings and revenue momentum are related on the Swedish stock market. Price momentum is measured through the 11-month prior performance (11MPM), Earnings Momentum through Standardized Unexpected Earnings (SUE), and Revenue Momentum through Standardized Unexpected Revenue Growth (SURGE). Using firm-level data from 2007 until 2024, zero-investment momentum strategies are established and show significant returns not explained by any conventional asset pricing model. There is a strong dominance of the earnings momentum strategy, by wide margin outperforming both price and revenue momentum. The abnormal price momentum profits disappear when controlling for earnings momentum returns, whereas the returns to earnings momentum remain robust after controlling for the price momentum. These results support the claim that price momentum is a weak manifestation of fundamental momentum. The revenue momentum returns are not explained by earnings momentum, which indicates that these performance metrics contain exclusive information about the fundamental performance of a firm.

This dissertation consists of two essays: one looks at the time-varying relationship between earnings and price momentum, and the other looks at how liquidity and transparency affect the pricing differential between Chinese A-and Hong Kong H-share. The first essay presented in Chapter I investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework, allowing for variation between high volatility and low volatility states, I find that price momentum is significantly more influenced by earnings momentum in the high volatility state. Further for price momentum I find that loser firms display a higher degree of differential response to earnings momentum across the low and high volatility states than winner firms. Limited financing and investor’s sensitivity to future investment opportunities might explain these two results. A further analysis indeed indicates that loser firms tend to be more financially constrained. Additionally, I investigate the relationship between investor sentiment and the two momentums and find that sentiment only has predictive power for price momentum profits in the low volatility state. Finally, the results are robust regardless of instrument variables. The second essay presented in Chapter 2 examines the impact of liquidity and transparency on the discount attached to H-shares from 2003 to 2011. The higher the relative illiquidity of an H-share, the more the H-share is discounted relative to the underlying A-share price. In addition, more actively traded A-shares and infrequently traded H-shares are associated with a higher H-share discount. Further, increases in the number of analysts following a firm, both in the A-and H- market, are accompanied by a lower H-share discount. Also, a firm with a higher percentage of A-share holdings by mutual funds is associated with a smaller H-share discount. Overall, the results provide support for the notion that liquidity and transparency affect the relative pricing of A- and H-shares.

This dissertation consists of three independent chapters, each of which use microeconomic data and methods to inform an analysis of macroeconomic models and questions. The first two chapters study the short-run dynamics of housing markets, while the last chapter studies fluctuations in labor markets. / Economics

