| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 99 === The study aims to examine stock performance of multi-dimensional style investing to test statistical significance of excess return. Apart from traditional approach, we integrate three dimensions, i.e., company characteristic, firm size, and stock liquidity, into style investment. The data is sourced from Taiwan Economic Journal (TEJ) and Taiwan Stock Exchange (TWSE), sampled from publicly listed firms for the period of 2001-2009. The research results indicate that of all the style portfolios, three-dimensional portfolios perform much better than the market index. In addition, six out of eight three-dimensional style portfolios have significant excess returns over those of traditional one- and two-dimensional portfolios. We thus conclude that three-dimensional style investing is a good criterion for stock selectivity to form a style portfolio.
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