本文於每年4月底（樣本期間為2000年至2011年），將全體上市櫃公司依前一年度之帳面市值比排序，並分成十等分，形成十個投資組合。本文實證發現各組（第一組至第十組）之年化買進持有報酬率隨著帳面市值比增加而單調上升，故充分支持台灣股票市場存在價值溢酬。再者，若將第十組（潛在價值型投資組合）利用安全邊際進行篩選，並形成實際價值型投資組合，則發現實際價值型投資組合之年化買進持有報酬率與月平均異常報酬率（依CAPM模型）皆顯著高於潛在價值型投資組合之年化買進持有報酬率與月平均異常報酬率，故支持價值型投資者能藉由設立安全邊際來提升價值溢酬之假說。 At the end of every April, from 2000 to 2011, we group all stocks traded on the Taiwan Stock Exchange and the Gre Tai Securities Market into deciles based on their book-to-market ratios at the end of prior December, and measure the average monthly return of each decile over the next twelve months. We find that the annualized buy-and-hold returns of decile portfolios increase with book-to-market ratios, which in turn supports the existence of a value premium in the Taiwan stock market. Then, we apply the margin of safety to screen the highest book-to-market decile portfolio (potential value portfolio) and form the true value portfolio. We find that the annualized buy-and-hold return and average monthly abnormal return of the true value portfolio are significantly higher than those of the potential value portfolio, respective. Our findings support the hypothesis that value investors can enhance value premium by applying margin of safety.
