股票投資者所關心的不外乎就是股票投資績效，而動能策略在台灣股市是否適用則是本文研究的主題。依照Jegadeesh and Titman (1993)方法建構簡單動能投資組合；依照Lee and Swaminathan（2000）方法建構動能生命週期投資組合；依照Moskowitz and Grinblatt（1999-a）橫斷迴歸驗證動能變數和個股報酬的相關性，所有投資策略皆區分景氣循環和股市多空頭下作比較。變數方面延續Jegadeesh and Titman (1993)個股報酬和Moskowitz and Grinblatt (1999-a)產業報酬和Lee and Swaminathan（2000）個股報酬搭配個股週轉率，再另外加上規模、淨值市值比和外資持股比例。
實證結果顯示：（一）動能生命週期投資組合相較於簡單動能投資組合更可以獲得較大顯著正報酬。（二）比較不同期間下可以獲得顯著正報酬的獲利順序為股市空頭＞景氣擴張＞全期間＞股市多頭。（三）在所有簡單動能投資組合中，比較不同變數下可以獲得顯著正報酬的獲利順序為淨值市值比＞產業報酬＞個股報酬。（四）在所有動能生命週期投資組合中，比較個股報酬搭配不同變數下可以獲得顯著正報酬的獲利順序為淨值市值比＞外資持股比率＞週轉率＞規模。（五）在比較不同持有期程度下可以獲得顯著正報酬的獲利順序為持有期三個月＞持有期六個月＞持有期十二個月。

What stock investors care is the performance of stock investment. The topic of this study is that whether momentum investment strategies are applicatory in Taiwan stock market. According to Jegadeesh and Titman （1993）, we build simple momentum portfolios; according to Lee and Swaminathan（2000）, we establish momentum life cycle portfolios; and finally according to Moskowitz and Grinblatt（1999-a）, we apply cross-sectional regressions to investigate the correlation among individual return and momentum variables. We examine all the momentum investment strategies under different business cycles and situations of the stock market. When it comes to the variables that are focused, we continue to use individual return of Jegadeesh and Titman（1993）, industry return of Moskowitz and Grinblatt（1999-a）, individual return and turnover of Lee and Swaminathan（2000）, and also plus size, book-to-market equity, and the ratio of foreign investment.
Empirical results are as follows：（1）Momentum life cycle portfolios can more easily create significant positive return than simple momentum portfolios. （2）The order of getting significant positive return is bear market＞the expansion of business cycle＞all horizon＞bull market. （3）The order of getting significant positive return based on all simple momentum portfolios is book-to-market equity＞industry return＞individual return. （4）The order of getting significant positive return based on all momentum life cycle portfolios is book-to-market equity＞the ratio of foreign investment＞turnover ＞size. （5）The order of getting significant positive return based on the different horizon of holding periods is holding periods of 3 months＞holding periods of 6 months＞holding periods of 12 months.

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