本研究旨在探討以F-Score 為首要選股依據，並且定義F-Score於樣本中排名前10%為高F-Score、排名後10%為低F-Score，分別搭配公司規模、帳市值比、現金股利率及公司治理評鑑分數組成不同之投資組合，高F-Score之投資組合績效是否優於低F-Score 之投資組合或大盤、是否有績效最佳之投資組合。本研究以2015年至2022年台灣上市公司為樣本，並分為策略1：以當年年初之當日收盤價買進、隔年年初之當日收盤價賣出；策略2：以當年年底之當日收盤價買進、隔年年底之當日收盤價賣出，以T檢定及ANOVA檢定進行實證研究。
研究結果顯示，於策略1，投資高F-Score投資組合的報酬率高於投資低F-Score投資組合及大盤的報酬率，且高F-Score搭配低帳市值比之投資組合平均擁有最高的報酬率；而於策略2，各投資組合的報酬率於統計上無顯著差異，以F-Score為選股依據之策略雖具有本身之價值，但股價於當年便會完全反映，符合效率市場假說 (Efficient Market Hypothesis)，無法具有預測效能。另外，也發現在排除 Covid-19 影響期間 (2020年至2022年) 的策略2下，高 F-Score搭配高帳市值比、低公司治理評鑑分數、大公司規模組成之投資組合，報酬率則會顯著高於低F-Score之投資組合報酬率，其餘投資組合皆無。

This study investigates using the F-Score as the primary stock selection criterion, defining the top 10% as high F-Score and the bottom 10% as low F-Score. It combines these groups with company size, book-to-market ratio, cash dividend yield, and corporate governance scores to form different portfolios. The study evaluates whether high F-Score portfolios outperform low F-Score portfolios and the market, and identifies the best performing portfolio. The sample includes TWSE-Listed companies from 2015 to 2022. Two strategies are used: Strategy 1 buys at the first trading day's closing price of the year and sells at the next year's first trading day's closing price; Strategy 2 buys at the last trading day's closing price of the year and sells at the next year's last trading day's closing price. T-tests and ANOVA tests are employed. Results show that under Strategy 1, high F-Score portfolios outperform low F-Score portfolios and the market, with the highest returns from high F-Score portfolios combined with low book-to-market ratios. Under Strategy 2, no significant differences are found among portfolio returns, aligning with the Efficient Market Hypothesis. Excluding the COVID-19 period (2020-2022), Strategy 2 shows high F-Score portfolios combined with high book-to-market ratios, low corporate governance scores, and large company sizes significantly outperform low F-Score portfolios. Other combinations show no significant differences.

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