本研究欲結合價值型與動能選股之投資策略來探討是否此聯合策略能較僅使用價值或動能的單一策略顯著提升投資績效。過往的研究在探討價值型投資策略時，皆使用單一因子判別股票的價值性；在探討動能策略時，大多使用Jegadeesh and Titman (1993) 所提出的原始報酬動能策略(Raw return)。本研究參考虞平輝 (2012) 所採用的MSCI (Morgan Stanley Capital International)多面向價值因子與Blitz et al.(2011) 所提出的殘差動能分別做為價值與動能的研究方法。本研究結合此兩種投資策略於台灣股市中建構投資組合，並探討此聯合策略的投資績效。結果顯示價值加上動能的聯合策略皆比單獨使用個別策略帶來更好的績效，也帶來更高的夏普值，且在經過Fama and French (1993) 或 Carhart (1997)的因子模型的風險調整後，此聯合策略皆可獲得顯著的正超額報酬。

This thesis aims to combine the “value” and “momentum” investing strategies to explore whether this joint strategy can enhance the investment performance than using either single strategy. Previous papers explore the method of value investing strategy by considering one value factor of stocks at a time and investigate momentum strategy by using Jegadeesh and Titman's (1993) total return momentum. In this research, we use the MSCI (Morgan Stanley Capital International) multi-factor in value used in Yu (2012) and the residual momentum proposed by Blitz, et al. (2011) as our value and momentum strategies, respectively. This thesis combines these two investing strategies to construct the portfolio in the Taiwan Stock Market, and to explore the joint effect of profit performance. The results show that joint strategy can perform better and generate a larger Sharpe ratio than both strategies. Finally, measured by Fama and French three-factor or Carhart four factor models, this joint strategy still can generate a significant, positive alpha.

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