本文旨在探討短期動量、明確訊息與訊息不確定下之動量投資策略績效，並對明確和不明確訊息，以及訊息不確定性高／低時之績效差異進行檢定。實證結果顯示，以週報酬爲形成期的動量投資策略，一年內股票價格存在動量持續性，且明確訊息下亦有動量持續現象，但當其與無明確訊息之動量投資策略績效產生顯著差異時，本文發現無明確訊息之動量投資策略績效比明確訊息較高，表示市場在訊息不明確的情況下動量效果較好。最後，實證顯示訊息在不確定性高的情況下動量投資策略績效較佳，市場之動量效果也較好。本文亦發現從投資人觀點，以季爲單位的持有期動量投資策略績效，因受持有期拉長的影響其績效較佳。
This paper examined the performances of short-term price momentum, momentum in explicit news, and information uncertainty. We not only investigated the differences between momentum performances in explicit and implicit news but also the momentum performance differences between the high and low level information uncertainties. Our paper found that there were price momentum performances within one year and the phenomenon also appeared when the news was explicit. Also, when we compared implicit with explicit news, we found better momentum performances in implicit news. Finally, the momentum performances in high level information uncertainty were better than low level information uncertainty. We also found that it would be more appropriate for investors to build short-term momentum portfolios based on weekly returns with seasonal holding period to take the advantage of longer holding period.
