本研究欲探討當報酬計算起迄日為每日十號時，殘餘動能與近期52週動能策略是否在台灣股市中存在超額期望報酬，並進一步探討兩動能策略之間，是否存在支配關係。此外，並改良虞平輝 (2012) 所採用的MSCI (Morgan Stanley Capital International)多面向價值因子，重新檢視價值型投資是否存在超額期望報酬。最後，參考盧偉中(2013) 所採用價值與殘餘動能聯合策略，並延長研究期間，探討是否此聯合策略能較僅使用單一投資策略提升投資期望報酬。過往的研究在探討動能策略時，多探討Jegadeesh and Titman (1993) 所提出的原始報酬動能策略 (Raw return)。本研究參考Blitz et al. (2011) 所提出的殘餘動能與Bhootra 和Hur (2013)所提出的近期52週動能來做為動能的研究方法，分別利用此兩種動能投資策略於台灣股市中建構投資組合，結果顯示殘餘動能策略與近期52週動能之間沒有相互支配性，且在經過Fama and French (1993) 的三因子模型的風險調整後，兩策略亦可獲得顯著的超額期望報酬。而改良過後的價值型投資策略，期望報酬更高且更為顯著，最後，結果顯示動能策略加上價值型投資策略的聯合策略亦可獲得顯著的超額期望報酬。

We examine the profitability of the residual momentum strategy and the recent 52-week momentum strategy in Taiwan based on a monthly return calculation basis, from every end of each calendar month to the tenth day of each calendar month and examine that there is whether any dominance between two strategies. In addition, we modify the sample selection of the value investing strategy used in Yu (2012) to reexamine the profitability. Finally, we follow the residual momentum strategy plus the value investing strategy proposed by Lu (2013) and prolong the sample period to examine the joint effects on profits. Previous papers explore the momentum strategy by using Jegadeesh and Titman's (1993) total return momentum. In this research, we follow the residual momentum strategy proposed by Blitz et al. (2011) and the 52-week momentum strategy proposed by Bhootra and Hur (2013), and use zero-cost investment strategy to construct the investment portfolio. The results confirm that there is no much evidence about the dominance between the residual momentum strategy and the recent 52-week momentum. The Fama-French alphas of two strategies are significant. We also find that profitability of the value investing strategy with modification is significantly higher. Finally, the joint strategy of the momentum strategy plus the value strategy still generates significantly abnormal returns.

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