在國人愈來愈重視投資理財的今日，股票已成為全民熱烈參與的運動。國外的研究中發現，股票市場中常會存在追高殺低的情況，也就是報酬好的股票可能會有持續良好的表現。然而，此種報酬的持續現象是否也同樣存在於國內，這正是本研究所探討的主題之一。 　　此外，與盈餘相關訊息（如非預期盈餘、盈餘發佈日前後數日的異常報酬及分析師對盈餘預測的修正程度等）對未來股票報酬的影響程度究竟如何，則是本研究的另一個主題。 　　研究樣本取樣自民國82年至86年底之台灣上市公司股價及盈餘相關資訊進行實證分析。實證結果如下： 1. 在股票報酬持續效果研究上，股價有過度反應的現象，因而在六個月 後的報酬情況有回歸平均的情形，也就是說前六個月的報酬較佳的股票在六個月後的報酬將會較低。然而，一年後乃至於三年後過去報酬較好的股價仍然能有較好的報酬。可見在台股中股價仍然存在有延續的現象。 2. 有關非預期盈餘對未來報酬影響情況的研究部份，此一訊息的延續效果大約有二年期間，隨著各項與盈餘有關訊息的發佈，將使得非預期盈餘的幅度愈來愈小，終至不具影響力。 3. 盈餘發佈日前後的異常報酬因為僅以四天的股價異常報酬做為盈餘的替代指標，所含資訊內容有限，因而使得其影響效果存續期間非常地短暫。實證結果發現在六個月內具有持續效果，超過六個月後，這項訊息將不再具有影響能力。 4. 至於分析師對國內上市公司盈餘預測的實證研究中，我們發現如果分析師對於某一家公司的盈餘預測修正幅度愈大，其未來的股價報酬將愈不理想。 5. 綜合來說，股價的持續效果比盈餘訊息對股價報酬的影響效果更為明顯；而非預期盈餘是一項不錯的選股指標。結合過去六個月的股價報酬及非預期盈餘來選擇一、二年期的投資標的是一項很有效的選股方式。 目 錄 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的與重要性 2 第三節 研究架構 3 第二章 相關文獻探討 5 第一節 投資報酬之影響因素 5 第二節 價格的持續效果 6 第三節 盈餘對股價影響效果的持續性 8 第三章 研究方法 12 第一節 研究假設 12 第二節 研究期間、對象與資料來源 12 第三節 研究設計 13 第四節 研究流程 21 第四章 實證結果與分析 22 第一節 過去六個月報酬影響未來報酬程度分析 22 第二節 非預期盈餘的高低對未來報酬影響情況分析 28 第三節 累計異常報酬對未來報酬的影響效果分析 33 第四節 分析師修正盈餘預測幅度對股票未來報酬的影響研究 39 第五節 價格持續效果及盈餘持續效果比較分析 44 第五章 結論與建議 46 第一節 研究結論 46 第二節 後續研究建議 47 參考文獻 49 / Nowadays, people in Taiwan lay more emphases on investment and financing. They take part in investing in the stock market passionately. Research from overseas studies find that there is a phenomenon, “momentum effect” exists in the stock market. That is the reason why good-performance stocks could keep performing well. Whether the phenomenon exists in Taiwan, too? This is one of the topics of this research. 　　Moreover, how does the information about earnings, such as unexpected earnings, abcdrmal return around the earnings announcement and the changes of analysts’ forecasts on earnings, influence stock performance in the future? This is the other topic of this paper. 　　Samples from published corporate stock prices and information about earnings during 1993 to 1997 was used in this paper to do the research. The followings are five positive outcomes. 1. In the research of price momentum effect, the stock price had overreacted. It means that the mean-reversion condition existed in six months. However, the stock with good performance in the past six months would still have better return in one to three years. Therefore, we find that price momentum does exist in Taiwan stock market. 2. How did the effect of unexpected earnings on future return? We find that the effect of standardized unexpected earning would last for two years approximately. As the information of earnings was declared, the effect of unexpected earnings would drop. 3. The information was limited because of using abcdrmal return around announcement as the substitution of earnings. So, the effect of it would last for the short time. The positive outcome found that the abcdrmal return around earnings announcement did have influence in six mouths, but it took seldom effect over six months. 4. The last research was about the changes on analysts’ forecasts. We found that if the analyst made more correction on earnings forecast, the stock price would have poor performance in the future. 5. In general, the price momentum effect tends to be stronger and longer-lived than the earnings momentum effect. It would be an effective way to choose good-performance stocks in one to two years by the past-six-months performance and standardized unexpected earnings.

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。

本論文為驗證台灣股市是否存在價格持續性或盈餘持續性的現象；再驗證不同股票投資風格（如大型股與小型股、成長型股票與價值型股票），加上價格持續性組成投組後是否也存在動能持續現象；價格持續性和盈餘持續性是否相關；以及加入盈餘品質後，價格持續性及盈餘的持續的效果如何，並依此建構投資策略，測試是否可以在台灣股市獲取超額報酬。 本研究的實證結果可歸納為以下4點： 一、台灣股市存在股價動能效果及盈餘動能效果。 過去六個月表現好的投組，未來6個月及1年都有較佳的表現，投組形成後4年，即有明顯的回歸平均的現象。未預期盈餘高的投組在未來6個月到4年的報酬率都較高。不論是價格持續性或盈餘持續性，投組形成後6個月的動能持續現象較強，因此投組形成後1年的持續效果可能來自前6個月的貢獻。至於分析師盈餘預測修正幅度，投組形成後正向修正幅度大的投組，未來的股價表現反而不佳，統計檢定的效果也不顯著，顯示國內若要以分析師對盈餘預測的修正幅度來做為盈餘持續性的代理變數，盈餘預測的品質還尚待加強。 二、權益帳面價值對市值比及市值與價格持續性的關係。 權益價值對市值比較高的價值型股票及市值較小的小型股，未來報酬的表現情形都較成長股及大型股佳，且過去6個月表現好的投組，未來的表現也比較好。但在投資大型股時，過去6個月報酬影響未來報酬程度較大。 三、價格持續性與盈餘持續性的關係。 標準化後未預期盈餘高的投組表現通常會比較好，但未預期盈餘低且過去6個月報酬率高的投組，仍有可能會替投資人帶來極高的報酬。 四、盈餘品質與價格持續性及盈餘持續性的關係。 盈餘品質（EQ）高的投組通常表現會比較好，但不論EQ高低，短期價格及盈餘持續性現象都存在。而EQ較低的股票，之後一但股票報酬持續表現良好，投資人也會修正對該公司的評價，有過度反應的情形發生，導致未來的報酬率較高。

在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。 動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。 本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。 / Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market. This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market. In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months. According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal.