本篇研究旨在檢驗短期與長期移動平均(Moving average)的差距，是否能在臺灣股市做為股價報酬的預測指標。結果顯示，在其它常見市場異常現象的控制下，20天期MA與250天期MA所組合的比率，對於未來2到6個月及7到12個月的報酬具備顯著的預測能力。此外，移動平均差距(MAD)效果在不同的市場特性下也得以被觀察到，例如：流動性高低以及市場波動性高低。在之後的投資組合分析中，我以MAD分位數做為分組的依據，也透過其它市場異常現象(例如：動量因子、趨勢因子及52週高點)的分位數進行二次分組。結果顯示，高MAD特性的投資組合在未來2到6個月之中，可獲得較高且顯著的報酬。另外，本篇研究發現在三因子及五因子Fama-French模型的控制下，高MAD特性的個股可賺取顯著的超額報酬。

This article examines whether the distance between short-term and long-term moving average (MA) serves as a reliable predictor of equity returns in Taiwan market. My results reveal that 20-day-MA to 250-day-MA ratio has a significant predictability of returns in the future 2 to 6 months and 7 to 12 months when other common market anomalies are taken into account. The MAD effect also survives in different market conditions, such as high-versus-low market liquidity and volatility. Performing portfolio analysis, I further sort portfolios based on MAD deciles and other deciles related to market anomalies (e.g., momentum, trend and 52-week-high). My results show that high-MAD portfolios produce significantly higher expected returns in the future 2 to 6 months. Moreover, I find that high-MAD stocks create significant annual alpha while both three and five factors of Fama-French Model are considered.

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