本研究利用Faman and French (1996, 2005)提出的價值溢酬及因子模型來探討台灣股票市場。研究期間為1986年1月至2006年12月月資料，利用規模-淨值市價比和規模-益本比兩種不同的方式建構投資組合，探討台灣股市是否存在規模效應與價值溢酬的現象，價值溢酬是否適用於單因子模型。利用因子模型檢視超額報酬，探討是否市場風險因子、規模因子及淨值市價比(或益本比)因子，建構的三因子模型是否比一因子及二因子更適合解釋台灣股市之報酬。除此之外，系統風險貝它值的變化是否會響影報酬的變動。實證結果顯示，台灣股票市場存在反向規模效應及價值溢酬的情況，並且得知大規模公司較小規模公司可獲得較高的價值溢酬。三因子模型比一因子或二子模型更具有超額報酬的解釋能力。價值溢酬的截距項顯著異於零，顯示其拒絕單因子模型的假設，並且系統風險貝它值無法用來解釋報酬率的變動，說明CAPM模型對於價值溢酬的解釋能力有限。 In this paper, we discuss the excess stock return, size effect or value premium phenomenon based on Faman and French (1996, 2005) using book - to - market ratios and earnings - price ratios for value and growth portfolios. We use monthly returns from January 1986 to December 2006. Size and book - to - market ratios (or earnings - price ratios) combine to capture the excess stock return., size effect and value premium phenomenon. Whether the sign factor model can explains value Premiums. Whether the three factors model have the predictive power to explain excess return in Taiwan stock market. Whether or not system risk beta can explain return. The empirical results show that portfolio return differences between value and growth stocks show that exist size effect and value premium phenomenon. The value premium reported in the result is strongest for large-capitalization firms. Three factors model have more predictive power to discuss excess return than one factor model or two factors model. The CAPM model can’t explain value premiums and the system risk beta can't explain the return rate.
