本研究以1986年至2000年間的上市公司為研究對象，探討在各種不同的選股策略之下，是否能為投資人帶來超越台股大盤的超額投資報酬。同時並研究投資人在享有超額投資報酬的同時，是否同時也承擔了較高的投資風險。實證結果發現：
1.在價值型選股策略方面，以本銷比的表現為最佳，只要持有的投資期間超過一年以上，不但可以具有顯著的超額投資報酬，而且也不需要承受較高的投資風險。現金流量比率則在一至二年的持有期間下，具有顯著優於大盤的表現。股利殖利率以及益本比在選股時較不具有指標性的作用。2.在成長型選股策略方面，以研發費用率的表現為最佳，只要持有的投資期間超過一年以上，不但可以具有顯著的超額投資報酬，而且也不需要承受較高的投資風險。總資產報酬率、淨值報酬率及資產報酬率的成長率雖無法帶來較高的超額投資報酬，但是經風險調整後的報酬均有不錯的表現，都可算是比較穩健的投資策略。銷售成長率在各項分析的結果不一致。市價淨值比在選股時不具有指標性的作用。3.台股在短期內的規模效應較顯著。

　　This study examines the profitability and investment risk of a broad range of stock selection strategies in Taiwan Stock Exchange market over the period 1986-2000.In this study, we not only focus our attention on investment return, but also take investment risks into consideration at the same time. In addition to traditional risk measurment methods, including Sharpe ratio, Treynor ratio, and Jensen ratio, this study also make use of the downside risk approach to measure the investment risk of these stock selection strategies.
　　This study document that the SP ratio is the most successful strategy to earn the excess return without higher investment risks in value investment strategies. The cash flow percentage portfolio is also significant when the holding period is two years. However, the DP and EP ratio do not have significant effects in Taiwan stock market. With regard to growth investment strategries, the RD ratio is the most successful strategy to earn the excess return without higher investment risks on condition that the holding period is over one year. ROE, ROA, and ROAG can only gain excess return in specific period, but they can outperform the market after the adjustion of these risk measures. The SG ratio does not have consistent results among these measuring methods. MTB ratio does not have significant effects in Taiwan stock market. As for scale investment strategries, the SIZE ratio has significant effects in the short term of holding period.

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