本研究則嘗試探討上市櫃公司每月營收年成長率的資訊價值來源，研究樣本期間為2009年12月至2015年12月，研究結果發現此期間已公告月營收資訊是具有意義的，依照月營收較去年同期成長公司之條件所構成投資組合每月預期報酬率可獲得異常報酬，且月營收年增率越高公司投資組合獲取之異常報酬也越高。月營收正成長投資組合的資訊價值來自下列兩點：
一、月營收正成長投資組合獲取極端正報酬的機率較高，而獲取極端負報酬的機率較低。
二、月營收正成長投資組合所含投資標的，若次月營收持續成長，則次月營收可持續成長的公司可獲得較高預期報酬。

This study attempted to explore the value of information of all listed company's monthly revenue annual growth rate. This research found that announced monthly revenue is meaningful in the data sample period from December 2009 to December 2015. A portfolio composed of the company which announced the monthly revenue higher than the same period last year may get higher abnormal return, the higher the monthly revenue growth rate, the higher the abnormal return. The information of the monthly revenue growth rate is from the following points:
1. A company announced the monthly revenue higher than the same period last year may obtain a higher probability of extreme positive returns , and obtain a lower probability of extreme negative returns
2. In the portfolio composed of the company which announced the monthly revenue higher than the same period last year, we may get higher expected return, if it’s underlyings’ next monthly revenue continued higher than the same period last year.

一、國內文獻
簡雪芳(1998)，月營收公告資訊內涵之相關研究，國立台灣商學研究所，博士論文
甯正宇(2008)，台灣股市營收動能策略之實證研究，國立政治大學經營管理碩士學程，碩士論文
巫建廷(2014)，台灣上市櫃公司月營收之資訊內涵與交易策略，國立中山大學財務管理研究所，碩士論文
楊仕佾(2011)，Alpha套利投資策略研究，私立輔仁大學金融與國際企業學系金融碩士班，碩士論文
江明南(2002)，前後期未預期月營收關連性之探討，國立台灣大學會計學研究所，碩士論文
沈勤瑋(2015)，每月營收公告對投資人決策之影響，國立台灣大學國際企業學研究所，碩士論文
張耿尉(1997)，月營收反應係數之研究-成長機會之探討，國立彰化師範大學商業教育學系，碩士論文

二、國外文獻
Chen, Hong-Yi and Chen, Sheng‐Syan and Hsin, Chin-Wen and Lee, Cheng-Few, 2011,”Does revenue momentum drive or ride earnings or price momentum?”, Journal of Banking and Finance 38, 166-185.
Fama, Eugene F. and French, Kenneth R., 2015, “A Five-Factor Asset Pricing Model”, Journal of Financial Economics 116, 1-22.