本研究方法主要參考對象為Fama and French (1992) and Griffin and Lemmon (2002), 以上學者發現了在高破產風險因子下的高淨值市價比與低淨值市價比間股票報酬間的差異相較於其他破產因子群組，高達兩倍以上，主要原因為低淨值市價比所帶來相對低的報酬率所導致。儘管Griffin and Lemmon (2002)發現了以上的結果， 但他們並沒有去加入O-score因子去建構一個對於此現象能夠有更完整解釋能力的模型。所以此篇研究主要貢獻在於建構一個加入O-score四因子模型來尋求一個更完整的解釋能力。接著，此研究更將加入O-score四因子模型與Carhart再1995建構的四因子模型以及對於往後研究者的建議事項。

This study mainly duplicated the method of Fama and French (1992) and Griffin and Lemmon (2002), They find that the difference in returns between high and low BE/ME securities among firms with the highest risk of distress is more than twice as large as the return in other groups, and is driven by extremely low returns on firms with low BE/ME. Nevertheless the result found by Griffin and Lemmon (2002), they do not propose O-Score factor to form the more complete model to explain difference in returns between high and low BE/ME securities. So the contribution of this study is to build the four-factor model to seek more complete explanations. Furthermore, this study compares this new four-factor model with Carhart’s (1995) four-factory model and makes some suggestions for the later research.

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