近年來，隨著ETF等被動投資工具在全球資本市場中的份額持續攀升，其對市場效率、公司治理結構以及資本市場穩定性的影響，逐漸成為學術研究的重要課題。其中，ETF所採取的被動投資模式如何影響股票市場效率尚無定論，支持者主張，ETF能透過提升市場流動性來增強定價效率；反對者則認為，ETF投資模式忽略個別股票的基本面訊息，可能削弱市場效率，同時加劇金融危機期間的市場波動性。本文旨在藉由分析ETF持股對傳統價值選股策略(以F-Score模型為代表)的影響，來進一步探討被動投資模式對市場效率可能帶來的改變。研究結果顯示，於2003年至2022年之研究期間，F-Score模型未能穩定產生顯著的F-Score溢酬，然而，如參考其他學者之相關研究，對應切割樣本期間，實證顯示於子樣本期間2003年至2010年以及2003年至2015年，高得分股票組合呈現顯著的F-Score溢酬，表明模型在這些時期仍具一定程度的擇股效益，惟於其後之2016年至2022年，F-Score模型溢酬顯著衰減，未能持續展現統計上顯著的選股效益。迴歸分析進一步揭示，持股ETF檔數對個股報酬具正面影響，F-Score模型擇股效益的下降，可能受到ETF持股干擾所致，當低得分股票被多檔ETF納入成分股，其報酬表現將更容易受到市場資金效應所推動，導致這些股票不再呈現傳統意義上的「輸家」特性，從而削弱了價值投資策略F-Score理論模型之溢酬。

In recent years, the growing prevalence of Exchange-Traded Funds (ETFs) in global capital markets has prompted extensive research into their impact on market efficiency, corporate governance, and financial stability. While proponents argue that ETFs enhance price efficiency by improving market liquidity, critics contend that ETFs ignore stock fundamental information, potentially reducing market efficiency and increasing volatility during crises. This study investigates the effect of ETF holdings on the F-Score model, a traditional value-based stock selection strategy, to explore the broader implications of passive investing on market efficiency. Using data from 2003 to 2022, the analysis reveals that the F-Score model failed to consistently generate significant excess returns over the entire period. However, referring to the relevant research of other scholars, the empirical evidence shows that in the sub-sample period from 2003 to 2010 and from 2003 to 2015, the high F-Score portfolios achieved significant premiums, demonstrating stock-picking effectiveness, but from 2016 to 2022, the model’s F-Score premium declined substantially, showing no statistically significant selection benefits. Regression analysis further highlights a positive relationship between the number of ETFs holding a stock and its returns. However, the diminished performance of the F-Score model may stem from the influence of ETFs. When low F-Score stocks are included as constituents in multiple ETFs, their return performance becomes more easily driven by market fund flows, causing these stocks to no longer exhibit the traditional “loser” characteristics. This weakens the premium of the F-Score theoretical model.

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