本文從價值投資的概念出發，研究在台灣股票市場中結合價值策略(value strategy)指標,如帳面市值比(book-to-market ratio, B/M)，和質量策略(quality strategy)的指標，如FSCORE(Piotroski, 2000), 毛利資產報酬率(gross profit-to-assets, GP/TA)(Novy-Marx, 2013)及Zquality(Asness, Frazzini, & Pedersen, 2019)，做多其中價值高質(value & strong)兼具的股票，做空成長低質(weak & growth)兼具的股票，構成市場定價與企業基本面背離的對沖投組，檢驗此複合型策略是否有顯著的對沖報酬，是否有超過單一策略的績效表現，以及哪種複合策略最適用於台灣市場。
實證研究結果顯示，研究期間(1999/07-2019/06)複合對沖策略(B/M&FSCORE、B/M&GP/TA和B/M&Zquality)的表現是符合預期的，買賣定價與基本面質量背離的企業能夠獲得正向的對沖報酬，然而僅有複合策略(B/M&GP/TA)的對沖報酬(hedge return)、超額收益(excess return)在平均權重和市值加權的情況下，均具有統計上的顯著性(市值加權的情況下，該策略之風險調整收益不具統計上的顯著性)。相對於單一策略，結合價值和質量指標兩者能夠顯著提升績效，然而於市值加權下，僅B/M&GP/TA的績效提升達到顯著水平。整體來看，B/M&GP/TA的投組表現於經濟意義上明顯高於B/M&FSCORE和B/M&Zquality，然而三個策略之間的報酬率不具有統計上的顯著差異。
另外，所有複合型策略在小市值股票上有更顯著的對沖報酬，而且在提升單一策略的績效上均達顯著水準。對於不做空的價值投資者而言，B/M&GP/TA是於台灣股市場相對較佳的選擇，即便其與B/M&FSCORE和B/M&Zquality的績效差異並不顯著。以其他價值指標(益本比、現金流市值比、銷售市值比、息稅前淨利潤與企業價值比)作為B/M之替代，發現B/M於台灣股票市場仍是作為價值指標之最佳選擇。

This article composites the value metric (B/M) and quality metric (FSCORE, GP/TA, Zquality) for constructing three strategies (B/M&FSCORE, B/M&GP/TA, B/M&Zquality) to identify the mispriced stocks based on the thought of value investing in the Taiwan stock market from 1999/07 to 2019/06. The result shows that one of the composite strategies (B/M &GP/TA) do have statistically significant hedge return and excess return in both average weighting and value weighting, but its return is statistically insignificant after adjusting by the common risk factors in value weighting. Compared with single strategy (B/M, FSCORE, GP/TA, Zquality), composite strategy performances better in hedge return, Sharpe ratio and max drawdown, although only B/M&GP/TA keep significantly different with its single strategy in value weighting. Finally, there is no statistical difference between those three composite strategies, whereas B/M&GP/TA performs the best in the view of economic. Moreover, this article also concerns the composite strategy with firm size, long-only positions, and other value metrics. Firstly, all composite strategies get significant hedge return and improvement in small-cap firms, while only B/M&GP/TA keeps the statistical significance in big-cap firms. Secondly, there is no statistical difference between those three composite strategies with long-only positions, B/M&GP/TA shows the best performance with economically significance. Finally, B/M still is the most suitable value metric as the value investing in Taiwan stock market compared with E/P, CF/P, S/P, EBIT/EV.

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