現金殖利率與股東權益報酬率之投資策略

本研究針對2001年1月至2020年12月間，以台灣證券交易所上市與中華民國證券櫃檯買賣中心上櫃的普通股股票為研究對象。依據現金殖利率與股東權益報酬率高低建構投資策略，並檢定台灣股市是否存在現金殖利率和股東權益報酬率異常效應。此外，本研究進一步探討現金殖利率和股東權益報酬率效應是否可透過公司特性或因子模式解釋之。結果顯示台灣股票市場存在現金殖利率和股東權益報酬率兩種異常效應，平均報酬與現金殖利率或股東權益報酬率間是呈現正向關係，投資者可持有同時具有較高現金殖利率和較高股東權益報酬率之股票，形成可獲利之投資策略。同時，本研究發現規模與淨值市價比之特性可解釋現金殖利率效應，但是無法解釋股東權益報酬率效應，以及發現Fama and French (2015)的五因子模式可解釋現金殖利率效應和股東權益報酬率效應。

關鍵字

現金殖利率；股東權益報酬率；股票報酬；臺灣股市

並列摘要

This study focuses on the common stocks listed on Taiwan Stock Exchange and listed on Taipei Exchange from January 2001 to December 2020. According to dividend yield and return on equity, investment strategies are constructed, and abnormal effects of dividend yield and return on equity are tested. This study further explores whether effects of dividend yield and return on equity can be explained by corporate characteristics or factor models. The results show that there are two abnormal effects of dividend yield and return on equity in the Taiwan stock market. There is a positive relationship between average return and cash yield or return on equity. Investors can hold stocks with both higher dividend yield and higher return on equity, thus forming a profitable investment strategy. This study also finds that the characteristics of firm size and book-to-price can explain dividend yield effect, but not return on equity effect, and the five-factor model of Fama and French (2015) can explain dividend yield effect and return on equity effect.