雖然有很多研究顯示價值股的投資績效優於成長股，然而，有些研究則發現此兩種策略的投資績效皆會隨著股市循環而互有優劣。此一現象在台灣股市是否存在？因此，本研究嘗試著加入股市循環的因素來加以探討。在研究時，首先採用Lakonishok, Shleifer, and Vishny (1994) 的單因子與雙因子分類法，作為區分價值股與成長股的依據；其次，參酌Pagan and Sossounov (2003) 之「修改的B-B 法」，判別股市循環的轉折點，據此比較前述兩種策略的投資績效。實證結果有四點：其一，多空市場之投資績效確實有顯著的不同；其二，多空的轉折點與交易量的多寡，是投資者進出股市擇時的重點；其三，台灣股市的「價值效應」與股市循環無關；其四，相同的股票在多空不同的週期，可能被歸為不同類別的股票，此亦顯示出投資者須適時檢視投資組合的重要性。上述的發現，可作為投資者擬定投資策略時的參考。

Although there is a lot of studies have shown the performance of value investing is better than growth investing; however, some studies also found that these two strategies got good and bad status during the stock market cycle. Is this the same in the Taiwan stock market? Therefore, we attempt to explore the suitability by adding the stock market cycle factors. Firstly, we apply the model of Lakonishok, Shleifer, and Vishny (1994) as the distinction factor between value stocks and growth stocks ; Secondly, we use Pagan and Sossounov’s (2003)