本研究使用證券暨期貨市場發展基金會公布的資訊揭露評鑑系統第三屆至第十二屆的上市(櫃)公司為研究樣本，依照評鑑等級組成不同投資組合，透過投資組合的平均原始報酬、平均特性調整報酬，檢定不同等級的組合是否存在顯著差異。然後再利用單因子、三因子和四因子模式衡量不同等級組合之平均績效，並進行比較分析。 結果顯示各等級組合間的平均績效並不存在顯著之差異，投資者無法藉由資訊揭露評鑑等級形成相對較高平均績效之策略，同時結果顯示低等級公司反而常具有相對較高之平均績效，此結果與預期相反，顯示資訊揭露評鑑等級與公司價值間並無顯著之關聯性。 This study uses the Information Disclosure and Transparency Evaluation System for the third to the twelfth of the listing (cabinet) company from the Securities & Futures Institute as the study sample, it is composed of different investment portfolios based on the rating level.It uses investment portfolios’s average original return and average characteristic-adjusted return to test whether or not different portfolios are significant differences.Then use three different factor model to measure different portfolios’s average effects and analyze with each other.
The results show that there is no significant difference in the average performance between the portfolios, investors can not use information disclosure evaluation level to form a relatively high average performance strategy.Simultaneously, the results show that low-level companies often have relatively high average performance. The results are contrary to expectations, there is no significant correlation between the level of disclosure and the value of the company.
