本研究旨在探討 Fama-French 與 q 系列共六種因子模型中使用的九種個股特徵在定價台灣股票的適用性及穩健性。在設計資產定價因子模型時，學者及業界經常以市值將股票分組，來提升其解釋不同市值股票預期報酬的能力，在總市值高度集中於大型股的股市中，若個別因子模型解釋力主要源於小型股，則該模型缺乏反映金融市場總體現況的經濟顯著性。反之，若模型無法解釋小型股預期報酬，則無法應用於評估為數眾多的小型股。故此，我們採用 1983 年至2024 年的台灣上市櫃 (含下市櫃) 公司資料，透過 Fama-MacBeth 橫斷面迴歸對所有股票、大型股與小型股共三種樣本進行實證研究，我們發現台灣股市的因子定價行為與美國存在顯著差異，尤其在因子效應的主導力量出現分歧：雖然規模與價值特徵的風險溢酬皆由小型股驅動，但投資與獲利能力等基本面相關特徵對橫斷面期望報酬的解釋力反而高度集中於大型股樣本。此外，多數台股特徵的效果在學者公開發表模型後並未衰退，反而更趨穩定。本文亦證實，應採用更即時的數據建構價值特徵 (B/M)，以及考慮台灣市場投資人以散戶投資人為主，將短期投機行為納入模型後，更能有效地提升相關特徵的報酬解釋能力。

This study examines the applicability and robustness of nine stock characteristics in six specifications of Fama-French and q-series multifactor models in the Taiwan stock market. In designing asset pricing factor models, academics and practitioners often group stocks by market capitalization to enhance their models’ explanatory power across expected returns of stocks with different sizes. When large-cap stocks dominate a stock market’s total market cap, a factor model that merely explains cross-sectional expected returns of small-cap stocks lacks the economic significance to describe the broad financial market. Conversely, if a model only excels in pricing large-cap stocks, it has little
practical value in a stock market full of small-cap stocks.

Hence, we analyze all listed and delisted firms in Taiwan from 1983 to 2024 with
Fama-MacBeth cross-sectional regressions. We examine three subsamples – the full sample, large-cap stocks, and small-cap stocks – and discover substantial divergence between the factor pricing behavior in Taiwan-listed stocks and that documented in the U.S. In particular, their dominant sources of factor effects differ. While the risk premia associated with size and value characteristics are primarily driven by small-cap stocks in both market, the explanatory power of investment and profitability characteristics is heavily concentrated among large-cap stocks in Taiwan. Despite concerns about anomaly decay after publication in academic journals, the predictive performance of most Taiwan-listed firm characteristics has remained stable or even improved post-publication. We further show that a more timely measured book-to-market ratio and a proxy for the short-term speculative behavior are imperative in explaining the cross-sectional expected returns of Taiwan-listed stocks.

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