本研究利用價值股與成長股之分類，來探討在全體上市股票報酬率中，股價報酬主要是來自股利還是資本利得，以及不同特性之公司股價報酬主要成因為何，以提供一投資策略予投資人。本研究以2003年1月1日至2007年12月31日上市公司之股價為分析樣本。
研究結果發現，成長股報酬率主要來自資本利得報酬率且達顯著性，此結果驗證了成長股股價報酬率之資本利得報酬率大於股利率。同時，雖然價值股報酬率主要來自股利率，但股利率與資本利得報酬率並不具顯著差異性，因此不能證明價值股股價報酬率之股利率大於資本利得報酬率。再者，經由市價/淨值比的分類中，本研究發現成長股在此種分類模式下報酬顯著高於價值股，且二者具有顯著的差異性。此結果與過去部份學者之文獻相符，諸如Grinold and Kahn (1992)利用英國1983 年至1990 年的股票樣本，Ramaswami (1994)以本益比、股利率、預期盈餘成長率等做分類，以及Daniel and Titma (1998)利用1963 年至1997 年美國股市上市公司為研究對象，這些都支持成長股報酬優於價值股報酬。依股利率而言，成長股股利率顯著低於價值股，可能的原因在於成長股公司常有良好的投資計畫，價值股公司則無，而較多發放股利，故其股利率會大於成長股公司。本研究也驗證了價值股股價報酬率之股利率大於成長股，而在資本利得方面，成長股則顯著大於價值股。若以帳面價值成長率與市價淨值比成長率分析，在帳面價值成長率上，事實上是價值股的帳面價值成長率顯著高於成長股，此與由文獻探討所做出的假設（成長股股價報酬率之帳面價值成長率會大於價值股）並不相符。然而在市價淨值比成長率上，本研究結果驗證了成長股股價報酬率之市價淨值比成長率大於價值股，亦即，成長股的成長性大於價值股。

This study analyzes how the stock returns of publicly listed companies are influenced by three possible factors: (1) stock dividends; (2) capital gains; (3) specific factors from characteristics of companies. It is completed by differentiating the data of value stocks and growth stocks in the listed companies from Jan. 1, 2003 to Dec. 31, 2007.
According to our analysis, first of all, the return rate of growth stock comes mainly from its capital gain and shows significance of regression. This admits that the capital gain of growth stock return is bigger than its stock dividend. Second, the value stock return comes more from its stock dividend than its capital gain, which, however, does not have significance of regression. This does not sufficiently agree that the stock dividend is the main part of value stock return. Third, growth stock return is much higher than value stock return and shows significance of regression when differentiated by book to market ratio. This is in accordance with our hypothesis as well as the research results of Grinold and Kahn (1992) with a sample of stocks of the UK from 1983 to 1990, and Ramaswami (1994) with a differentiation by P/E, rate of stock dividend, earnings growth rate, etc., and Daniel and Titma (1998) with a sample of listed companies of the US from 1963 to 1997.
This study proves that the rate of stock dividend in value stock is bigger than that of growth stock. A possible explanation of this is the companies with growth stocks usually have great projects to invest while the companies with value stocks tend to provide more stock dividends. In terms of capital gain, although the growth rate of book value in growth stock is not greater than that in value stock, the growth rate of book to market ratio in growth stock is indeed higher than that in value stock. As a whole, the growth of growth stock is superior to value stock.

目 錄
第壹章 緒論..............................................................................1
第一節 研究動機...........................................................................1
第二節 研究目的...........................................................................3
第三節 研究流程...........................................................................4
第貳章 文獻探討.......................................................................6
第一節 價值股及成長股...............................................................6
第二節 系統風險因子相關文獻探討..........................................11
第三節 非系統風險因子相關文獻探討......................................14
第三章 研究設計...................................................................25
第一節 研究架構.........................................................................25
第二節 研究假說.........................................................................26
第三節 研究設計.........................................................................28
第四節 研究樣本與資料來源.....................................................34
第四章 實證結果與分析.......................................................35
第一節 樣本敘述性統計.............................................................35
第二節 影響公司股價報酬之因素..............................................37
ii
第伍章 結論與建議...............................................................47
第一節 結論.................................................................................47
第二節 建議.................................................................................49
參考文獻....................................................................................50
一、中文部分.................................................................................50
二、英文部分.................................................................................52
iii
表 目 錄
表4-1 公司股價報酬率統計資料表..................................................36
表4-2 成長股報酬率差異t 檢定結果...............................................37
表4-3 價值股報酬率差異t 檢定結果...............................................38
表4-4 成長股與價值股報酬率差異t 檢定結果...............................40
表4-5 公司股價報酬因子之共線性與自我相關檢定.......................42
表4-6 公司股票報酬模型.................................................................45
iv
圖 目 錄
圖1-1 研究流程圖...............................................................................5
圖3-1 影響股價報酬因素研究架構..................................................25

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