以往的研究在探討價值型投資法(value investing)時，多以單一因子判定股票是否為價值型，並以一個時點對股票評等後，以長期的買入持有策略(buy and hold strategy)衡量績效。本研究則使用多因子(淨值市價比B/P、盈餘市價比E/P及現金股利市價比D/P)評量價值型股票的方法，對台灣上市公司(不含金融產業)進行價值型評等，並定期(每季)重新評等、調整投資組合的股票，累積各期間的績效，探討多因子價值型評量方法的績效。我們以相關分析和列聯表分析的方法測試多因子評等持續性和穩定性，以Carhart(1997)四因子模型計算價值型投資組合的alpha。我們發現在台灣市場，無論是每季、半年、年的評等都具有持續性，評等的高價值型股票，其現金股利殖利率和股價績效皆優於市場和低價值型股票。

Previous studies have investigated the method of value-investing by using at least one single-factor to determine the value of stock. After evaluating the stock at a point of time, they have used buy-and-hold strategy to measure the performance. In this study, we have used multi-factor valuation (such as net market value by B/P ratio, the surplus market value by E/P ratio, and cash dividends market value by D/P ratio) to determine the value of stock. The data used are company listed in Taiwan Stock Exchange (exclude financial industry) for the multi-factor valuation, based on regular basis (quarterly) reassessment, adjusted portfolio shares, accumulated period for performance to investigate the multi-factor valuation for each assessment. We have used correlation and contingency analysis method to test the multi-factor ratings continuity and stability. Based on four-factor model used to calculate the value portfolio alpha in Carhart (1997), we have found for the market in Taiwan, either quarterly, six months, yearly assessment, they are all persistent, and its performance are superior in market and growth stocks.

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中文文獻：
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