本論文旨在探討價格動能和情緒動能間的影響。首先，本研究發現價格動能因子在捕捉市場和投資者情緒具有顯著效果。其次，情緒動能與短期和長期反轉因子對於價格動能均具有解釋能力，並且在市場波動也很重要。進一步的分析顯示，情緒動能對於大型股價格的影響較為顯著，且加入反轉因子後，大型且過去報酬率較高的股票，對價格動能導致的超額報酬影響較大，也就是投資者會讓市場情緒高昂，此時若進行反向決策可能獲得較高的報酬。

本研究的結果證明價格動能和情緒動能在投資市場中的重要性，且價格動能也是情緒動能的一種表現，也就是當情緒動能較高時，會讓價格動能產生的超額報酬增加，將導致超額報酬減少，投資者和金融機構可以利用這些因子來制定更具洞察力和預測能力的投資策略，同時，監管機構應關注情緒動能因子，以提高風險管理和市場監管的效能。

這些發現對於投資者、金融機構和監管機構都具有重要意義，並為進一步研究提供了方向。未來的研究可以更深入地探討情緒動能因子的來源和影響因素，考慮時間變化帶來的市場環境變化，有助於更全面的理解市場行為。

This paper aims to examine the impact between price momentum and sentiment momentum. Firstly, this research finds that the price momentum factor effectively captures market and investor sentiment. Secondly, sentiment momentum exhibits explanatory power for both short-term and long-term reversal factors in price momentum and is also significant during market volatility. Further analysis reveals that sentiment momentum has a more pronounced impact on the prices of large-cap stocks. Additionally, when combined with reversal factors, stocks that are both large-cap and have higher past returns show a stronger influence on the excess returns generated by price momentum. This implies that investors tend to amplify market sentiment, and contrarian strategies can lead to higher short-term returns.

The results of this study demonstrate the importance of both price momentum and sentiment momentum in the investment market. Price momentum can be seen as a manifestation of sentiment momentum, as higher sentiment momentum increases the excess returns generated by price momentum, resulting in reduced excess returns. Investors and financial institutions can utilize these factors to develop more insightful and predictive investment strategies. Moreover, regulatory agencies should pay attention to sentiment momentum factors to enhance risk management and market oversight.

These findings hold significance for investors, financial institutions, and regulatory agencies, and provide directions for further research. Future studies can delve deeper into the sources and influencing factors of sentiment momentum, considering the market environment changes over time, to gain a more comprehensive understanding of market behavior.

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