本研究探討因子動能是否為台灣股票市場中短期產業動能的共同來源，樣本期間為 2005 年至 2024 年。近期文獻指出，因子動能可能是投資組合層級動能的潛在來源。本文延伸此一研究脈絡，檢驗因子報酬的短期延續性是否能解釋產業動能，並進一步檢驗因子動能是否在台灣市場中構成獨立的市場異常。本文使用 32 個基本面與價格型因子，並透過產業中立因子建構、相互涵蓋迴歸與均值調整策略，比較因子動能與產業動能之間的關係。
實證結果對「因子動能為共同來源」的解釋僅提供有限支持。雖然標準因子動能策略在基準模型下具有正向報酬，但在移除產業相關變異後，其表現明顯減弱；相較之下，短期產業動能仍維持穩健。此外，僅以 Fama–French 五因子建構的動能策略並未呈現顯著的短期延續性，而較廣泛因子集合中的因子動能在調整歷史因子溢酬後，在統計上亦不再顯著。
整體而言，台灣市場中的因子動能並非投資組合層級動能的完全獨立來源；其獲利較可能反映產業層級延續性與無條件因子溢酬。本文證據顯示，因子投資組合中隱含的產業暴露，以及無條件因子溢酬的持續性差異，有助於理解因子動能報酬的來源與其經濟意涵。

This study examines whether factor momentum serves as a common source of short-term industry momentum in the Taiwan stock market from 2005 to 2024. Building on recent literature that proposes factor momentum as a potential source of portfolio-level momentum, this study tests whether short-term continuation in factor returns explains industry momentum and represents an independent anomaly in the Taiwan market. Using 32 fundamental and price-based factors and their industry-neutral counterparts, this study compares factor momentum with industry momentum through mutual spanning tests and mean-adjusted strategies.
The results provide limited support for the common-source interpretation. Although standard factor momentum is profitable in baseline specifications, it weakens after industry-related variation is removed, while short-term industry momentum remains robust. Moreover, a momentum strategy based only on the Fama–French five factors shows no significant short-term continuation, and broader factor momentum becomes statistically insignificant after adjusting for historical factor premiums.
These findings suggest that factor momentum in Taiwan is not a fully independent driver of portfolio-level momentum; rather, its profitability appears to reflect industry-level continuation and unconditional factor premiums. The evidence indicates that the sources and economic implications of factor momentum profits are closely related to embedded industry exposures and persistent differences in unconditional factor premiums.

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