本研究將2014至2024年台灣市值前300大上市公司依據市值選股，藉由衡量企業獲利能力指標的資產報酬率及可以反映公司未來成長與獲利的本益比，再納入近期流行的高股息因子做為綜合投資策略考量後所建構選股之方法，分析合併前之單因子及合併後之雙因子所建構之投資指標其投資績效表現。 以市值前300名個股中，透過指標選股選取最佳前30、20及10檔標的構成之投資組合相較於大盤報酬指數績效表現，指標則是利用資產報酬率、本益比、股利殖利率進行分類或合併。本研究發現由每季前30檔合併後之雙因子（資產報酬率、本益比）建構之選股方法，其績效最優且優於大盤報酬指數，本研究建構之選股方法為一有效之選股指標，有最佳之超額報酬表現。;This study selects the top 300 listed companies in Taiwan by market capitalization from 2014 to 2024. We will discuss method about Return on Assets of enterprise profitability and Price to Earning Ratio reveal profits and grow for company. Exploring High Dividend Yield as the method of stock selection after comprehensive investment strategy consideration. We will analyze One-way pre-combination and Two-way combined Return on Assets and Price to Earning Ratio performance.
The performance of portfolio composed of the top 30, 20 and 10 targets based on the top 300 market capitalization and compared to the stock index which combined by using Return on Assets, Price to Earning Ratio and Dividend Yield. The results show that Two-way combine Return on Assets and Price to Earning Ratio is the best strategy of value investing and outperform the market.
