鑒於理財投資為現代人必備能力，卻因金融海嘯等環境因素或擇股標的不當，有慘痛經驗，屢見不鮮。有鑑於此，本研究目的為台灣股民選股提出更好的建議，而該如何在眾多策略中找出最佳策略？本文使用Python語言撰寫相關程式，以計算F-Score、淨值市值比Book to Market Ratio(BM)、股價淨值比Price to Book Ratio (PB)、本益比Price to Earning Ratio (PE)、股價營收比Price to Sales Ratio(PS)、股利殖利率Dividend Yield (Y)、成交量Trading Volume (TV)、法人持股Institutional Investors Holding (IIH)及企業社會責任CSR(Corporate Social Responsibility)等因子比值和十分位數，回測台灣股票市場2008年到2015年之投資報酬績效表現。此外，本研究以永續競爭優勢角度，以市值Market Value (MV)、法人持股Institutional Investors Holding (IIH)、企業社會責任CSR(Corporate Social Responsibility)因子區分大小公司和F-Score搭配，驗證前述投資報酬績效。
最後，將總投資報酬率前30%的因子，高F-Score(7-9分)、高淨值市值比(70%-100%)、低股價淨值比(0%-30%)、低本益本(0%-30%)、低股價營收比(0%-30%)、高股息殖利率(70-100%)、低成交量(0%-30%)、高法人持股(70%-100%)、企業社會責任CSR(上榜)，進行組合搭配，對此組合做投資報酬績效驗證。研究顯示，使用因子搭配之方法，能確實提高策略性選股投資報酬之績效，以期望對投資人提出更佳建議賺取更高報酬，為台灣股市注入活水。

The purpose of this paper is trying to find out the best portfolio in Taiwan stock market. I will use the data of public corporations in TEJ (Taiwan Economic Journal) and based on Piotroski’s (2000) “F-Score model” adding several new factors such as CSR (Corporate social responsibility) to develop a new model which assist different risk appetite investors find out their best portfolios. As a result, this model is very effective in Taiwan stock market and can bring up higher return rate.

林泓寬 (2016) F-Score 及多因子擇股模型於台灣股票市場之實證. 成功大學經營管理碩士學位學程 (AMBA) 學位論文, 1-59
葉怡成，吳盛富 (2013) 台灣股市何種選股模型行得通？
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