本文旨在透過多因子模型的建立，以及參考過去價值投資的文獻，篩選出台灣上市上櫃股票市場中符合價值投資指標的股票，並以其建立投資組合，試驗此策略是否能藉此有效擊敗大盤。研究數據以2010年6月至2021年12月作為主要研究期間，並加入2022年1月至2022年7月作為延伸研究。其中價值投資學派更將Buffett奉為圭臬。鑑於此，本文想透過因子模型，萃取出Buffett投資風格中的重要因子資訊，並加以利用。Frazzini et al. (2013)和Frazzini et al. (2018)提出可以利用 AQR資本管理公司提出的六因子模型，解釋Buffett的報酬大部分來自低波動、價值、品質這三個因子。本文參考Menchero et al. (2011)和胡熠 and 顾明 (2018)因子建立方法建立因子模型，並且試驗了價值因子投資方法在臺灣股票市場的適用性。本文從安全，價值以及高質量3個因子並建構了綜合性評分指標V-score，用於描繪Buffett的獨特價值投資風格，希望能藉此創造長期擊敗台灣加權股價指數的投資績效。研究發現在V-score指標、Value因子以及Quality因子在主要研究期間皆呈現明顯的單調遞增特性；統計上，該指標及因子風險溢酬皆在顯著水準0.01上顯著。指標以及三個因子在樣本研究期間，累積報酬皆打敗台灣加權股價指數。除此之外，本文為了更接近市場的真實情況，在考慮了流動性，操作可行性，交易成本以及將資料更新至最新之後，發現V-score策略仍具價值性。本文為價值投資的多因子量化選股策略在台灣股票市場的適用性提供了證據。

Through the development of a multi-factor model and reference to past literature on value investing, this paper selected stocks in the Taiwan stock market that met the value investment criteria and used them to build a portfolio to test whether this strategy was effective in beating the TAIEX. The study data takes June 2010 to December 2021 as the main study period, and January 2022 to July 2022 is added as an extension study. It extracts the factors of Buffett's investment style through the factor model. Frazzini et al. (2013) and Frazzini et al. (2018) proposed the AQR six-factor model can be used to explain most of Buffett's return comes from the three factors of low volatility, value, and quality. This paper builds a factor model with reference to Menchero et al. (2011) and 胡熠 and 顾明 (2018) factor-building method. The V-score is a composite score based on three factors: security, value, and quality, with the hope of creating a long-term investment performance that beats the TAIEX. The study found significant monotonic increases in V-score, Value, and Quality factors in the primary study period. Statistically, most of the indicator's risk premiums are significant at 0.01. The cumulative returns of all indicators beat the TAIEX during the sample period. Otherwise, the V-score strategy is still valuable after considering liquidity, operational feasibility, transaction costs, and the latest data. This paper provides evidence for the applicability of the multi-factor quantitative stock selection strategy of value investing in the Taiwan stock market.

論文審定書 i
摘要 ii
ABSTRACT iii
圖次 vi
表次 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻回顧 3
第一節 因子投資起源及現狀 3
第二節 因子與因子模型 5
第三節 剖析Buffett超額報酬來源 7
第三章 研究方法 9
第一節 研究流程 9
第二節 研究資料 10
第三節 V-score建置 10
第四節 研究資料敘述性統計 14
第四章 實證結果 16
第一節 全樣本期間 18
第二節 疫情爆發前 25
第三節 疫情爆發後 28
第四節 流動性，操作性及交易成本探討 31
第五節 資料更新 35
第五章 結論與建議 37
第一節 結論 37
第二節 研究建議 38
參考文獻 39
附錄 41

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