| Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 93 === According to traditional wisdom, firms with higher of book-to-market ratios have higher future returns, the phenomenon that is called “the B/M effect” and well documented in many developed markets but not in the Taiwan stock market（Chen and Zhang, 1998）. In this paper, we examine whether the “winner-loser effect”, “R&D effect”, “turnover effect”, “size effect”, and “price effect” cause the absence of the B/M effect in Taiwan stock market. In sum, we have observed that the Taiwan stock market is subject to an inverse B/M effect, especially after controlling for the price effect. Additionally, the traditional B/M effect is found for small firms, while the inverse B/M effect is for large firms. Finally, firms with low B/M, often considered as the “glamour” stocks, perform well in the past and future, inconsistent with Lakonishok, Shleifer, and Vishny（1994）.
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