This paper investigates whether greater investor distraction on the Swedish stock market during the summer months of June, July and August leads to a more pronounced post earnings announcement drift (PEAD) effect, during the ten year period between 2000 and 2009. PEAD is an anomaly whereby the information contained in earnings announcements is not immediately or completely incorporated into stock prices, in the cases where the announcement contains an ‘earnings surprise’. The methodology involves using the standardised unexpected earnings (SUE) metric to measure the level of ‘earnings surprise’ and a buy and hold abnormal returns (BHAR) trading strategy to measure return. The study tests and confirms the existence of greater investor distraction during summer months on the Swedish market. For a holding period of 12 months, a BHAR trading strategy generates a greater abnormal return for summer months (11.3%) compared with the abnormal return for non-summer months (10.5%). These results are also interesting in a broader context, as they confirm the existence of the PEAD effect, one of the strongest counter-arguments to the efficient markets hypothesis (EMH); the foundation of many financial models used for stock market valuation. This is because, according to the EMH, in an efficient market it should not be possible to generate abnormal returns based on available information. However, it may be noted that these results do not take into account transaction costs. This means that while it can be demonstrated that there is greater investor distraction during the Swedish summer, in order to implement a successful trading strategy based on this finding, further testing would be required. Therefore, based on the findings of this paper, a number of areas for future research have been identified.

本研究根據行為財務學中反應不足的理論針對台灣上市股票進行動能策略的研究。首先根據台股1992到2005年之上市股票為樣本進行單純動能策略研究，發現台股具有中期及長期動能現象(長期在此定義為持有期三年)，接著以Fama and French 三因子模型進行風險調整，結果發現動能策略具有顯著的可行性，其報酬不受三因子調整而損失。並再加入公司特徵變數，發現大規模公司具有較大之動能效果，且低帳面市值比公司也具較大之動能效果，而大型股具有較大的動能效果與一般認知的反應不足理論不符，而由後續之研究針對規模及帳面市值比做相關分析發現兩者間具有高度的負相關，因此大型股子樣本與低帳面市值比子樣本可能具高度的雷同，因此大型股的動能策略報酬較高，其實可能反應的是成長股所具有的反應不足現象。 接著根據單純動能表現結果，結合前期兩期表現為條件，組合成中長期動能策略之構想。結果發現，中長期動能策略在大型股與成長股此兩個子樣本集中有較高的可行性。由於中長期動能策略的基礎是建立在運用兩股單純動能策略的力量，因此單純動能策略的顯著性是中長期動能策略能否成功的重要關鍵，也因此由實證結果發現，在不同的子樣本集中，受到其單純動能策略顯著性強弱的影響，使得中長期動能策略的報酬顯著性受到影響，其中尤以低帳面市值比（成長股）之中長期動能策略動能效果最為顯著。