本研究藉由衡量企業資產獲利能力指標-資本報酬率，及衡量企業價值相對獲利能力指標-盈餘殖利率，綜合考量後建構一選股方法，探討所建構之投資組合(個股)，其投資報酬之績效表現。另外，以投資標的市值、投資組合標的數及投資組合調整週期進行分類，探討投資報酬之差異。結果顯示，以季報及半年報資料套入本研究建構之選股方法，僅選取單一個股時，報酬表現優於市場，本研究建構之選股方法為一有效之選股指標。以市值、持有標的數、調整週期進行分類，在市值前200名個股中以年報資料套入選股方法選取最佳30檔標的構成之投資組合有最佳之報酬表現，在所有上市企業中以季報資料套入選股方法選取最佳5檔標的構成之投資組合，有最佳之超額報酬表現。;his study explores the investment performance of portfolio or single stock selected according to a criteria which sets up by measuring the profitability index of corporate assets - the rate of return on capital, and the measure of the relative profitability of corporate value - earnings yield. In addition, the market value of the stock, the number of stock of portfolio and the portfolio adjustment cycle are classified to explore the difference in investment performance. The results show that the stock selection criteria set up in this study is an effective stock selection index. When the quarterly and semi-annual financial report data is embedded in the stock selection criteria set up in this study, and only one single stock is selected, the investment performance is better than the market. The portfolio which consisting of the best 30 stocks selected by the annual financial report data and in the top 200 stocks of the market value has the best performance of return. The portfolio which consisting of the best 5 stocks selected by quarterly financial report data and stocks in all market has the best performance of excess returns.
