價值投資與成長投資方法，一直深受國際法人專業投資機構與國內外共同基金經理人所喜愛，用來選股的投資策略方法。本研究旨在於探討市價/淨值比及市價/盈餘比所分類出價值股與成長股投資策略方法之投資報酬績效是否超越加權指數，並期望尋求更佳投資策略，藉以提昇投資績效。另外，本研究同時也探討有關於市場異常現象，如元月效應及規模效應等，並討論股票持有期間長短與負債比率等變數，分別以月報酬率及年報酬率推得一、二、三、四及五年年累積異常報酬率，衡量這些變數在價值股與成長股上是否影響投資績效。

實證結果顯示如下：

1. 在市價/淨值比分類上，價值股投資報酬績效優於成長股投資報酬績效。
2. 在市價/淨值比分類上，投資負債比低的股票，其投資報酬績效會優於投資負債比高的股票，然而在市價/盈餘比分類上不明顯。
3. 台股多頭趨勢成形時，在股市低檔時投資價值股的長期投資績效佳。
4. 在風險衡量上，成長股波動性最大，價值股次之，加權指數波動性最小。
5. 台灣股票市場存在元月效應現象，但規模效應現象不明顯。
6. 加權指數及道瓊工業指數的變動，會影響價值股及成長股的投資報酬率，加權指數與價值股及成長股呈現正相關；道瓊工業指數與價值股及成長股呈現負相關。

The Value investment and Growth investment are investment strategies of choosing stocks. These two methods are adopted by international financial investment institutions and mutual fund managers. The study is aim to learn when we classify value stock and growth stock by market-to-book ratio and price-earning ratio, if the investment return would be higher than TSEC weighted index. In addition, we seek for a better investment strategy to improve investment performance further. The study also looks into market abnormal effects , such as January effect, size effect…etc, and also discuss about the variables of stocks holding period and debt ratio. The monthly and yearly investment return rates are used to calculate 1, 2, 3, 4, and 5 year accumulated abnormal stock return ratio and evaluate if these variables affect investment performance of value stock and growth stock.

The results are as following:

1. When classification of market-to-book ratio are adopted, the investment return of value stock is higher than growth stock.
2. When classification of market-to-book ratio are adopted, the investment return of low debt ratio stock is higher than high debt ratio stock. However, when classification of price-earning ratio are adopted, it is not obvious.
3. When bull market is formed in Taiwan stock market whose index is still low, invest in value stock could get a good long term investment performance.
4. Regarding the evaluation of risk, the vibration of growth stock is more than value stock. The vibration of TSEC weighted index is the least.
5. The January effect exists in Taiwan stock market. However, the size effect is not obvious.
6. TSEC weighted index and the Dow Jones Industrial index affect the investment return of value stock and growth stock; the TSEC weighted index, value stock and growth stock are positively correlated. The Dow Jones Industrial Index, value stock and growth stock are negatively correlated.

第一章 緒論
第一節 研究背景與動機....................................................1
第二節 研究目的................................................................2
第三節 研究架構................................................................2
第二章 文獻回顧與探討
第一節 價值股與成長股投資............................................4
第二節 市場異常現象........................................................7
第三章 研究設計與方法
第一節 研究假說 ...............................................................9
第二節 資料來源與樣本選取..........................................10
第三節 選股策略的變數定義與衡量..............................10
第四節 研究設計..............................................................12
第四章 實證結果分析
第一節 以市價/淨值比及市價/盈餘比為分類................19
第二節 投資時間長短績效衡量......................................23
第三節 加入負債比因素投資績效衡量..........................27
第四節 元月效應與規模效應現象結果分析..................29
第五節 影響價值股與成長股報酬率變數結果分析......33
第五章 結論與建議
第一節 研究結論..............................................................40
第二節 研究建議..............................................................41
附錄一 市價/淨值比分類下價值股、成長股與加權指數之月投資報酬率....................................................................42
附錄二 市價/盈餘比分類下價值股、成長股與加權指數之月投資報酬率....................................................................48
附錄三 市價/淨值比與市價/盈餘比分類之累積異常報酬率........................................................................................54
附錄四 依市價/淨值比分類投資各月平均報酬..............55
附錄五 依市價/盈餘比分類投資各月平均報酬率..........56
參考文獻
一、中文部份....................................................................57
二、英文部份....................................................................58

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