隨著資產定價模型逐漸演進，單因子到多因子模型，現今仍未有完美的模型的出現。雖然台灣股票市場規模相較全球並不大，但仍有其特殊性，因此為了解台灣股票市場報酬來源，此研究將使用Fama and French 的三因子及五因子模型來進行檢測。參考Fama and French (2015)，從TEJ 資料庫收集台灣1990年7月至2020 年12 月的上市上櫃和下市下櫃的月資料(不包含金融業)，於每年七月第一個交易日建構投資組合(4x4、3x3、2x4x4 以及2x3x3)和類型(Size-bm、Size-OP、Size-Inv、Size-bm-OP、Size-bm-Inv 以及Size-OP-Inv)。檢測結果顯示，五因子模型在某種程度上可以改善原先三因子模型中仍存在的異常截距，特別是在原先報酬較差的投資組合，而改善的原因除了淨值市價比溢酬因子，還有新增的盈利能力因子及投資因子，尤其是盈利能力因子給予報酬較差的投資組合顯著的負向解釋。然而，在原先報酬較好的部分投資組合中，五因子模型反而出現弱化的情況，也就是即使在因子給予更多解釋力的情況下，仍有更多未能解釋的部分。另外，台灣股票市場中五因子模型的淨值市價比溢酬因子有因為盈利能力因子投資因子的加入而數值降低(正數值降低；負數值擴大)，而相較Fama and French(2015)最大的不同是，台灣公司在投資上的表現呈現出投資愈多報酬愈高的趨勢，代表台灣投資獲利的機會可能較高。

With the evolution of asset pricing models, from single-factor to multi-factor models, there is still no perfect model. Although Taiwan's stock market is not large, it still has its articularity. Therefore, in order to understand the source of returns in Taiwan’s stock market, this study will use Fama and French's three-factor and fivefactor model to test. This paper refers to Fama and French (2015) and collect monthly data of listing and delisting companies from the TEJ database in Taiwan from July 1990 to December 2020 (not include financial industry). Then, construct different investment portfolios (4x4, 3x3, 2x4x4 and 2x3x3) and types (Size-bm, Size-OP, Size-Inv, Sizebm-OP, Size-bm-Inv and Size-OP-Inv) on the first trading day in July each year. The test result shows that the five-factor model can improve the anomalous especially for those portfolios with extreme poor returns from the three-factor model. The reason for the improvement is not only the value factor (HML), but also the profitability factor (RMW) and the investment factor (CMA), especially the profitability factor (RMW) which provides significant negative explanation to the poor portfolios. However, the five-factor model makes the better portfolios’ anomalous worse, that is, even if the factors provide more explanatory power, there are still more unexplained intercepts. In addition, the coefficient of the value factor (HML) has decreased in Taiwan’s stock market since the addition of the profitability factor (RMW) and the investment factor (CMA) (the positive value decreases; the negative value expands). Compared with Fama and French (2015), the biggest difference is that the investment factor (CMA) shows that companies invest more and their returns would be higher than others, which means that the investment opportunities in Taiwan may be higher than other countries.

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