Fama and French (2015)在三因子模型中加入營利因子及投資因子後，大幅增加了對股票報酬的解釋力，但該論文中也發現對高資本支出、低盈利能力的小公司來說，存在負數的超額報酬。 本研究證實在台灣股票市場中高資本支出比率的公司確實享有超額報酬，並且傾向為大規模的公司。此現象在高研發支出比率的公司則有不同的結果，實證結果顯示高研發支出比率的公司並沒有超額報酬的現象，也無大規模的特性。;Fama and French (2015) added profit factors and investment factors to their original three factor model to create a five factor model, which greatly increased the prediction accuracy of stock returns. However, their paper also found negative extra returns for small companies with high capital expenditures and low profitability. This study confirms that companies with high capital expenditures in the Taiwan stock market actually enjoy excess returns, and tend to be large companies, but the companies with high R&D expenses do not experience excess returns and do not have the characteristic of large scale.
