本文探討台灣股市是否如同美國股市存在規模溢酬與價值溢酬。研究發現，如果是依據規模-帳面市價比(Size-B/M)做分組，則台灣股市並沒有規模與價值溢酬，但若是依據規模-益本比(Size-E/P)的分組方式，則台灣股市是存在著規模與價值溢酬，且此價值溢酬會隨著公司規模愈大而愈大，此也與美國股市不同。
最後驗證CAPM是否可以解釋此規模與價值溢酬，研究結果發現，如同Fama and French (2006)的研究，不論是固定Beta或是允許Beta每年變動，CAPM均無法完全解釋這些規模溢酬與價值溢酬，即CAPM的理論在實際的資本市場中並非完全適合的。
由這些研究結果顯示，台灣股市與美國股市仍存在著許多的差異，這也隱含許多研究僅僅探討美國股市所得到的結論並不一定適用於全球的其它市場，各國股市仍有其獨特的結構和特點，仍有待未來的研究去探討。

This is a research to test if Taiwan is the same as US that has size premium and value premium in stock market.The research find there is no size premium and value premium if group by Size-B/M ratio in Taiwan stock market; instead, there is if group by Size-E/P ratio. Moreover, value premium is positively correlated with firm’s size; that is the more size the firm is, the more value premium it is. This is very different from US stock market.
In addition, the research to test if CAPM can explain size premium and value premium. Like Fama and French (2006), this research find CAPM can’t explain the size premium and value premium whether beta is constant or varying. That is CAPM may not be appropriate for application in capital market of real word.
This research show that there are much difference between Taiwan and US stock market. It also implies that conclusion on researching US market may not be suitable to other country’s market. It is still leaving much for future research to find other country’s characteristics of capital market.

一、中文部份

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李春旺，民國78年，股價行為與規模效應-台灣股票市場實証研究，國立政治大學企業管理研究所博士論文。
李春旺，民國79年，股價行為與規模效應：台灣股票市場實證研究，國立政治大學企業管理研究所博士論文。
林天中，民國88年，台灣股票市場三因子：系統風險、公司規模及淨值市價比實證研究，國立清華大學經濟學研究所未出版碩士論文。
林建廷，民國90年，台灣股票市場因子探討，國立東華大學國際經濟研究所未出版碩士論文。
胡玉雪，民國95年，益本比、淨值／市價比及公司規模對股票報酬之影響-相似無關迴歸之應用，國立台灣大學商學研究所未出版碩士論文
陳建良，民國83年，我國股票市場異常現象之實證研究，交通大學管理科學研究所碩士論文。
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陳榮昌，民國91年，台灣股票報酬之結構分析，國立中山大學財務管理研究所碩士論文。
黃姿霏 民國94年，Fama三因子模式在台灣股票市場之再檢驗，樹德科技大學 經營管理研究所畢業論文
詹家昌，民國80年，台灣股市過度反應之實證研究，東海大學企業管理研究所未出版碩士論文。
劉秉龍 民國91年，成長型與價值型投資策略之實證分析－以台灣股票市場為例，靜宜大學企業管理學碩士班論文
謝朝顯，民83年，追漲殺跌投資組合策略之實證研究---台灣股市效率性之再檢定，國立台灣大學財務金融研究所未出版碩士論文。

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