摘要
本研究主要是以台灣上市、櫃之股票市場以及Russell 1000為研究樣本，期間分別為1991/5/1~2005/4/30、1991/7/1~2005/6/30，探討不同風格持性之股票其投資報酬率是否有顯著差異。本篇是引用Griffin and Lemmon(2002)與Ohlson(1980)之研究方法，首先找出台灣之財務預警模型，計算出各公司財務危機機率，以「淨值市價比」，將股票區分成三等份(30%，40%，30%)，並定義最高及最低之30%為價值股與成長股，之後再以財務危機風險為指標均分成五等份，並組成15個投資組合，探討其績效結果是否呈現差異，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。另外，本研究延伸Fama and French(1995)三因子模型，將納入財務危機風險(Griffin and Lemmon,2002)，試圖對台灣及美國股票市場報酬來源提出解釋，暨望能對影響台灣及美國股票市場報酬來源提供較完整之解釋。

實證結果發現，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，無論公司規模，均呈現價值股報酬顯著優於成長股，且除成長股部分不顯著外，財務危機發生機率大致與投資報酬率呈反向關係，再比較台灣各投資組合與市場報酬之差異亦可發現，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無論台灣或美國市場，四因子模型較Fama and French三因子模型能提供較完整之解釋，其中市場因素與淨值市價比因素對股票報酬有顯著的正相關；規模因素對股票報酬有顯著的負相關；財務危機風險因素對股票報酬有顯著的負相關。

Abstract
This study mainly adopts listed and OTC stock markets in Taiwan and Russell 1000 of the US as samples of research from May 1. 1991 to April 30. 2005. and from July 1. 1991. to June 30. 2005. We intend to discuss whether there are differences of the return on investment between stocks with different styles and features. This study adopts the methodology of Griffin and Lemmon (2002) and Ohlson (1980). First, we locate the financial alarm model of Taiwan and calculate the probability of a financial crisis of different companies. Then we classify the stocks in three portions with “BE/ME” (30%, 40%, 30%) and define the highest 30% and the lowest 30% as the value stock and the growth stock respectively. In the next step, we divide each of the portions into 5 portions according to the risk of financial crisis. Altogether there are 15 portfolios, in which we discuss whether there is a difference in their performance. Then, we further discuss if there are distinct changes of the investment performance between large firms and small firms in this way of classification. Moreover, this study is an extension of the Fama and French (1995) three-factor model, bringing into account the financial distress risk (Griffin and Lemmon, 2002). This study tries to explain the sources of return of stock markets in Taiwan and the US and to provide a complete explanation for influences of the sources of return of stock markets in Taiwan and the US.

With the classification according to “HML(book to market)” and “O-score”, when evaluating the influence of firm of SMB on the performance of investment, this study finds that regardless of the firm size, the return of value Stock is higher than the growth Stock. We find that the probability of a financial crisis is mainly negatively related to the stock return. Through comparing the differences between the market return of different portfolios in Taiwan. This study finds that regardless of the firm size, most of the value-type portfolios have a higher return than the market average, while the growth-type portfolios have less return than the market average.

According to the demonstration results of the sources of return, either in the market of Taiwan or the American market, the four-factor model can provide a more complete explanation than the three-factor model of Fama and French. The results of both the MTB and BE/ME factors are positively related to the stock return; while the SMB is in negatively related to the stock return. The financial crisis is negatively related to the stock return.

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