| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === In this paper, the concept of investment style as a starting point, and use the Taiwan stock market for all companies listed and delisting under the basis from 2002 to 2011, appling Morningstar Style Box for categorization of the stock listed and delisting divided into nine-grid style box. The style flow as a dependent variable, turnover rate, return, size and risk are the independent variables, then investigate the competition between different styles, the popular styles have a positive impact for the delisting in its style, as well as individual stocks have positive effects on the subsequent inflows relative to other stocks within the style. Finally, tested whether a combination of stocks within the selected style chasing strategy would be a profitable investment？
The result shows that the return and turnover rate of an investment style, relative to the return and turnover rate of other styles, is non-significant on the money flows of the style. And in the case of competing, the turnover rank and the return rank up or down, is non-significant affect subsequent inflows into the stock. It may be most of the companies focus on Company operations, not on the turnover rate and return of stock. Compared with the manager of funds, they should pay more attention on the turnover rate and return of fund, because of the competition and performance of funds.
Finally, a combination of stocks within the selected style chasing strategy would be a profitable investment？Results show at 2nd lags , the higher the stock popularity, the more the return；the longer the holding periods, the stocks reward is more abvious；style risk is also a significant positive correlation, which means that the greater the stock risk, the higher the return in Taiwan stock market.
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