本研究利用Fama and French三因子模型與Carhart四因子模型為基礎去衡量台灣之股票型共同基金是否擁有風險調整後超額報酬，並利用基金規模排序去建立投資組合，衡量期分別為季、半年與一年去檢定在不同基金規模與衡量期間下，基金規模對於績效的影響之持續期有多長。實證資料以2002年1月至2009年12月之基金月報酬，選取175檔開放式股票型基金作為研究樣本。
實證結果指出在三及四因子評價模型中，台灣股票型基金績效表現不佳，此結果代表考慮風險因子後，投資在台灣之股票型基金沒有正值的超額報酬。而在三因子與四因子模型調整後超額報酬可發現，基金規模在不同衡量期間大致上都與績效表現呈正向相關，也就是投資於大規模股票型基金將獲得較高的報酬。

This study employs Fama-French three-factor model and Carhart four-factor model to evaluate the portfolio performance of Taiwan stock mutual funds. We construct five portfolios accounting to the scale in top 20%, next 20%, etc. of fund size, and adjust the portfolios every three months, six months, and one year to examine whether the size-related portfolios can produce positive abnormal return and to find their respective duration. In our empirical study one hundred seventy-five stock mutual funds were selected from Taiwan stock fund market over the period from 2002 to 2009 and their monthly returns were employed to validate the models.
By the results of the empirical study, we found that the stock mutual funds did not earn a positive abnormal (excess) return by using three-factor and four-factor models to evaluate the performance of the portfolios. In addition, we also found that the return and fund size have a positive relationship which indicates that one can obtain a higher return by investing in a large-sized mutual fund in Taiwan fund market.

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