Why High-dividend Yields Equate to High Returns in the Greater China Region

為何高股利率等於高報酬率－以大中華市場為例

黃金生(Chin-Sheng Huang) ； 游清芳(Chun-Fan You) ； 徐鼎欣(Sam Ting-Hsin Hsu)

《證券市場發展季刊》 26卷2期 (2014/06) Pp. 151-178

https://doi.org/10.6529/RSFM.2014.26(2).4

摘要

本文使用大中華市場於2001至2010年的資料，實證顯示在股利宣告的年度，高股利率等於高報酬率，且在風險調整後出現一個正的異常報酬。而這個現象即使是以三因子模型驗證也未消失。但此結果證實非起因於股利的賦稅效果、季節效應、以及股利訊號假說。然而採用加入動能的4因子驗證時，正的異常報酬終於消失了。進一步，將樣本區分為高動能與低動能時期，證據指出在高股利率族群出現的顯著的異常報酬，僅出現於低動能的子樣本。依此，本文的結論指出股利率異常報酬的來源，可以完全被市場因子、公司規模、價值型、以及動能所解釋，且這樣的異常報酬在低動能時期會變得更為顯著。

關鍵字

股利率 ； 交易策略 ； 三因子模型 ； 四因子模型 ； 大中華地區

並列摘要

An examination of 2001-2010 data on the Greater China region reveals that high-dividend yields equate to high returns, with positive risk-adjusted returns being earned in the dividend announcement years; such findings continue to hold even when our sample is examined using the Fama-French three-factor model. Our empirical results indicate that the dividend tax effect, the seasonal effect and the dividend signaling hypothesis cannot account for this phenomenon; however, when the momentum factor is included to create a four-factor model, the positive abnormal returns ultimately disappear. When our sample is further divided into high-and low-momentum periods, the evidence indicates that abnormal returns, particularly the significantly positive alphas in the highest dividend-yield group, are also found in the low-momentum sub-sample. We therefore conclude that the sources of this anomaly can be fully explained by the factors of market, size, value and momentum, with such abnormal returns potentially becoming even stronger in low-momentum periods.

並列關鍵字

Dividend Yield ； Trading Strategies ； Three-Factor Model ； Four-Factor Model ； Greater China Region

參考文獻

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