本研究以 Piotroski(2000)所提之 F-SCORE 為基本架構，再另外討論三率三升，檢視這兩項被廣泛討論的價值型投資策略是否真能為臺灣股票市場上之投資者帶來良好報酬。 以臺灣上市櫃股票為樣本，資料均取自臺灣經濟新報資料庫。樣本期間為 2011 年至 2018 年，投資策略為於每年財務報表發布日 3/31 之下一個月初 4/1進行投資，分別買進持有 F-SCORE 之高分群與三率三升之三升群股票，隨每年財務報表發布隨之變動投資組合，並計算持有時間之累積報酬，以比較此兩項投資策略與臺灣 ETF(0050、0051、0056)、大盤之績效。 實證結果顯示：(1)運用 F-SCORE 與三率三升，確實皆能快速篩出顯著優於全體樣本之基本面較好之公司。(2)F-SCORE、三率三升之投資績效雖然不一定顯著優於 0050，但均顯著優於 0051、0056 以及大盤。(3)F-SCORE 之高分群績效較三率三升之三升群優。 ;This project is based on F-SCORE mentioned by Piotroski(2000) as a foundation, additionally to this topic we will discuss the THREE RATES AND THERR LITERS to value these two types of Value Investing Strategies could bring great return on the Taiwan stock market. Take Taiwan Listed and OTC Companies as an example which is from TEJ. The investment strategies were the financial statements that buying the High-performance groups of the F-SCORE with Three liters group of the the THREE RATES AND THREE LITERS published on The Thirty-first of March to the firth of April each years during 2011 to 2018, followed by each year changing thought the portfolio published by financial statements to calculate the Cumulative return during the time of holding the stocks in order to compare these two investments with ETF(0050、0051、0056) and the stock market. Frist, According to the result we now understand by using the FSCORE or THREE RATES AND THERR LITERS can select the more efficient companies from all the examples. Second, F-SCORE or THREE RATES AND THREE LITERS might not better than ETF(0050),but those are better than ETF(0051),ETF(0056) and the stock market on average. Third, the high-performance groups of the F-SCORE is more efficient than Three liters group of the THREE RATES AND THREE LITERS.
