本研究欲以基本面分析為基礎，參考過往學術上之發現，在台灣市場之中建構F-Score財務模型，並通過實證分析，探尋F-Score是否適用於台股市場。其次，在F-Score之基礎之上，本研究再搭配基本面因子：BM Ratio、PEG Ratio、PE Ratio、現金股利殖利率與規模因子，建構出適合於台股基本面分析選股策略。此外，三大法人交易資訊是台股之中非常熱門之議題，不少投資以三大法人相關動向作為股票交易之依歸。但學術上針對三大法人是否對於報酬產生正向或負向影響，並無定論，且過往學術研究普遍僅限於短期研究。因此，本研究亦會在前半部分基本面分析之基礎之上，再搭配籌碼面之訊號，探求在一季到一年的長期回測之中，三大法人交易資訊能否幫助提升投資組合報酬。
本研究結果顯示，F-Score、BM Ratio、PE Ratio、現金股利殖利率與規模因子在台股2004至2022年資料的回測之中呈現顯著正向影響，唯有PEG Ratio並未有顯著影響，其原因則是本研究對於未來成長率預估不精準而造成的。而三大法人買超訊號對於台灣全市場普遍而言並不能有效提升報酬率，反對於報酬率影響為負，唯有在基本面較佳之股票搭配三大法人買超因子，才能提升整體報酬率。

This study aims to construct an F-Score model in the Taiwan market based on fundamental analysis with reference to past academic findings and to explore the applicability of the F-Score to the Taiwan stock market through empirical analysis. Secondly, on top of the F-Score, this study also combines the fundamental factors: BM Ratio, PEG Ratio, PE Ratio, Dividend yield and size factor, and constructs a stock selection strategy suitable for fundamental analysis of Taiwan stocks. In addition, the trading information of Institutional Investors in Taiwan is a very popular issue among Taiwan stocks, and many investors consider the trading information of Institutional Investors as the basis for stock trading. However, there is no definite academic opinion on whether Institutional Investors have positive or negative effects on returns, and the research is generally limited to short-term studies. Therefore, this study is based on the first half of the fundamental analysis, together with the signals from the Institutional Investors, to investigate whether the Institutional Investors' trading information can help improve portfolio returns in the long term, from one quarter to one year.
The results of this study show that the F-score, BM Ratio, PE Ratio, Dividend yield and size factor, have a significant positive impact on Taiwan stocks from 2004 to 2022. And only the PEG Ratio did not have a significant impact due to the inaccuracy of the study in terms of future growth rates. And only stocks with better fundamentals can be combined with the trading information of Institutional Investors to improve the overall return.

論文審定書 ⅰ
摘要 ⅱ
ABSTRACT ⅲ
目錄 ⅳ
圖目錄 ⅵ
表目錄 ⅶ
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機 2
1.3 研究目的 4
1.4 研究流程 5
1.5 論文架構 6
第二章 文獻回顧 7
2.1 F-SCORE 文獻探討 7
2.2 基本面因子相關研究 9
2.2.1 B/M Ratio(市值帳面比) 9
2.2.2 現金股利殖利率 11
2.2.3 PE Ratio(本益比) 12
2.2.4 PEG Ratio(本益成長比) 13
2.2.5 規模因子-市值 14
2.2.6 超額報酬因子 15
2.3 台股籌碼面相關研究 18
第三章 研究方法與資料 20
3.1 研究樣本 20
3.1.1 資料來源 20
3.1.2 研究期間 20
3.2 研究方法與變數定義 21
3.2.1 歷史資料回測步驟 21
3.2.2 回歸方法 23
3.2.3 變數定義 24
第四章 實證結果分析 30
4.1 實證資料分析 30
4.1.1 F-Score 策略實證結果 31
4.1.2 F-Score結合基本面因子策略實證結果 34
4.1.3 結合有效基本面因子投資組合建立 54
4.1.4 F-Score結合基本面因子與籌碼因子策略實證結果 57
4.2 回歸資料分析 66
4.2.1 F-Score、基本面因子與三大法人買賣超回歸分析 66
第五章 結論與建議 70
5.1 研究結論 70
5.2 後續研究建議 71
參考文獻 72

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