本研究目的在於檢視考慮不同產業差異後之產業趨勢因子(industrial trend factor)於台灣股票市場從1991年至2019年之績效，以及是否能夠避免Daniel and Moskowitz (2016)文中提及之動能崩潰問題。
本研究基於Han, Zhou, and Zhu (2016)趨勢因子建構方法，加入產業虛擬變數以及利用指數加權之方法建構產業趨勢因子。本研究使用Sharpe (1992)中的Sharpe style regression去檢測產業趨勢因子是否能被短期反轉因子(short-term reversal factor)、動能因子(momentum factor)以及長期反轉因子(long-term reversal factor)之組合所替代，此外我們使用橫斷面之股票組合檢驗產業趨勢因子之alpha，最後我們檢視了考慮價格以及流動性後之產業趨勢因子之績效。
從實證結果中顯示產業趨勢因子確實有解決動能崩潰之問題，相對於趨勢因子於各個期間皆有更好之績效表現，且該表現無法被短期反轉因子、動能因子，以及長期反轉因子之組合複製以及取代，並於小市值組合中有顯著正向之alpha，然而在考慮價格以及流動性之後失去避免動能崩潰之能力，僅剩小市值組合中保有顯著之正向alpha。

The purpose of this study is to examine the performance of the industrial trend factor, which considers the difference between industries in the Taiwan stock market from 1991 through 2019, and if it could also avoid the problem of momentum crash, mentioned in Daniel and Moskowitz (2016).
This study is based on the methodology of Han, Zhou, and Zhu (2016), which add industry dummies, and use the exponential-weighted method to form the industrial trend factor. This study uses Sharpe style regression from Sharpe (1992) in order to examine if the return could be composed of short-term reversal, momentum, and long-term reversal factors. In addition, we use the cross-section portfolio to test the alpha of the industrial trend factor. Finally, we check the performance of the industrial trend factor after considering the liquidity and price of stocks.
The empirical result shows that the industrial trend factor solves the momentum crash problem and has a better Sharpe ratio than the trend factor in different periods. It can also not be alternative by short-term reversal, momentum, and long-term reversal factors and has a significant positive alpha in small size portfolios. However, it only has a positive alpha in the small size portfolios and loses the ability to avoid the loss caused by momentum crash after considering the price and liquidity.

論文審定書 i
摘要 ii
ABSTRACT iii
List of Figures v
List of Tables vi
I. Introduction 1
1.1 Background Information 1
1.2 Research Purpose 3
1.3 Research Framework 4
II. Literature Review 5
2.1 Factor Model Development 5
2.2 Long-term Reversal and Short-term Reversal Strategies 7
2.3 Momentum strategy 8
2.4 Momentum Crash 9
2.5 Trend Factor Model 10
III. Data and Methodology 12
3.1 Analytical Procedures 12
3.2 Data Description 13
3.3 Industrial Trend Factor Construction 17
3.4 Definition and Construction of Other Factors 19
3.5 Performance Analysis 25
3.6 Sharpe Style Regression 27
IV. Empirical Results 28
4.1 Summary statistics 28
4.2 Tail risk 35
4.3 Robustness 37
4.4 Performance after considering liquidity and price 45
V. Conclusion and Suggestions 52
5.1 Conclusion 52
5.2 Suggestions 54
References 55

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