臺灣博碩士論文加值系統

本研究從上市公司的月營收成長率與個股在Google搜尋量上的搜尋冷熱度作為選股的依據，亦即藉由月營收成長率強度及個股在Google搜尋量上的搜尋熱度，將個股強度與熱度數值由高至低進行排序，取前10%與後10%的公司組成投資組合再進行投資，並以買入持有策略計算報酬績效再予以比較，以實證分析方法進行探討，研究結果發現，營收成長率、Google搜尋量與價格動能之間有著穩定報酬績效，均存在顯著正向關係。
在研究中發現月營收成長率與Google搜尋量組成的投資組合在樣本期間的報酬皆穩定優於ETF台灣卓越50基金、元大台灣高股息0056與國泰台灣ESG永續高股息00878。在觀察期為3，6，9或12個月的四個不同期間，分別以公司營收成長率及Google搜尋量去排序，取排序前10%與後10%之公司各組成同時做多與做空之投資組合，並在後分別取3，6，9或12個月四個不同持有期間同時做多與做空投資組合。依照持有期間不同投資組合之績效，發現採營收成長率排序以觀察期3個月、持有期3個月，以及採Google搜尋量排序以觀察期3個月、持有期12個月，兩者為各投資組合中擁有最高報酬之動能選股策略。
Google搜尋量與營收成長率對投資組合的報酬呈現出顯著的影響，且本研究設計之買入持有策略在短期持有期間有不錯的報酬績效，與一些僅支持長期持有的文獻有不同結論。

In this study, the monthly revenue growth rate of listed companies and the search popularity of individual stocks on Google search volume are used as the basis for stock selection, i.e., the strength of monthly revenue growth rate and the search popularity of individual stocks on Google search volume are used to rank the strength and popularity of individual stocks from the highest to the lowest, and the top 10% and the bottom 10% of companies are selected to form an investment portfolio for investment. The results of the study show that there is a stable payoff performance between revenue growth rate, Google search volume and price momentum, and there is a significant positive relationship between them.

In the study, it is found that the portfolio consisting of monthly revenue growth rate and Google search volume has a stable return over the sample period and outperforms the ETF Taiwan Premier 50, Yuanta Taiwan High Dividend 0056 and Cathay Pacific Taiwan ESG Sustainable High Dividend 00878. The top 10% and bottom 10% of the companies were selected to form long and short portfolios, and then the long and short portfolios were selected for four different holding periods of 3, 6, 9, and 12 months respectively. Based on the performance of the different portfolios during the holding period, it is found that the revenue growth rate ranked by observation period of 3 months and holding period of 3 months, and the Google search volume ranked by observation period of 3 months and holding period of 12 months, are the two strategies with the highest returns among the portfolios for the kinetic stock picking strategy.

The Google search volume and revenue growth rate have significant effects on the portfolio returns, and the buy-and-hold strategy designed in this study has good performance in the short-term holding period, which is different from some literature that only supports long-term holding.

目錄
中文摘要 iii
Abstract v
表目錄 viii
圖目錄 x
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 4
第二章 文獻探討 5
第一節 價格動能定義 5
第二節 營收成長率 6
第三節 Google 搜尋量指數(SVI) 6
第四節 研究策略 7
第三章 研究方法 9
第一節 研究樣本與資料來源 9
第二節 研究方法與操作架構 10
第三節 研究變數 14
第四章 實證結果與分析 15
第一節 實證結果總表 15
第二節 投資組合與0050之比較 17
第三節 投資組合與其主流ETF之比較 19
第四節 實證結果 21
第五章 結論與建議 23
第一節 研究結論 23
第二節 研究建議 24
參考文獻 25
附錄 28

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