長久以來，股票、債券是目前普遍被大眾所接受的金融投資工具，也是金融市場最常見的投資工具。也因此，在投資股市的領域上，發展出許多著名的投資策略，譬如說Contrarian Strategies 及Momentum Strategies是最常聽到的兩種策略。DeBondt 及Thaler分別在1985及1987年提出過去三年到五年績效表現不好的股票在未來的三到五年，其績效往往會超過過去三到五年表現較佳的股票。而Jegadeesh 及Titman在1993年時發表有關Momentum Strategies的現象，他們使用了16組策略，Rank Period分別是1、3、6、12個月，而每組Rank Period分別再對應Test Period 1、3、6、12個月，在這些策略中發現過去三到六個月內表現較佳的股票，通常在接下來的三至六個月其績效表現會持續的亮眼，相對的，短時間內表現不佳的股票，未來短時間內其績效也不彰，另外該作者利用Momentum Strategies所作出來的結果，其Short position的報酬率通常比Long position的報酬率要低，且Short position的報酬率在大部份時間對投資人來說均是負的。而Balvers在2001年利用Jegadeesh（1993）的模式做分析，只是時間點不同，但是結果也差不多，Short position時報酬均為負報酬。Momentum Strategies是否只在Long position的情形下才有效，這一點在接下來的文章內會做探討。

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第一章、Motivation of Research 4

第二章、Introduction 5

第三章、Data and Methodology 8

Chart I（GDP PER PERSON） 9
Long position 11
Short position 12
Buy and Sell 14
Zero Investment Portfolio: 14

第四章、Empirical Evidence 16

第一小節、分組結果 16
High-Income countries 16
Table II（Return on High Income Countries） 18
Middle-Income Countries 21
Table IV（Return on Middle Income Countries） 23
Zero Investment Portfolios 26
第二小節、ACAR分析 28
第三小節、股市與匯市相對走勢分析 36

第五章、Conclusions 38

Appedix 40

References 41

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