Dividend Yield and Stock Returns

[[abstract]]本文以2003年至2013年間宣告股利發放的台灣上市公司為研究樣本，探討高股利殖利率的股票能否成為投資人的獲利投資標的。本文研究發現，投資人買進持有宣告股利發放的所有樣本公司，其6個月後的累積異常報酬為-4 30%；但有趣的是，當投資人買進持有宣告股利發放且股利殖利率高於5% (9%) 的樣本公司，則其6個月後的累積異常報酬將達到4 23% (7 19%)，換算成年化報酬率為8 46% (14 38%)。上開結果驗證了高股利殖利率的股票實屬投資人的獲利投資標的。此外，本文亦發現，投資人買進持有「非電子業的高股利殖利率股票」，其6個月後的投資報酬績效相較於「電子業的高股利殖利率股票」來得高。 關鍵字：股利殖利率；累積異常報酬；事件研究[[abstract]]In this study we adopt a sample of Taiwan listed firms that declared dividend payment between2003 and 2013 to explore whether high dividend yield stocks canbe profitable investment targets The results indicate that for all firms in the sample investors buy and hold dividend-declared stock yield a six months cumulative abnormal returns of -4 30% However when investors buy and hold stocks with dividend yield of 5%(or 9%) the cumulative abnormal returns will reach 4 23% (or 7 19%) in six months period or annual rateof 8 46% (or 14 38%) Research findings support that high dividend yield stocks is investor's choice for profitability targets In addition we find that investors will get higher six-months return through buy-and-hold strategy on "Non-Electronic Industry High Dividend Yield Stocks" than on "Electronic Industry High Dividend Yield Stocks" Keywords: dividend yield CAR event stud