本文以台灣上市營建類股、水泥類股及鋼鐵類股為研究對象，探討不動產相關類股之股票價格高低以及公司規模大小之動能效果，並考慮市場風險、公司規模與帳面價值/市價比等三因子，觀察其對不動產相關類股報酬率變化之影響。本研究實證結果發現，不動產類股之價格動能投資報酬率多在持有期一年內會達到最大。在不動產相關類股中只有水泥類股的高價股報酬率是優於低價股，而鋼鐵與營建類股的低價股之報酬率大多都優於高價股1%以上，採用動能策略來買進高價股的並賣出低價股的這種投資組合，反而會造成虧損，本研究之價格動能效果與Jegadeesh and Titman的動能策略並不相符。再者，於規模動能效果中發現，小規模公司組合的報酬率，鋼鐵與營建類股之月報酬率都在0.5%以上，皆高於大規模公司組合，本文建議用規模動能策略來進行投資，以獲得較佳的報酬。在Fama and French三因子模型下，水泥類股之市場風險的解釋能力較佳，鋼鐵類股之公司規模與帳面價值/市價比的解釋能力較佳，營建類股之市場風險與公司規模的解釋能力較佳，因此規模因子是解釋不動產類股報酬較佳之方式，也符合規模動能策略。 This study investigated the impact of stock price fluctuation and firm size of real estate industry on momentum effect of construction, cement and steel sectors in Taiwan. The effect of market risk, firm size and book-to-market ratio changes on the real estate-related stock returns was also examined. The empirical results demonstrated that the time period for real estate stock returns to reach its peak is usually within one year. Only the cement sector's high price stock return rate surpasses the low price stock. However, most of the low-priced stock return exceeded the high-priced stock return by more than 1% in steel and construction sector. Therefore, adopting the momentum strategies that suggested investors to buy expensive stocks and to sell cheaper shares will always cause losses. The price momentum effect of the study is inconsistent with the momentum strategies proposed by Jegadeesh and Titman (1993). Moreover, the empirical result of scale momentum effect also showed that monthly returns of steel and construction stocks of smaller firms were at least 0.5% and better than that of large firm portfolio. Hence, this study suggested using scale momentum strategies for better stock returns in real estate industry. The Fama and French three-factor model explained the factor of market risk in the cement portfolio better, while company size and book-to-market ratio had better explanatory power in the steel sector. In construction portfolio, market risk and firm size were the best explanatory factors. Therefore, using scale factors to explain the real estate stocks is not only the most appropriate method, but also consistent with the results of scale momentum strategies.
