本研究是採Hou et al. (2012)公司基本面盈餘預測模型及延伸加入Cheng (2005)提出的業外損益與極端ROE等因素，預測公司未來盈餘，再運用Frankel and Lee (1998)提出之剩餘利益評價模型RIVM(Residual Income Valuation Model)對臺灣上市櫃公司進行真實價值評估，並分析公司真實價值對股價比率(V/P)與股票未來報酬之關係。實證結果發現，在臺灣股票市場以剩餘利益評價模型建構投資組合之投資績效顯著優於台灣50，此結論更可推論該報酬率亦優於大盤指數。本研究另發現剩餘利益評價模型在IFRS制度下仍有其適用性。除此之外，本研究克服以往文獻資料，需運用分析師盈餘預測資料才能以剩餘利益評價模型評估公司真實價值之限制，也提供投資人投資方向的參考，希冀為投資人創造更高的獲利與報酬。

This study extend the earnings forecast model of Hou et al. (2012) by adding non-operating income and extreme ROE proposed by Cheng (2005) to forecast the company’s future earnings. The RIVM (Residual Income Valuation Model) proposed by Frankel and Lee (1998) is used to estimate intrinsic value of TSE-listed and OTC-listed companies of Taiwan. The empirical results show that investment performance of investment portfolio constructed with RIVM in Taiwan’s stock market is significantly better than that of 0050 ETF. It can be inferred that such return is also superior to the market index. It is also found that RIVM has its applicability under IFRS. Besides, this study overcomes the restrictions in previous literatures that the company’s intrinsic value can only be estimated with RIVM by using earnings forecast data of the analyst. The findings provide reference to investors in investment portfolio construction, hoping to create higher investment performance for investors.

一、 中文部分
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