This paper analyzes the impacts of the size effect, BE/ME effect, P/E ratio effect, risk coefficient(beta) and prior returns on stock returns. Specifically, the beta coefficient is estimated using Scholes & Williams methodology. Moreover, in Fama & French (1992) paper, only cross-sectional information were taken into account, which ignored the serially correlated problem existed in the time series data. This paper utilizes three time-series/ cross-section pooling regression models so that both time-series and cross- section variations are considered. The results show that both size effect and BE/ME effect have significant impacts on the annual stock returns. The beta coefficient, however, has little influence on annual returns. For the monthly effect, the rates of returns among months are significantly different in Taiwan stock market. The rate of returns in February is the highest and the beta coefficient becomes the most influential factor in February. All of the variables, including size, BE/ME ratio, P/E ratio, risk coefficient and priors return, have significant impact on February stock returns.