臺灣博碩士論文加值系統

本篇研究的主要目的為評估高股利率股票的投資績效。本篇所定義的高股利率樣本公司是其所發放的總股利率超過樣本期間的無風險利率。我們使用加權股價指數的月報酬率做為BHAR與CAR模型下的比較基準分別去計算持有3,6,9,12,24,36,48個月的異常報酬。本篇討論的樣本有未分類的總樣本與三個次要樣本。依不同公司性質分為三種次要樣本：用每股盈餘的成長性、以電子產業分類、非電子產業分類的次樣本。各個類別中依股利率的大小分成四組：最高(Quartile1)、高(Quartile2)、低(Quartile3)、最低(Quartile4)。我們察覺在最高股利的組別相對其他組別而言在持有的第一年內都有較佳的表現；其中，以持有高股利率股票三個月期間內的績效表現最佳。高股利且具有每股盈餘成長性的公司在實證結果顯示並沒有得到更好的利潤。股利率對異常報酬的長期解釋能力以非電子產業的比電子產業來的好。

The purpose of this research is to evaluate the performance of high yield stock. The definition of high yield sample firm in this study is that total dividend yield must be above the risky-free ratio at sample period 1995 to 2004. We measure the excess returns by the monthly return of value weighted market index return using the buy-and-hold abnormal returns (BAHR) and cumulative abnormal returns (CAR) over 3, 6,9,12,24,36,48 month’s periods. We have one full sample and three sub-sample in this study. The full sample of this study is divided by firm characteristic into three categories: sub-sample by EPS, the electric industry companies, non-electric industry companies. We rank the full sample and sub-samples by dividend yield, these rankings are as follows: highest (Quartile1), high (Quartle2), low (Quartile3), lowest (Quartile4). The highest yield groups in each category have the best performance beyond holding the first one year. The best performance period of highest yield group is within holding three months. The empirical result shows that sub-sample by EPS do not get more profit on high yield stock and the dividend yield has more forecasted power in non-electric industry than in electric industry in the long run.

CONTENTS
1. Introduction 1
1.1 Research motive 1
1.2 Literature Review 2
2. Hypotheses 4
3. Data and Research Methodology 5
3.1 Data 5
3.2 The definition of the yield and Forming Yield Portfolios 7
3.3 Measuring Abnormal stock Returns 9
A. The CAR approach 9
B. Buy-and hold returns 10
3.4 Describe statistics 10
4. Results of Empirical Tests 11
4.1 The result of Measure of Excess Return 11
4.2 The Cross-Sectional Regressions 14
4.3 Summary Regression Analysis 15
5. Conclusions 16
Reference: 18

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