本研究以2008年1月至2012年6月之台灣上市公司股票為研究對象，實證價動能因子和量動能因子做為選股策略的可行性，本研究的投資實證方式以實務上機構法人 – 股票型共同基金 - 的投資模式進行，股票持有期為20個交易日，交易成本設定1%，本研究先分別對價動能因子和量動能因子進行績效檢測，再進一步合併價與量動能因子而成多因子選股模型，研究結果如下：
1.持有股數為10檔，形成期與持有期為10~15個交易日之價動能因子，在台灣上市股票市場可以創造出月超額報酬，相對報酬擊敗台灣加權指數。
2.以本研究之投資方式，量動能因子在台灣上市股票市場並無法創造超額報酬，也無顯著的負超額報酬，且加入交易成本後，相對大盤之報酬率都為負值。
3.本研究進一步同時考量價與量動能因子，以形成期為20個交易日之價動能與量動能因子組成多因子模型，實證發現此多(雙)因子模型無法提升價動能因子之月超額報酬，反而使月超額報酬減少至低於使用量動能因子之報酬。
4.價動能因子超越大盤之相對報酬，在大盤呈現多頭行情時績效較佳，而在大盤進入空頭與震盪周期時績效較差。

This study used the stock price and volume data from Taiwan Stock Exchange (TSE) listed stocks between 2008/1 and 2012/6 to test whether the price momentum and volume momentum factor strategy can get abnormal return, and beat buy-and-hold strategy. The investment method was to follow the institutional investors' trading style in this study, and also has considered the trading cost for setting 1% every time. The main empirical findings of this study are summarized as following:

1.The price momentum factor can generate abnormal return in TSE listed stocks, and the abnormal return were in the range from 0.96% to 1.91% for different forming period price momentum factor. And the relative return for every price momentum factor tested to TWSE Index is over than 100% in the testing period for 5 and half years, obviously can beat the buy-and-hold strategy.
2.The volume momentum factor strategy can not generate abnormal return while considering the 1% of trading cost.
3.This study did the further testing of combining both price and volume momentum factor to come out with the multi-factor model, and the outcome of abnormal return did not make the price momentum factor performance better, even generated negative abnormal return like single factor volume momentum strategy.
4.The comparable performance to benchmark is better with upside trend of the index for price momentum factor rather than downside trend.

一、外文部分：
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二、中文部分：
李舒禾，「台灣股市選股策略獲利能力分析」，成功大學會計研究所，民國93年
邱俞華，「中長期動能策略之研究：以台灣股市為例」，政治大學財務管理研究所碩士論文，民國95年。
胡秋嬋，「動能策略與交易量於多空頭市場之實證研究」，中山大學財務管理研究所碩士論文，民國98年
陳元昌，「具方向與波動性之股價動能投資策略」，成功大學財務金融所碩士論文，民國95年
陳心儀，「多因子Alpha選股模型於台灣股票市場之應用」，政治大學國際經營與貿易研究所，民國100年
黃昭祥，「法人投資行為、成交量、與報酬可預測性 - 台灣股市動能效應或反轉現象之再探」雲林科技大學管理研究所博士論文，民國94年
楊子德，「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」，政治大學財務管理研究所碩士論文，民國97 年
褚重國，「台股動能投資策略之研究 以台灣50指數成分股為例」，成功大學企業管理研究所碩士論文，民國97年
劉立倫，「以公司特性探討台股動能及反轉策略之研究」，中原大學企業管理所碩士論文，民國96年