本文以2013年至2019年間美國上市的電子商務產業為樣本，探討該產業發展行動支付業務是否會影響異質風險及超額報酬間的關聯性。首先，本文採用兩種不同衡量異質性波動度的方法—EGARCH模型和FAMA五因子模型的殘差項去找出對公司報酬有顯著影響的最適模型，驗證該產業之異質風險。接著，本研究分別依照公司之異質風險以及是否具備行動支付業務形成動量投資策略，並觀察該策略之投資績效，以利投資人進行投資決策之參考。實證結果顯示，FAMA五因子模型殘差所衡量之異質風險對報酬有顯著負相關的影響。採用異質風險的動量投資策略的在形成期為三個月後會帶來異常報酬。

Using 27 E-commerce firms in the United States from 2013 to 2019 as the sample, this study investigates whether the development of mobile payment business may affect the relationship between idiosyncratic risks and returns in the E-commerce industry. Firstly, the paper employ two different methods to measure idiosyncratic risk - the EGARCH model and the residual of the FAMA five-factor model to decide the optimal model which affects the returns. Next, this study forms two types of momentum investment strategy based on the idiosyncratic risks and whether the firm has mobile payment services. The empirical results show that the idiosyncratic risks measured by the residuals of the FAMA five-factor model is better to present a significantly negative impact on returns. Momentum strategies that adopt idiosyncratic risks will bring abnormal returns after the formation period in three months. Overall, the findings of this paper bring some information for investor in making their investment decisions.

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