本研究參考過去的文獻資料，歸納出價值型投資常用的財務指標，同時加入相關獲利變數以組成能夠超越大盤的投資策略。本文樣本期間自2010年04月至2020年04月，並以半年為單位重新選股，固定於每年五月第一個交易日進場，十月最後交易日出場；十一月第一個交易日進場，次年四月最後交易日出場。本研究利用市價淨值比、本益比與股東權益報酬率，依序探討單因素及雙因素投資組合的報酬率，結果顯示前者以市價淨值比，後者以市價淨值比與本益比的組合績效最佳，且均超越大盤平均報酬，唯不具統計之顯著性。本研究進一步將價值型投資的市價淨值比與本益比結合營業毛利率、營業利益率與稅後淨利率等獲利變數，實證發現這三個變數確實對價值型投資組合的報酬率產生正向效果(報酬率達到6.45%)，不僅擊敗大盤平均報酬3.56%，更是本文所有投資組合中報酬率最高，唯同樣不具統計之顯著性。

This study aims to form portfolios that can beat the market by using variables based on value investing strategy and some profit-related variables. For the period 2010 through 2020, this study reforms the portfolios on a semiannual basis. Every investment will be held from the first trading day of May to the last trading day of October, while new investments will be held on the first trading day of November and ends on the last trading day of April.

First, this study analyzes and compares the return rate of strategies formed up with single-factor or two-factor by means of P/B ratio, P/E ratio and ROE. The results indicate that among the strategies formed up with single-factor, P/B ratio is the best indicator. On the other hand, the combination of P/B ratio and P/E ratio perform the best among the portfolios formed up with two-factor. Both of them beat the market, however, they are not statistically significant.

Second, this study combines the indicators of value investing strategy with the profit-related variables. This study classifies P/B ratio and P/E ratio as value investing strategy indicators and GPM, OPM and NPM as profit-related variables. Empirical evidence suggests that these profit-related variables yield positive effect on value investing strategy, when compared to all the portfolios mentioned in this study, value investing with GPM, OPM and NPM earns the highest returns. Though the strategy has economic profit, it is not statistically significant.

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