傳統的效率市場假說至今仍然遭受行為財務學派的質疑，而支持行為財務學派的學者認為投資人能藉由特定的操作策略，在金融市場中獲得大於分散投資風險組合的投資報酬率。本文探討Carhart(1997)四因子模型在台灣開放型基金市場當中的適用性，選用開放型基金當中股票型基金作為研究對象，樣本期間從2006年1月至2012年12月間之月資料。
實證結果發現，在形成期結束和建構動能投資組合間，分別延遲1或2個月時，發現動能投資組合有更佳的報酬，證實台股存在中期動能，且在12個月後出現顯著反轉。即表示投資人也可在反向結束後，利用動能策略從中獲利，且動能策略獲得報酬較中其動能來的大，同時發現Carhart(1997)四因子無法成為分析台灣基金的風險模型。而行為財務理論中Daniel、Hirsheifer、& Subrahmanyam(1998)模型對台灣基金中的動能效應有較合理解釋。
Following Jegadeesh and Titman (1993), construct a momentum portfolio by buying the winner and selling the loser. The portfolio can be proved positive average profits, signification. The Carhart (1997) added the momentum in Fama & French (1993) multifactors model, form to four factors model.
The abnormal positive average return will be increased, if their delay one or two months to form the momentum portfolio, we also find the other middle-term price reversed pattern within the twelve months, just after the price momentum period. According to the result, the investors can generate abnormal return using the middle-term price momentum strategies . To interpret these anomalies, this study demonstrates model of the Carhart (1997) four factors model, could not be an adequate one in describing price behaviors of Taiwan’s mutual fund market . We also explain that the Behavioral Finance model of Daniel ,et al.(1998) is more successful than the Barberis, et al.(1998) and the Hong and Stein(1999) models for explaining the momentum strategies in Taiwan's mutual funds market.
