本研究以2000年至2010年於台灣證券交易所上市之公司作為研究樣本，透過普通股股本總額將樣本公司區分為大規模、中規模、小規模等投資組合，並經由文獻探討以市價淨值比、本益比和股利發放率給予適當的權重，使樣本公司區分為成長型、混合型與價值型等投資組合。藉由上述區分方式，縱軸為公司規模三項因子，橫軸為成長、混合和價值屬性為三項因子，形成3*3之九宮格，於每個宮格中計算報酬率與標準差來探討台股風格投資箱的特性。
雖上述方法能夠精確地將各股歸類於九個宮格中，但台股上市家數相較外國市場為少，因此直接將九宮格之投資組合進行檢定將會有樣本過少之問題，本研究將採取二乘二的分類方式，意即使規模分為大規模與小規模，股票分為成長股與價值股進行檢定。
就各年度風格投資箱分析比較而言，景氣與價值型投資有相當程度的影響，市場在不景氣下，價值型投資於不同規模下皆有優於成長型投資及大盤報酬率之表現，成長型投資則無此效果。經過二乘二變數分類，發現以年資料檢驗單一風格投資與多重風格投資，風格投資和大盤不含金融指數報酬率並無顯著之差異。

This study follows the model of Morningstar which sorts funds or stocks to have 3-type by longitude, value, mix and growth, and then sort 3-type by latitude according to company capital—large, middle and small, to form the 3*3 matrix. Every dot matrix can be calculated for its return and variation. But when we will encounter the sample is not enough to do test, so this study will form the 2*2 matrix when do test.
With each annual style investment box, we find the value investing is superior to the growth investing when it is under the bear market. And according to the hypothesis test in this study, there are no significant differences between style investing and benchmark investing.

一、中文部分
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