本研究旨在探討結合價值策略和殘餘動能反轉策略是否相對於前述任一單一策略能提升投資績效。本研究參考MSCI多面向價值因子以及Blitz et al.(2011)的殘餘動能作為主要研究方法。基於甯欣和王志強（2012）提出中國大陸存在殘餘動能反轉效應，因此本文將殘餘動能策略改成殘餘動能反轉策略。
我們以2006年1月至2014年7月期間在上海證交所和深圳證交所上市的公司為樣本，實證結果顯示，運用價值策略無法帶來高於基準指數的報酬，而殘餘動能策略的確存在反轉效應，低殘餘動能投組能獲得相對於基準指數和高殘餘動能投組較高的報酬。最後，我們發現價值加上殘餘動能反轉的聯合策略並無法比單獨使用個別策略產生更好的報酬或績效衡量結果。

This thesis aims to explore whether a joint strategy using both the “value” strategy and the “reverse residual momentum” strategy can outperform both the latter two strategies. We employ the MSCI value factors and Blitz et al.’s (2011) residual momentum as our main research methods. However, following Ning and Wang (2012 in Chinese) who find reverse residual momentum effect for the China stock markets, we replace Blitz et al’s (2011) residual momentum strategy by the reverse residual momentum strategy.
Using data on the companies listed in both the Shanghai and Shenzhen stock markets during the Jan-2006 to Jul. 2014 period, we find that the value strategy cannot outperform the benchmark Shanghai Shenzhen CSI 300. However, we do find a reverse residual momentum effect for these two stock markets in that the bottom residual momentum decile portfolio outperforms both the top residual momentum decile portfolio and the Shanghai Shenzhen CSI 300 Index. Finally, we cannot find any evidence of better performance from using the joint “value”-“reverse residual momentum” strategy than using any individual one.

中文部分
盧偉中（2013），價值與殘餘動能策略在台灣股市之應用，國立成功大學財金所碩士論文。
甯欣、王志強（2012），基於殘餘收益的動量或反轉效應: 來自中國 A 股市場的經驗證據，投資研究，第31卷，123~136
虞平輝（2012），台灣上市股票價值性分析，國立成功大學會計學系碩士論文。
楊至中（2011），價值型投資應用於台灣股市之實證分析，國立交通大學財務管理研究所碩士論文。
呂建儀(2009)，價值型投資法之應用分析--物美價廉的選股策略：以台灣股市為例，國立臺灣大學國際企業學研究所碩士論文。
杜幸樺(2007)，臺灣股市的動能策略研究， 國立中山大學財務管理專業博士士論文。
楊子德（2007），52週高價動能策略、價格動能策略、產業動能策略於台灣股票市場的獲利性比較與分析，國立政治大學財務管理研究所碩士論文。

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