從基本分析的角度上，良好的評價模型或指標在長期而言，應該要能反映出投資標的的內涵價值，且指標與股價之間存在長期穩定之連動關係。另一方面，De Bondt and Thaler (1985, 1987) 提出了過度反應假說，其研究結果顯示了贏家輸家效應，亦即在績效表現極端之投資組合中，過去績效表現與未來績效表現呈現負向關係。
首先，本研究參考Lee, Myers and Swaminathan (1999) 之研究方法，採用台灣所有上市上櫃股票1998 年至2015 年之季資料，並以剩餘收益模型 (Residual Income Model) 估算公司股票之內涵價值，並建立價值指標 (V)，探討內涵價值估計值之股價連動與報酬預測之能力。然後，以過去表現績效以及價值指標 (V) 為基礎，將樣本分成20 個投資組合，探討價值指標差異對於贏家組合與輸家組合未來績效表現之影響。最後，本研究採用多變量預測回歸模型 (multivariate forecasting regression) ，以Fama - French 之三因子做為控制變數，探討在考量價值估計值下，過去績效表現對於未來股價報酬之解釋能力。
本研究結果顯示，在正價值指標組合中，過去績效表現最好前10%之贏家組合，與未來報酬率呈現顯著負向關係，且解釋力隨著報酬期間拉長而增加；而價值市值比對數值 (VP) 則與未來報酬率呈現顯著正向關係。在投資決策方面，負價值指標輸家組合有最佳的平均報酬；而當投資標的為正價值指標時，可將過去績效表現做為考量因素，增加對未來報酬的預測能力，獲取較佳的報酬。

In the aspect of fundamental analysis, a good valuation model or index should reflect the intrinsic value of investment targets in the long term. Also, there should be a co-movement relation between the index and the stock price in the long term as well. On the other hand, De Bondt and Thaler (1985, 1987) raised the overreaction hypothesis. The result shows the winner-Loser effect, which means that, stable in the case of extreme
portfolio, the past performance and future performance have a negative relationship.
First, referring to the methods in Lee, Myers and Swaminathan (1999) and using the quarterly data of all the listed company in Taiwan during the period from 1988 to 2015, we estimated the intrinsic value of the stock by using residual income model and created a value index (V) to investigate the co-movement between the estimates of intrinsic value and the linked stocks and the ability to predict returns. And, we distributed the samples into
twenty portfolios based on the past performance and value index (V) to explore the influence of different value index on the performance of the winner and loser portfolios in the future. Last, considering the estimates of value and adding Fama-French three factors as control variables, we used multivariate forecasting regression to investigate the explanation of the past performance to the stock returns in the future.
It shows that, among the positive value index portfolios, the top 10% winners’ portfolio based on the past performance has a significantly negative relationship with the future return and the explanation power becomes stronger as the period becomes longer.The natural log value of value to price ratio (VP) has a significantly positive relation with future returns. In investment strategy respect, the portfolio of the losers with negative value index has a highest return. When it comes to the targets with positive value index, the past performance could be used as a factor to increase the prediction ability and earn a better return.

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