股利殖利率投資策略

本研究探討台灣股市是否存在股利殖利率效應，並試圖使用公司特性及風險因子解釋之。本文使用2006年1月至2016年12月間，於臺灣證券交易所上市或中華民國證券櫃檯買賣中心上櫃之普通股股票為研究對象，根據股利殖利率或現金股利率高低建構殖利率組合。透過投資組合的平均原始報酬、平均特性調整報酬，檢定不同殖利率組合間之平均報酬是否存在顯著差異。然後再利用單因子、三因子和五因子模式衡量各殖利率組合之平均績效，並進行比較分析，最後檢視平均報酬與殖利率之間的橫斷面關係。結果顯示台灣股市存在顯著之殖利率效應，即股票平均報酬與殖利率間存在顯著之正向關係。雖然各種公司特性或風險因子無法充分解釋為何存在殖利率效應，但顯著之殖利率效應可作為投資者形成與調整投資策略之重要參考依據。

關鍵字

投資策略；股利殖利率；現金股利率

並列摘要

This study explores whether exist dividend-yield effects and attempts to explain it using company characteristics or risk factors. This paper uses common stocks listed on the Taiwan Stock Exchange or the Taipei Exchange from January 2006 to December 2016 as the research sample, and construct portfolios of dividend yield based on the dividend yield or the cash dividend yield. This study tested whether there are significant differences in average raw returns or characteristic-adjusted returns among dividend-yield portfolios. Then, single-factor, three-factor and five-factor models are used to measure the average performance of dividend-yield portfolios. Finally, this study explores the cross sectional relationships between average returns and divided yields. The results show that there are significant dividend-yield effects on the Taiwan stock market, that is, there are significant positive relationships between average returns and dividend yields. Although company characteristics or risk factors do not fully explain the existence of dividend-yield effects, the significant dividend-yield effects can be used as an important reference for investors to form and adjust investment strategy.