本研究旨在探討如何運用基本面指標進行選股並搭配擇時的股價淨值比、股價營收比、本益比之價值投資策略，將不同基本面分組及不同價值投資策略間進行比較，檢視投資績效是否存在顯著差異。以台灣上市公司為研究樣本，排除2013年以後首次公開發行(IPO)之公司共750家，使用Piotroski(2000)提出之基本面指標F-SCORE進行分組，與過去不同的是本文以連續三年(2010年到2012年)F-SCORE皆大於中位數為連續高分組、連續三年F-SCORE皆在中位數以下為連續低分組，檢驗擇時的價值投資策略於基本面投資組合形成後五年(2013年3月底到2019年2月底)的績效表現。實證結果發現（1）連續高分組的報酬表現優於連續低分組亦優於普通公司、普通公司的報酬表現優於連續低分組，證實F-SCORE的長期分組效果。（2）股價淨值比策略及股價營收比策略報酬表現優於買進持有，惟本益比策略無法優於買進持有。（3）股價淨值比策略報酬表現優於股價營收比策略，惟在連續高分組中無顯著差異；股價淨值比策略及股價營收比報酬表現均優於本益比策略。（4）經風險調整後的報酬率 Mean/ S.D以連續高分組搭配股價淨值比策略達117.39%表現最佳。故建議投資人可將資金配置於F-SCORE連續高分組的股票、並搭配股價淨值比或股價營收比策略擇時進出，其中又以股價淨值比策略報酬表現更為優異。 This paper examines the profitability of value investing strategy (Using the P/B ratio, the P/S ratio, and the P/E ratio of timing value investment strategy) and the fundamental indicators for stock selection. We analyze and compare different fundamental groups and different value investment strategies to see if there is a significant difference in investment performance. In addition, we adopt Piotroski (2000)’s F-SCORE but with the three consecutive years instead of one year to identify companies which belong to high score group, low score group or medium group. Besides, examining the value-based investment strategy of the timing of the five years after the formation of the portfolio. Using Taiwan-listed company data from 2013/03/31 to 2019/02/28, we find some interesting results: (1). The high score group has the best performance followed by medium group and the low score group has the lowest return. This confirms the long-term grouping effect of F-SCORE. (2). P/B ratio and P/S ratio strategy are better than the buy and hold strategy when selecting stocks, but the P/E strategy is not. (3). The return of P/B ratio strategy is better than the return of P/S ratio strategy but there is no significant difference in the high score group. Moreover, the return of P/B ratio strategy and P/S ratio strategy are significantly better than the return of P/E ratio strategy. (4). The risk-adjusted rate of return (Mean/S.D) of the high score group with using P/B ratio strategy is the highest, 117.39%. Therefore, this paper suggests that investors can simultaneously use F-score high score group stocks when selecting portfolio and the P/B ratio or P/S ratio strategy to enter and exit.
