影響台灣高股息ETF成分股績效之成因分析

在動盪不安的金融環境以及高通膨的經濟體系下，高殖利率的投資標的深受市場的青睞。其主要成因乃是投資人認知高股息殖利率的投資標似乎具有穩健的收益率、甚至穩定配息。本研究以元大寶來台灣高股息ETF成分股作為研究標的，其涵蓋國內上市30檔高股息殖利率股票。本研究以2007-2011為研究期間，採行多元廻歸模型、羅吉斯迴歸模型，與縱橫資料模型等研究方法，其實證結果顯示，資產周轉率與淨利率對股息殖利率呈正向關係，然而董監事薪酬對股息殖利率則呈負向影響。換言之，資產管理良好、淨利率高、與非高董監事薪酬的公司，比較屬於高股息殖利率的公司。此外，本研究卻顯示高股息殖利率的標的，其未來的股價表現並不優異，此可能是過去高獲利的公司，未來要持盈泰，要超越自己似乎不見得是一件容易的事。

關鍵字

股息殖利率；股價報酬；高股息成份股

並列摘要

Under turbulent financial environment and high inflation economies, high yield investment objects are favored by the market. The major cause is the investor recognizes that high dividend yield investments seem to have a healthy yield, even stable dividend. Yuanta Taiwan Dividend ETF constituents as the subject of the study, covering the domestic market 30 high dividend yield rate stocks. In this 2007-2011 study period, with the adoption of the multiple regression model, logistic regression model, panel data model and other research methods, empirical results show that a positive relationship between asset turnover and net profit margin of the dividend yield; however, remuneration to directors and supervisors indicates a negative impact to the dividend yield. In other words, for those companies which have good asset management, high net profit margin, and non-high company remuneration of directors are likely considered to generate high dividend yield. In addition, this study shows that the subject of the high dividend yield, its future stock price performance is not excellent. This may be due to the difficulty for highly profitable companies to continue to surpass the past performances and maintain steady economic growth in the future.

並列關鍵字

Dividend yield ； Stock return ； Constituent stocks

參考文獻

1.Al-Yahyaeea,Khamis,H.Phamb,Toan M.and Walterc,Terry S.(2011)The information content of cash dividend announcements in a unique environment,Journal of Banking and Finance 35(3):606–612.

2.Ang,A.,and Bekaert,G.(2007)Stock return predictability:Is it there? Review of Financial Studies 20(3):651-707

3.Baker,M.and Wurgler,J.(2000)The Equity Share in New Issues and Aggregate Stock Returns,Journal of Finance55(5):2219-2257

5.Brown,Lawrence D.and Caylor,Marcus L.(2009)Corporate governance and firm operating performance,Review of Quantitative Finance and Accounting. 32(2):129-144.

6.Butler,A.W.,Grullon, G.,and Weston,J.P.(2005)Can managers forecast aggregate market returns? Journal of Finance 60(2):963-986

國際替代計量

影響台灣高股息ETF成分股績效之成因分析

全文下載

主題瀏覽