自Jegadeesh and Titman (1993)提出價格動能策略並顯著於美國市場獲得正報酬之後，動能相關的研究便如雨後春筍般出現，許多學者投入心力持續探討動能相關的財務實證，並陸續承襲Jegadeesh所提出的概念，發展出以不同的指標所建構的動能策略，如：盈餘動能、產業動能、52週高價動能、移動平均動能、殘差動能…等。彭建偉(2012)以臺灣市場實證發現52週高價動能策略對於其他動能策略有顯著的支配性。另外對於動能策略的報酬來源及持續性的探討亦不在少數，Lee and Swaminathan (2000)即提出動能生命週期假說(Momentum Life Cycle, MLC)，認為個股動能將會在反應不足與反應過度間循環，因此若建構動能策略時，考慮進交易量變數，界定低交易量高動能者為早期動能投組，高交易量高動能者為晚期動能投組，則早期動能投組獲利性將顯著優於晚期動能投組。因此本文將以臺灣市場為研究樣本，探討結合52週高價動能與MLC之後，動能策略的獲利性是否顯著地受到影響，期望實證結果可對於臺灣市場的動能策略交易者提供不同的參考依據。

There are plenty of studies in momentum strategy after the significant positive returns research in the U.S. market by Jegadeesh and Titman (1993), also there are lots of different kind of momentums based on the concept of price momentum such as earnings momentum, industry momentum, 52-week high momentum, moving average momentum, residual momentum. Peng (2012) evidences the 52-week high momentum strategy in Taiwan stock market, to make sure that 52-week high strategy is dominant to other momentum strategy. In the other hand, Lee and Swaminathan (2000) construct the “Momentum Life Cycle Hypothesis”, think that the individual momentum experiences in a cycle between overreaction and under reaction. This paper wants to put effort on combining the trading volume variable into 52-week high momentum strategy then discuss whether that’s more profitable or not, and provide another view on momentum strategy to market participants.

中文文獻
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徐斌瑋 (2015)。「探討動能因子是否有助於解釋台股期望報酬-殘餘動能相對近期52週高價動能」。成功大學財務金融研究所碩士論文。
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