| Summary: | 本研究以台灣股市為實證對象，首先檢驗價值股組合能否創造出較其他投資組合優異的績效表現。接著，搭配成長因子、財務結構面、市場流動性等指標，探討可否藉由這些方法提升原始價值股組合之報酬。最後，以產業別為基礎，自台灣股市中選取紡織纖維業、電機機械業、化學工業、電子業、營造建材業、金融保險業六個產業，觀察個別產業是否也具有價值效應、規模效應和季節性現象。
研究結論如下：
一、不論是盈餘/市價比、淨值/市價比、銷貨/市價比哪一種分類指標，價值股組合之績效均明顯優於所有股票組合與成長股組合，其中又以淨值/市價比價值股組合的表現最好；此外，價值股組合之報酬變異程度亦較小。本研究此部分之結論與多數國內文獻的實證結果一致。
二、在成長因子、財務結構面、市場流動性三種提升價值股組合績效之指標中，以剔除負債比率最高組（即衡量財務結構面）的方式最有效；此結論與黃淑娟（1998）發現衡量財務結構面及市場流動性對績效提升較有效的結果類似。相對地，結合成長因子之新投資組合的報酬卻嚴重落後所有股票組合和原始盈餘/市價比價值股組合；此結論與Ahmed and Nanda（2001）發現結合成長特徵之價值型股票能提高報酬的實證結果相異。
三、以產業類股為基礎下，原則上每個產業之價值股組合的績效均優於各該產業所有股票組合及成長股組合，但各產業最適用之價格比率分類指標不盡相同。此外，這些產業也都存在規模效應，即小型股組合之績效均優於大型股組合，同時，各產業大致皆呈現小型股組合的報酬波動程度高於大型股組合。另一方面，每個產業都有月份效應，績效最好之時期為1月份、12月份。
而進行產業間之比較則可發現，電子產業的表現最為出色，尤其是價值股組合；相對地，紡織業則表現不佳。
=== In this study, we detected the characteristics of the stock market in Taiwan. First, we examined whether value stocks perform better than growth stocks. Second, we tried to improve the return of value stocks by using three value enhancers (i.e., the growth factor, the financial structure, and the market liquidity.) Finally, we chose six industries from the stock market, including the textile industry, the electrical machinery industry, the chemical industry, the electron industry, the building/construction industry, and the finance/insurance industry, to see if there exist the value effect, the size effect, and the monthly effect for individual industries.
Our results are as follows:
1. The value effect exists in the Taiwan stock market; in other words, value stocks always outperform growth stocks. And the return of value stocks based on book-to-price ratio is the highest among different portfolio examined. Besides, book-to-price ratio is the best indicator to divide stocks into value stocks and growth stocks.
2. Of the three value enhancers used to improve performance, the financial structure is the most effective one. However, the performance of the new portfolio which incorporates the growth factor to select value stocks is much lower than that of value stocks based on earnings-to-price ratio.
3. Each individual industry shows the value effect, the size effect, and the monthly effect. Among these six industries, the performance of the electron industry is the best, especially for value stocks, whereas the performance of the textile industry is comparatively poor.
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