依據Colin Clubb 和 Mounir Naffi (2007)所建立的模型，本研究主要目的是想驗證預期因子對於台灣上市公司之股價報酬是否具有解釋能力之實證分析。研究資料取自民國八十五年至九十七年，共13年，其中估計期間為七年且其使用之資料至少為九年，而預測期間為六年。本研究以預期BM、ROE及BM之自然對數迴歸模型中，考量風險因子(BM、公司規模、研究發展費、益本比及動能指標)之比較下，驗證其基本評價股價報酬因子是否具有解釋能力。另外亦根據Pettengill 等學者 (1995)之研究，將大盤報酬之正負將樣本分為兩個子樣本去討論基本價值之因子能否再次提供解釋能力。實證結果分別敘述如下：
1. 從調整後判定係數(Adj R^2)之實證結果發現，基本價值因子在台灣實證上仍有相當程度的股價解釋能力，但遺憾的是預期ROE卻出現了負向(不正確符號)且為不顯著之解釋作用。引發我們利用杜邦方程式原理將預期ROE分割成預期之純益率(FPM_t)、資產週轉率(FAR_t)、權益乘數(FLE_t)三者進而加以分析其問題所在，結果發現有二，FAR_t和FLE_t為最為主要造成預期ROE不顯著之因素；而促使預期ROE出現不正確的符號原因起於FLE_t大都呈現負向指標之關係。
2. 在分為上漲與下跌市場之兩個子樣本分析中發現，原則上兩個市場皆支持基本價值因子作為衡量權益資金成本的變數，但隨著風險因子的增加突顯價值因子之解釋能力愈薄弱。

In this paper, the primary objective is to investigate the explanatory power of fundamental valuation regarding the cross-sectional expected stock returns in Taiwan stock market based on the research models by Clubb and Naffi (2007). Our sample is over the period of 15 years from 1996 to 2008. The 7 years is an examination period using sample data at least 9 years (1996-2002) and the 6 years is a forecast period (2003-2008). This study utilizes a fundamental valuation of future stock returns to develop the loglinear regressions ROE and BM expectations in addition to current BM for explaining stock returns whether jointing the risk variables of BM, size, R&D capital ratio, E/P ratio and momentum. Following the research of Pettengill et al. (1995), we decompose the sample into periods according to whether the market returns of Taiwan stock exchange is positive or negative to discuss that the fundamental valuation (FV) perspective remains explanatory power for expected equity returns. The results are shown as follows:
1. From the adjusted coefficient of determination (Adj R^2) , the results support the FV perspective for robustness alternative explanations to future stock returns, but the expected ROE appear negative (incorrectly sign) statistically insignificance. We extend DuPont equation as FPM_t (future profit margin on sales), FAR_t (future assets turnover ratio) and FLE_t (future financial leverage) to further analyze inefficiency of expected ROE, and find that both FAR_t and FLE_t are the major results to cause no relationship with stock returns, only FLE_t makes expected ROE have negative sign.
2. In principle, the fundamental valuation variables play key explaining roles in Taiwan stock market whether up- or down- market. The more risk proxies, the weaker explanatory power for expectation factors to future stock returns.

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