台股除息日的類股異常報酬：結合元大高股息成分股報酬率研究

本研究以2010年至2012年元大高股息ETF中選出高殖利率的13檔成分股，計算2013年至2016年四種持有期間的報酬率，持有三年期間計算後有11檔個股有正的年化報酬，帶給長期投資人投資可得到定存利率3倍以上報酬，另外以2010年至2016年有發放現金股息的上市股票分成金融類、電子類與非金電類產業三大類股，比較三大類股除息日前後十日異常報酬情況，使用台灣經濟新報資料庫與事件研究法來計算異常報酬，結論發現，三大類股在除息日平均有0.14%至0.87%左右不等的正的異常報酬，支持比價心理假說；金融類股與非金電類股在研究期間的累計平均異常報酬優於電子類股。

關鍵字

0056ETF ；除息；殖利率；比價心理假說

並列摘要

This study took the example of the specific thirteen stocks which selected as Yuanta high dividend ETF constituent stocks from 2010 to 2012. Calculate the rate of return for the four holding periods from 2013 to 2016 Holding a three-year period after the calculation of 11 stocks have a positive annual remuneration. To bring long-term investors to invest more than 3 times the deposit rate can be paid. In addition to 2010 to 2016, the cash dividend issued by the Taiwan stock is divided into financial, electronic and other stocks three major categories of shares, the three major categories of dividends before and after 10 days of abnormal returns. Using the Taiwan Economic Journal Data Bank and event study method to calculate the abnormal return. The conclusion shows that the three major stocks in the ex-dividend date average of 0.14% to 0.87% or so of the average abnormal returns, to support the hypothesis of bargain hunting. Financial stocks and other stocks during the study of the cumulative average abnormal return is better than electronic stocks.