本文旨在檢驗以剩餘利益評價模型估計出之台灣上市公司股票真實價值，並依價值股價比建構投資組合買進並持有一定期間、是否可獲得優於投資同期加權股價指數及元大台灣高股息證券投資信託基金之同期報酬。實證結果發現，當以前期盈餘操作剩餘利益評價模型而估算出之價值股價比，即可作為一獲得較高報酬之可靠參考。而改以會計基礎盈餘預測模式，預測未來盈餘再搭配剩餘利益評價模式，買入並持有價值股價比高之投資組合，所獲報酬會較買入並持有低價值股價比者為高，且亦優於以前期盈餘操作剩餘利益評價模型之結果。為避免報酬受加權指數波動之影響，本文再與加權股價指數報酬相較，發現買入並持有高價值股價比之投資組合，均較同期間加權股價指數有更高之報酬率。最後比較以價值股價比為策略建構投資組合之報酬是否優於投資元大台灣高股息ETF所獲之報酬，結果亦顯示以高價值股價比所建構之投資組合獲有較好之異常報酬。

This study uses the residual income valuation model to estimate a firm’s (in the Taiwan market) fundamental value (V) and construct a portfolio based on the ratio of fundamental value and its market price (V/P).WE examine whether the buy and hold return of this portfolio is better or not than those of TSEC weighted index or Yuanta/P-shares Taiwan Dividend Plus ETF in the same period. The empirical results find that when we estimate a firm’s fundamental value based on its historical ROE, the V_h/P value can be a reliable indicator of future earnings. When we substitute historical ROE with forecasted earnings (V_f), which estimated by accounting-based earning forecasting model, the high V_f/P portfolio has superior return than the low V_f/P portfolio. Further, we calculate the abnormal returns relative to TSEC weighted index and find that the portfolio with higher V_f/P ratio could have higher abnormal returns. Finally, the result shows that when use V_f/P ratio as a strategy to build a portfolio, the buy-and–hold returns of the portfolio with higher V_f/Pratioare also higher than those of Yuanta/P-shares Taiwan Dividend Plus ETF.

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