本研究為探討Frankel and Lee （1998）之剩餘利益評價模型（Residual Income Valuation Model）所推導出的公司價值，並採用Hou et al. （2012）公司基本面盈餘預測模型對國內上市上櫃公司的內涵價值（intrinsic value）進行估計，並分析內涵價值對股價比率（V/P）與股票未來報酬之間的關係。本研究發現根據V/P 分組建構的投資組合，在未來一至三年經市場調整的買入並持有超額報酬套利分別達到20.45%、35.58% 和45.82%；買入並持有V/P最高組的投資組合，其一至三年的買入並持有報酬率皆顯著高於台灣50指數的同期報酬，分別為14.17%、23.79% 和26.51%。若將盈餘品質再加入投資組合建構的考量，選取V/P最高組與裁決性應計數最低組的公司，一至三年的買入並持有超額報酬率更高達26.73%、44.85% 和57.36%。本研究克服了以往文獻中運用證券分析師盈餘預測進行剩餘利益評價模型評價的限制，並提供了我國資本市場確實可行的基於剩餘利益評價模型的投資組合策略。

This paper evaluates the usefulness of Frankel and Lee (1998) in Taiwan stock market. I estimate a firm’s fundamental value using the residual income valuation model and the earnings forecasts model to assess the intrinsic value of stock by Hou et al. (2012). These are done in order to estimate the relationship between the value-to-price ratios and expected stock returns in the Taiwan stock market. According to our results from one and three year periods, buy-and-hold returns from V/P strategies earned 20.45%, 35.58% and 45.82% abnormal returns; and buy-and-hold returns from higher V/P strategies also earned 14.17%, 23.79% and 26.51% abnormal returns, more than the ETF 0050 over those one and three year periods. In addition, we found abnormal returns, 26.73%, 44.85% and 57.36%, accompanying the high earnings quality and earnings forecasts model. This paper presents evidence that the earnings forecasts model can proxy for analysts’ forecasts in prior studies, and it provides an investment strategy for the stock market.

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2.林萍珍、陳稼興、林文修（2011）。遺傳演算法在使用者導向的投資組合選擇之應用。資訊管理學報，7(1) ，頁155-171。
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