本研究以台灣股票市場上市、櫃公司為樣本，探討不同風格特性之股票其投資報酬率是否出現顯著差異。本研究參考學者Griffin and Lemmon(2002)研究方法，利用「淨值市價比」作為分類價值股與成長股的依據，再以兩種財務危機風險評量指標O-score及TCRI進行區分，將標的公司發生財務危機風險之機率進行排序比較，探討結果是否呈現差異，並選取較適合的財務危機風險評量指標，進一步探討此分類下，不同規模的公司其投資績效是否產生顯著之變化。同時進一步延伸Fama and French(1995)三因子模型，再納入財務危機風險(Griffin and Lemmon, 2002)及非財務變數董監持股比率(Daily and Dalton, 1994)，試圖對台灣股票市場報酬來源提出解釋，暨望能對影響台灣股票市場報酬來源提供較完整的解釋。

實証結果顯示進行股票風格分類時，財務危機指標採O-score分類所得結果較TCRI為佳，代表TCRI指標較不適用在本研究之分類上。此外，本研究根據「淨值市價比」及「O-score」分類下，考量公司規模因素對投資績效之影響，結果發現無論公司規模，均呈現價值股報酬顯著優於成長股，且財務危機發生機率大致與投資報酬率呈反向關係。此外，無論公司規模，大部分價值型投資組合呈現顯著優於市場報酬，而成長型投資組合則呈現顯著劣於市場報酬之現象。

報酬來源之實證結果發現台灣股票市場中，市場因素及淨值市價比因素對股票報酬有顯著的正向關係，而財務危機因素與董監持股因素對股票報酬則呈現負向關係，但公司規模與報酬來源之關係，在不同模式呈現之結果有所差異。此外發現四因子模式所能提供之解釋能力確實優於Fama and French三因子模型，而五因子模式與四因子模式之使用時機依公司規模而有所差異。

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