臺灣博碩士論文加值系統

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。

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.

謝辭 I
中文摘要 II
英文摘要 III
目錄 IV
圖目錄 V
表目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 4
第四節 研究架構 5
第二章 文獻探討 6
第一節 股息殖利率與公司經營治理 6
第二節 股利殖利率與股價報酬 8
第三章 研究假說與方法 11
第一節 研究資料與變數 11
第二節 研究假說 14
第三節 研究方法與模型介紹 17
第四章 實證研究結果 20
第一節 敘述性統計量 20
第二節 迴歸模型之實證結果分析 24
第三節 縱橫資料模型之實證結果分析 29
第五章 結論 31
第一節 研究結論 31
第二節 投資管理意涵 32
第三節 研究限制與後續研究建議 33
參考文獻 34
圖目錄
圖1-1 研究流程圖 4
圖4-1 台灣加權指數股價走勢 22
圖4-2 高股息ETF的股價走勢 22
圖4-3台灣加權指數與高股息ETF報酬率走勢 23
表目錄
表4-1 各變數敘述統計量 20
表4-2 各解釋變數之共線性分析與VIF值 25
表4-3 以股價報酬為應變數之迴歸模型實證結果 25
表4-4 股息殖利率為應變數之迴歸模型實證結果 26
表4-5 股息殖利率為應變數之羅吉斯模型實證結果 27
表4-6 Panel Data股價報酬之實證結果 29
表4-7 Panel Data股息殖利率之實證結果 30

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
4.Becker,Bo,Ivkovic,Zoran,and Weisbennert,Scott(2011)Local dividend clienteles,Journal of Finance 66(2):655-684.
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
7.Campbell,John(1987)Stock returns and term structure,Journal of Financial Economics 18(2):373-399
8.Campbell,J.Y.,and Shiller,R.J.(1988)The dividend-price ratio and xpectations of future dividends and discount factors, Review of Financial Studies 1(3):195-228
9.Campbell,John,and Thompson,Samuel(2008)Predicting the equity premium out of sample Can anything beat the historical average? The Review of Financial Studies 21(4):1509-1531.
10.Chung,Kee H.and Zhang,Hao(2011)Corporate governance and institutional ownership, Journal of Financial and Quantitative Analysis 46 (1): 247–273
11.Easterbrook,Frank H.(1984)Two agency-cost explanations of vidends,American Economic Review 74(4):650-659
12.Erik,Lie and Lie Heidi J.(1999)The role of personal taxes in corporate decisions: An empirical analysis of share repurchases and dividends, Journal of Financial and Quantitative Analysis 34(4):533-551.
13.Fama,E.F.and French,K.R.(1988)Dividend yields and expected stock returns,Journal of Financial Economics 22(1):3-25.
14.Farinha,Jorge(2003)Dividend policy, corporate governance and the managerial entrenchment hypothesis: An empirical analysis, Journal of Business Finance & Accounting 30(9-10):1173-1208.
15.Grinstein,Yaniv and Michaely,Roni(2005)Institutional holdings and payout policy,Journal of Finance 60(3):1389-1426.
16.Hodrick.Robert.(1992)Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5(3):357-386
17.Huson,M.R.,Parrino,R.,and Starks,L.T.(2001)Internal monitoring mechanisms and CEO turnover:A long-term perspective,Journal of Finance 56(6):2265-2297.
18.Lewellen,J.(2004)Predicting returns with financial ratios,Journal of Financial Economics 74(2):209-235.
19.Miguel,Pedro A.and Ferreira,Santa-Clara(2008)Forecasting stock market returns: The sum of the parts is more than the whole, Journal of Financial Economics 100 (3):514–537
20.Owen,Lamont(1998)Earnings and expected returns, Journal of Finance 53(5):1563-1587
21.O’Sullivan,Mary(2001)Contests for corporate control:Corporate governance and economics performance in the United States and Germany, London:Oxford University Press.
22.Officer,Micah S.(2011)Overinvestment,corporate governance,and dividend initiations,Journal of Corporate Finance17(3):710-724
23.Orphanidesa,Athanasios and Min Wei(2012)Evolving macroeconomic perceptions and the term structure of interest rates, Journal of Economic Dynamics and Control 36(2): 239-254
24.Roze,M.S.(1984)Dividend yields are equity risk premiums, Journal of Portfolio Management 11(1): 68-75.
25.Welch,land Goyal,A(2008)A comprehensive look at the empirical performance of equity premium prediction,Review of Financial Studies 21(4):1455-1508