How do momentum strategies explain their dynamic relationship, firm's excess returns, and earnings?

[[abstract]]本文主要研究目的首先探討文獻尚未提及的動能策略之間的動態關係; 其次分析哪種動能策略最能解釋公司的超額報酬和盈餘。本文發現價格動能、移動平均動能和殘差動能具有高度相關性；價格比率動能是盈餘動能和營收動能的領先指標。此外，在解釋投資組合超額報酬上，六個月的產業動能有較一致的表現。在預測公司報酬和盈餘上，產業動能相較其他動能策略有較佳的表現。整體而言，產業動能似乎是較佳的預測指標。[[abstract]]This paper first examines the dynamic relationship among various momentum returns which are not presented in the recent literature yet. The study furthermore investigates whether these momentum returns are concerned with firms’ excess returns and earnings. The central findings are as follows. Price momentum, moving average ratio and residual momentum are hightly correlative. Besides, stock price related momentum strategy like price momentum or residual momentum is a leading indicator of earnings- based momentum strategy such as earnings and revenue momentum. On the other hand, in Fama- French model, industry momentum remains dominance in extreme portfolios of 25 size-BM groups. Moreover, industry strategy dominates the others in predicting firm’s returns and earnings in Fama- MacBeth model. In all, industry momentum strategy seems to be a better predictive indicator.[[note]]碩